We use proprietary futures brokerage data with intraday time stamps to analyze how embedded derivatives leverage affects trading and performance in the cross-section of investors. The effect is heterogeneous: Skilled investors benefit from leverage, while leverage has the opposite impact on the...

We predict asset returns and measure risk premia using a prominent technique from artificial intelligence -- deep sequence modeling. Because asset returns often exhibit sequential dependence that may not be effectively captured by conventional time series models, sequence modeling offers a...