---
title: Quant Letter No. 1: May 2023, Week 4
url: https://www.ml-quant.com/issues/2023-05-24/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
issue_date: 2023-05-24
---


# Quant Letter No. 1: May 2023, Week 4

Sent 2023-05-24. 141 items.

## arXiv

### Finance

- __[Efficient Nested Deep Hedging](https://arxiv.org/abs/2305.12264)__: Study proposes nested deep hedging method for derivatives with market frictions using neural networks. (2023-05-20, shares: 9) · https://www.ml-quant.com/papers/arxiv/2305.12264/
- __[Intelligent Credit Bond Default Forecasting](https://arxiv.org/abs/2305.12142)__: Intelligent forecasting framework for default risk in China's bond market using ConvLSTM neural network. (2023-05-20, shares: 6) · https://www.ml-quant.com/papers/arxiv/2305.12142/
- __[Dynamic Risk Measures Budgeting Allocation](https://arxiv.org/abs/2305.11319)__: Risk budgeting allocation approach developed using dynamic risk contributions and deep learning. (2023-05-18, shares: 5) · https://www.ml-quant.com/papers/arxiv/2305.11319/
- __[Performance Evaluation of VaR Portfolio Insurance](https://arxiv.org/abs/2305.12539)__: Study compares VaR-based and constant proportion portfolio insurance strategies in regime-switching framework. (2023-05-21, shares: 4) · https://www.ml-quant.com/papers/arxiv/2305.12539/
- __[Extreme ATM Skew in Local Volatility Model](https://arxiv.org/abs/2305.10849)__: Local volatility model with two possible values for volatility analyzed using pricing formulas based on Skew Brownian motion. (2023-05-18, shares: 4) · https://www.ml-quant.com/papers/arxiv/2305.10849/
- __[VBA Portfolio Creation Software](https://arxiv.org/abs/2305.12826)__: VBA software component for optimal portfolio creation using two methods demonstrated with real-time series data. (2023-05-22, shares: 4) · https://www.ml-quant.com/papers/arxiv/2305.12826/
- __[Socially Responsible Investing with Machine Learning](http://dx.doi.org/10.1145/3596947.3596966)__: MV model amended to consider ESG scores for socially responsible investing. (2023-05-21, shares: 4) · https://www.ml-quant.com/papers/doi/10-1145-3596947-3596966/
- __[Interpolation with Quadratic Local Variance Gamma Model](https://arxiv.org/abs/2305.13791)__: Piecewise quadratic local variance function formulated for arbitrage-free interpolation of market quotes. (2023-05-23, shares: 3) · https://www.ml-quant.com/papers/arxiv/2305.13791/
- __[Double Levy Jumps in European Option Pricing](https://arxiv.org/abs/2305.10678)__: European option pricing formula provided under double Levy jumps model with series solution and numerical experiments. (2023-05-18, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.10678/
- __[Effective Factor Learning with Gated Deeper Models](https://arxiv.org/abs/2305.10693)__: Layer deep neural network proposed for predicting excess returns with improved performance and potential for optimizing investment strategies. (2023-05-18, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.10693/

### Economics

- __[Credit Card Payments](https://arxiv.org/abs/2305.11375)__: Consumers tend to pay credit card minimums, but an intervention can increase payments. (2023-05-19, shares: 3) · https://www.ml-quant.com/papers/arxiv/2305.11375/
- __[Monetary Policy and Volatility](https://arxiv.org/abs/2305.12192)__: A new model classifies monetary announcements based on their impact on volatility. (2023-05-20, shares: 3) · https://www.ml-quant.com/papers/arxiv/2305.12192/
- __[Federal Reserve's QE Programs and US Economy](https://arxiv.org/abs/2305.12318)__: Quantitative easing positively affected US GDP but did not impact inflation. (2023-05-21, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.12318/
- __[Leadership and Team Processes in Construction Projects](https://arxiv.org/abs/2305.13121)__: Transformational leadership has a positive relationship with team processes in construction project teams. (2023-05-22, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.13121/
- __[AI Spectator](https://arxiv.org/abs/2305.11519)__: External tools can help with moral assessment. (2023-05-19, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.11519/
- __[EU AI Regulation Preferences](https://arxiv.org/abs/2305.11523)__: Non-state actors want AI regulation. (2023-05-19, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.11523/
- __[Global AI Governance](https://arxiv.org/abs/2305.11528)__: Research agenda for global governance of AI. (2023-05-19, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.11528/
- __[TQM and Organizational Outcomes](https://arxiv.org/abs/2305.13104)__: Total Quality Management improves organizational performance. (2023-05-22, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.13104/

