About Me
Francesco A. Fabozzi is the Research Director at Yale School of Management's International Center for Finance. He serves as the managing editor of The Journal of Financial Data Science and the Director of Data Science at the CFA Institute Research Foundation. He has coauthored several books in investment management and quantitative methods. His research has been published in the Journal of Financial Econometrics, Journal of Derivatives, Review of Quantitative Finance and Accounting, Journal of Portfolio Management, and more. His primary research interests include large language models (LLMs), natural language processing (NLP), and machine learning applied to quantitative investing. He holds a BA in economics from Princeton University, an MS in financial analytics, and a PhD in interdisciplinary data science from Stevens Institute of Technology.
Research Interests:
Large Language Models (LLMs) / Natural Language Processing (NLP)
Machine Learning / Artificial Intelligence
Equity Forecasting and Equity Factor Models
Current Roles & Positions
Yale International Center of Finance
Mar 2023 | Research Director
CFA Institute Research Foundation
Jan 2021 | Director of Data Science
Journal of Financial Data Science
Aug 2018 | Managing Editor
Financial Data Professional (FDP) Institute
Jan 2019 | Curriculum Committee Member
Research Publications
News-Based Sentiment and the Value Premium
Journal of International Money and Finance, 2023 (with A. Nazemi).
Dynamics of Equity Factor Returns and Asset Pricing
Journal of Financial Econometrics, 2020 (with S. Stoyanov).
An Overview of Machine Learning for Asset Management
Journal of Portfolio Management, 2023 (with Y. Lee, J. Thompson, J.H. Kim, and W.C. Kim).
A Comparison of Multi-Factor Term Structure Models for Interbank Rates
Review of Quantitative Finance and Accounting, 2023 (with F.J. Fabozzi and D. Tanaru).
Testing the Forecasting Ability of Multi-Factor Models on Non-US Interbank Rates
Journal of Fixed Income, 2021 (with D. Tunaru and F.J. Fabozzi).
Risk Parity: The Democratization of Risk in Asset Allocation
Journal of Portfolio Management, 2021 (with J. Simonian and F.J. Fabozzi).
A Primer on Hedging with Stock Index Futures
Journal of Derivatives, 2022 (with F.J. Fabozzi).
Books Coauthored
Fundamentals of Institutional Asset Management
World Scientific Press, 2020 (with F.J. Fabozzi).
Asset Management: Tools and Issues
World Scientific Press, 2020 (with F.J. Fabozzi, M. Lopez de Prado, and S. Stoyanov).
Bond Markets, Analysis, and Strategies (10th Edition)
MIT Press, 2021 (with F.J. Fabozzi).
Fixed Income Mathematics: Analytical and Statistical Techniques (5th Edition)
McGraw Hill, 2022 (with P. Drake and F.J. Fabozzi).
Introduction to Finance: Financial Management and Investment Management
World Scientific Press, 2022 (with F.J. Fabozzi).
Simulation, Optimization, and Machine Learning in Finance (Forthcoming)
To be published by MIT Press (with D. Pachamanova and F.J. Fabozzi).
Book Chapters
The Handbook of Fixed Income Securities (9th Edition)
Chapter 1: Overview of the Types and Features of Fixed Income Securities (pages 3-21).
Chapter 2: Risks Associated with Investing in Fixed Income Securities (pages 23-37).
Chapter 16: Non-U.S. Sovereign Bonds (pages 343-354).
Other Book Projects
The Handbook of Fixed Income Securities (9th Edition)
F.J. Fabozzi with the assistance of F.A. Fabozzi and S.V. Mann
Foundations of Global Markets and Institutions
F.J. Fabozzi and F.J. Jones with the assistance of F.A. Fabozzi
Teaching and Speaking Engagements
Lecturer: Introduction to Financial Tools and Technology (QF103)
Stevens Institute of Technology (Spring 2020)
Panelist: Understanding The Future of Natural Language Processing
2023 Future of Finance Conference (Cornell Tech & Rebellion Research)
Panelist: Future of Data in Investing: Generative AI, Synthetic AI, Deep & Reinforced Learning
QuantVision 2024: Fordham's Quantitative Finance Conference