hec.ca > Faculty

Piotr Orłowski

Associate Professor,  Department of Finance

Piotr Orłowski

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email : piotr.orlowski@hec.ca
Phone : 514 340-3828
Secretary: 514 340-6823
Fax : n/a
Office : 4.215

Personal page

Other title(s)

  • Forthcoming

Education

  • Ph. D. (économie), Università della Svizzera italiana
  • Ph. D. (finance), Swiss Finance Institute
  • M. A., Warsaw School of Economics

Current research

  • Forthcoming

This publication selection covers the last five years.


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Journal articles (5)

ALMEIDA, Caio, ARDISON, Kym, FREIRE, Gustavo, GARCIA, René, ORLOWSKI, Piotr; « High-Frequency Tail Risk Premium and Stock Return Predictability », Journal of Financial and Quantitative Analysis, vol. 59, no 8, 2024, p. 3633-3670.

ORLOWSKI, Piotr, SCHNEIDER, Paul, TROJANI, Fabio; « On the Nature of (Jump) Skewness Risk Premia », Management Science, vol. 70, no 2, 2024, p. 1154-1174.

FOURNIER, Mathieu, JACOBS, Kris, ORLOWSKI, Piotr; « Modeling Conditional Factor Risk Premia Implied by Index Option Returns », Journal of Finance, vol. 79, no 3, 2024, p. 2289-2338.

AUGUSTIN, Patrick, BRENNER, Menachem, GRASS, Gunnar, ORLOWSKI, Piotr, SUBRAHMANYAM, Marti G.; « Informed options strategies before corporate events », Journal of Financial Markets, vol. 63, 2023, p. 1-34.

ORLOWSKI, Piotr; « Informative option portfolios in filter design for option pricing models », Quantitative Finance, vol. 21, no 6, 2021, p. 945-965.


This selection of supervision activities covers the last five years.

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Master's thesis direction – MSc in Management (6)
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Supervised project supervision – MSc in Management (16)
Evaluating Delta Hedging Effectiveness for High Borrowing Fee Stock Options Using Neural Network Simulated Relationships with ETFs , by Yassir Benkouira
January 2025

In codirection with : SOKOLOVSKI, Valeri
Un avenir intéressant pour les rendements du carry trade augmenté ? , by Arnaud Sénéchal
May 2024

Examining the Role of Leverage in the Cross-Section of Equity Returns , by Sahel Hajivand
March 2024

Volatilités du pétrole et des devises : une approche de couverture dynamique , by Rayhane Belkhaoui
March 2024

An Analysis of SPAC Returns Through the Lens of Factor Models , by Loïc Wandege
October 2023

How Shocks to Financial Intermediaries in Japan Influence Currency Carry Trade? , by Hanxin Tang
October 2023

Conditional Factor Modelling of VIX Futures Returns , by Maxime Gagnon
August 2023

Conditional Factor Modelling of VIX Futures Returns , by Maxime Gagnon
August 2023

Impact of volatile factor exposure on mutual fund performance , by Vasvi Malhotra
March 2023

In codirection with : FOURNIER, Mathieu
Exposition des options d'équité aux risques de variance systématique , by Hong Kun Zhang
January 2023

Enquête sur la résilience des prix boursiers des entreprises canadiennes face à des crises économiques mondiales : une étude de la pertinence des caractéristiques pré-chocs des entreprises , by Yvanne Korine Mopewou
September 2021

Analyzing stock market reactions to CEO tweets , by Dylan Bertus
September 2021

Étude d'événement : l'impact de la pandémie COVID-19 sur les revenus de l'activité de prêts de titres , by Camille Couture Gendron
March 2021

Évaluation de la performance des méthodes de pénalisation des portefeuilles , by Samuel Normandeau
March 2021

The efficiency and predictability of Canadian ETFs market , by Pan Yao
March 2021

Une approche par bootstrap pour l'analyse des alphas des fonds communs de placement canadiens , by Jahana Nayenka Jean-Jacques
January 2020