### Miscellaneous

- __[Responsible AI](https://arxiv.org/abs/2305.11581)__: Risks of AI in manufacturing explored, with focus on responsible and ethical AI. (2023-05-19, shares: 3) · https://www.ml-quant.com/papers/arxiv/2305.11581/
- __[Deformed MP Distribution for Correlated TS](https://arxiv.org/abs/2305.12632)__: Study of eigenvalue distribution of Wishart matrix with temporal correlation. (2023-05-22, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.12632/
- __[Unimodal Maps with Heteroscedastic Noise](https://arxiv.org/abs/2305.13475)__: Investigation of mathematical properties of perturbed unimodal smooth maps, with example linked to systemic risk. (2023-05-22, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.13475/
- __[Fair Division Algorithms and Incentives](https://arxiv.org/abs/2305.11406)__: Development of heuristic algorithm for fair division of discrete items, with potential for strategic deviations and proposed strengthening. (2023-05-19, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.11406/

### Crypto & Blockchain

- __[ChatGPT's Impact on AI Crypto Assets](http://dx.doi.org/10.1016/j.frl.2023.103993)__: New method proposed to compute security prices without third party involvement. (2023-05-22, shares: 17) · https://www.ml-quant.com/papers/doi/10-1016-j-frl-2023-103993/
- __[Trustless Price Feeds for Crypto](https://arxiv.org/abs/2305.13227)__: A new report suggests that the use of blockchain technology in the healthcare industry could save up to $100 billion annually by 2025, through improved data management, reduced fraud, and increased efficiency. (2023-05-22, shares: 11) · https://www.ml-quant.com/papers/arxiv/2305.13227/

### Historical Trending

- __[Ebacktesting](https://arxiv.org/abs/2209.00991)__: A new backtesting procedure for Expected Shortfall forecasts is proposed using e-values and e-processes. (2022-08-27, shares: 95) · https://www.ml-quant.com/papers/arxiv/2209.00991/
- __[Reinforcement Learning for Interbank Policy](https://arxiv.org/abs/2204.07134)__: Reinforcement learning is used to analyze the effect of a policy recommendation on an artificial interbank market. (2022-04-14, shares: 95) · https://www.ml-quant.com/papers/arxiv/2204.07134/
- __[Closed-Form Expression for Ratemaking](https://arxiv.org/abs/2211.06568)__: A surrogate modeling approach is proposed to compute Bayesian credibility premiums for a given model. (2022-11-12, shares: 68) · https://www.ml-quant.com/papers/arxiv/2211.06568/
- __[Deep Reinforcement Trading Analysis](https://arxiv.org/abs/2104.14683)__: The performance of model-free deep reinforcement learning traders in a market environment with different mean-reverting factors is investigated. (2021-04-29, shares: 42) · https://www.ml-quant.com/papers/arxiv/2104.14683/
- __[Change point detection in dGGMs](http://dx.doi.org/10.48550/arxiv.2208.00952)__: A Bayesian model is developed to capture changes in dependence across US industry stock portfolios during COVID-19. (2022-08-01, shares: 26) · https://www.ml-quant.com/papers/arxiv/2208.00952/
- __[Reverse optimization formula](https://arxiv.org/abs/2203.02599)__: An optimization formula is established for Expected Shortfall and generalized to optimized certainty equivalents. (2022-03-04, shares: 21) · https://www.ml-quant.com/papers/arxiv/2203.02599/
- __[Neural variance reduction for SDEs](https://arxiv.org/abs/2209.12885)__: Neural SDEs with control variates are proposed to reduce variance in Monte Carlo simulations in finance. (2022-09-26, shares: 18) · https://www.ml-quant.com/papers/arxiv/2209.12885/
- __[Robust incremental learning for tabular data](https://arxiv.org/abs/2303.07925v1)__: A robust incremental learning model is presented for regression tasks on temporal tabular datasets. (2023-03-14, shares: 16) · https://www.ml-quant.com/papers/arxiv/2303.07925/

## SSRN

### Quantitative

- __[Target Rate Factors](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4445293)__: Study on risk associated with uncertainties in central bank monetary policy targets using short interest rate models. (2023-05-18, shares: 8) · https://www.ml-quant.com/papers/ssrn/4445293/
- __[Empirical Model Supplement](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4453663)__: Supplemental material for article on bargaining with equilibrium of fear in French soft drink industry. (2023-05-19, shares: 2) · https://www.ml-quant.com/papers/ssrn/4453663/
- __[AI Model Comparison](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4453658)__: Literature review comparing large generative AI models and smaller parameter models trained on more data, discussing advantages and limitations. (2023-05-19, shares: 2) · https://www.ml-quant.com/papers/ssrn/4453658/

### Financial

- __[Efficiency of Small Stock Markets in Finland](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4444999)__: A study examines the efficiency of the Finnish stock market using the adaptive markets hypothesis and tests the impact of market size and liberalization on efficiency. (2023-05-19, shares: 17) · https://www.ml-quant.com/papers/ssrn/4444999/
- __[Momentum Strategies in India](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4453680)__: An analysis of momentum strategies in India finds that concentrated portfolios offer better factor exposure but carry higher idiosyncratic risk and do not outperform on a risk-adjusted basis. (2023-05-18, shares: 11) · https://www.ml-quant.com/papers/ssrn/4453680/
- __[DAO Disruption](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4445422)__: A paper evaluates the suitability of decentralized autonomous organizations (DAOs) for different industries, considering regulatory and industry-specific factors. (2023-05-19, shares: 9) · https://www.ml-quant.com/papers/ssrn/4445422/
- __[Greenhouse Gas Aversion and Optimal Portfolios](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4453686)__: The introduction of greenhouse gas aversion into the mean-variance portfolio framework offers a new performance measure for GHG-averse investors and discusses an optimal GHGA-based MVP for the energy sector. (2023-05-19, shares: 3) · https://www.ml-quant.com/papers/ssrn/4453686/
- __[Generative AI Prompting for Financial Analysis](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4453664)__: A guide to prompt usage in generative AI for financial analysis emphasizes the importance of prompts, provides tips for effective writing, and highlights common pitfalls to avoid. (2023-05-20, shares: 2) · https://www.ml-quant.com/papers/ssrn/4453664/
- __[Investor Expectations for Net-Zero](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4445458)__: Study shows international divergence in energy transition pace and corporate exposure to regulatory risks. (2023-05-10, shares: 4492) · https://www.ml-quant.com/papers/ssrn/4445458/
- __[Retail Investor Reaction to Earnings](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4445396)__: Novice retail investors' attention-driven trades can cause stock returns to drift upward after earnings announcements. (2023-05-11, shares: 1318) · https://www.ml-quant.com/papers/ssrn/4445396/
- __[Fractional Trading with High-Priced Stocks](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4445456)__: Fractional trading removes barriers to high-priced stocks and can fuel meme stock-like trading frenzies. (2021-11-18, shares: 738) · https://www.ml-quant.com/papers/ssrn/4445456/
- __[Currency Network Risk and Volatility](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4445357)__: Volatility network strategy generates excess returns by buying net recipients and selling net transmitters of transitory shocks. (2021-11-04, shares: 239) · https://www.ml-quant.com/papers/ssrn/4445357/
- __[Macro Finance Model for Ethereum](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4445322)__: Study of Ethereum's monetary and fee policies shows staking reward factor does not affect market capitalization in dollar terms. (2023-01-23, shares: 195) · https://www.ml-quant.com/papers/ssrn/4445322/

## RePEc

### Finance

- __[Statistical Modeling of High-Frequency Trading Data](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs13571-022-00280-7%3Bh%3Drepec%3Aspr%3Asankhb%3Av%3A85%3Ay%3A2023%3Ai%3A1%3Ad%3A10.1007_s13571-022-00280-7)__: The paper discusses statistical modeling approaches for analyzing high-frequency trading data. (2023-05-24, shares: 41) · https://www.ml-quant.com/papers/repec/spr-sankhb-v-85-y-2023-i-1-d-10-1007-s13571-022-00280-7/
- __[Gold as a Zero-Beta Asset](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F16%2F3%2F204%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A16%3Ay%3A2023%3Ai%3A3%3Ap%3A204-%3Ad%3A1098335)__: Using gold as a zero-beta asset improves asset pricing models for US equities and industries. (2023-05-24, shares: 29) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-16-y-2023-i-3-p-204-d-1098335/
- __[Binary Regime Models with Jump Discontinuities](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs13571-022-00277-2%3Bh%3Drepec%3Aspr%3Asankhb%3Av%3A85%3Ay%3A2023%3Ai%3A1%3Ad%3A10.1007_s13571-022-00277-2)__: A statistical technique for jump detection and volatility estimation in high-frequency data is developed. (2023-05-24, shares: 21) · https://www.ml-quant.com/papers/repec/spr-sankhb-v-85-y-2023-i-1-d-10-1007-s13571-022-00277-2/
- __[Timing US Sector Funds](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F16%2F5%2F275%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A16%3Ay%3A2023%3Ai%3A5%3Ap%3A275-%3Ad%3A1149208)__: Algorithmic trading is extended to study US sector funds and improve their performance. (2023-05-24, shares: 21) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-16-y-2023-i-5-p-275-d-1149208/
- __[Adaptive Portfolio Strategy with User-Specified Risk Tolerance](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F11%2F7%2F1637%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A11%3Ay%3A2023%3Ai%3A7%3Ap%3A1637-%3Ad%3A1109769)__: The simple moving average strategy is improved by incorporating risk tolerance, and a multiasset strategy is proposed and evaluated. (2023-05-24, shares: 20) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-11-y-2023-i-7-p-1637-d-1109769/
- __[Portfolio Evaluation](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F11%2F1%2F221%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A11%3Ay%3A2023%3Ai%3A1%3Ap%3A221-%3Ad%3A1022556)__: A new approach for evaluating portfolio performance using Euclidean distance is proposed. (2023-05-24, shares: 19) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-11-y-2023-i-1-p-221-d-1022556/
- __[Stock Price Formation](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs10614-022-10249-3%3Bh%3Drepec%3Akap%3Acompec%3Av%3A61%3Ay%3A2023%3Ai%3A4%3Ad%3A10.1007_s10614-022-10249-3)__: Better-performing agents in a multi-agent stock market simulator learn diverse trading strategies and employ a fundamentalist approach. (2023-05-24, shares: 16) · https://www.ml-quant.com/papers/repec/kap-compec-v-61-y-2023-i-4-d-10-1007-s10614-022-10249-3/
- __[Portfolio Optimization](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs13571-022-00285-2%3Bh%3Drepec%3Aspr%3Asankhb%3Av%3A85%3Ay%3A2023%3Ai%3A1%3Ad%3A10.1007_s13571-022-00285-2)__: A Reliability-Based Design Optimization framework is developed for portfolio optimization with efficient portfolios obtained for DAX stocks. (2023-05-24, shares: 14) · https://www.ml-quant.com/papers/repec/spr-sankhb-v-85-y-2023-i-1-d-10-1007-s13571-022-00285-2/
- __[Timing the Roller Coaster](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F16%2F2%2F106%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A16%3Ay%3A2023%3Ai%3A2%3Ap%3A106-%3Ad%3A1063150)__: Algorithmic trading can help small investors outperform the market with a simple moving average crossover approach. (2023-05-24, shares: 14) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-16-y-2023-i-2-p-106-d-1063150/
- __[Contagion Effects of Finance Crisis](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F16%2F3%2F182%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A16%3Ay%3A2023%3Ai%3A3%3Ap%3A182-%3Ad%3A1091262)__: The global financial crisis had significant contagion effects on equity markets, disrupting the relationship across financial sectors. (2023-05-24, shares: 7) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-16-y-2023-i-3-p-182-d-1091262/

### Statistical

- __[Forecasting High-Dimensional Portfolios](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F11%2F6%2F1513%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A11%3Ay%3A2023%3Ai%3A6%3Ap%3A1513-%3Ad%3A1102706)__: New methodology for forecasting and portfolio formation in large portfolios of assets introduced, resulting in better investment performance. (2023-05-24, shares: 17) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-11-y-2023-i-6-p-1513-d-1102706/
- __[Predicting Stock Market Volatility with Financial Report Tone](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F11%2F7%2F1591%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A11%3Ay%3A2023%3Ai%3A7%3Ap%3A1591-%3Ad%3A1107077)__: Study finds that periods of increased disagreement in financial reports predict higher implied volatility indices of stocks, with implications for financial stability and delegated portfolio management. (2023-05-24, shares: 16) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-11-y-2023-i-7-p-1591-d-1107077/

### Machine Learning

- __[SA Stock Market Volatility Prediction](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F11%2F6%2F1371%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A11%3Ay%3A2023%3Ai%3A6%3Ap%3A1371-%3Ad%3A1094820)__: Newspapers-based macroeconomic attention indexes and news sentiment index improve stock market volatility prediction in South Africa, according to a study using machine learning. (2023-05-24, shares: 20) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-11-y-2023-i-6-p-1371-d-1094820/
- __[Bitcoin Price Prediction with Machine Learning](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs10614-022-10262-6%3Bh%3Drepec%3Akap%3Acompec%3Av%3A61%3Ay%3A2023%3Ai%3A4%3Ad%3A10.1007_s10614-022-10262-6)__: Machine learning techniques can predict Bitcoin prices with varying degrees of accuracy, according to a study. (2023-05-24, shares: 20) · https://www.ml-quant.com/papers/repec/kap-compec-v-61-y-2023-i-4-d-10-1007-s10614-022-10262-6/
- __[Investment Management Model Coordination](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.worldscientific.com%2Fdoi%2Fabs%2F10.1142%2FS0219198923500020%3Bh%3Drepec%3Awsi%3Aigtrxx%3Av%3A25%3Ay%3A2023%3Ai%3A01%3An%3As0219198923500020)__: A new model and algorithm have been proposed to address non-stationary probabilistic regression, according to a study. (2023-05-24, shares: 12) · https://www.ml-quant.com/papers/repec/wsi-igtrxx-v-25-y-2023-i-01-n-s0219198923500020/
- __[Improved Gaussian Process Mix Model](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F11%2F10%2F2251%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A11%3Ay%3A2023%3Ai%3A10%3Ap%3A2251-%3Ad%3A1144540)__: A bibliometric analysis found that corporate governance, fraud, and financial performance are primary issues in money laundering and financial and economic performance. (2023-05-24, shares: 12) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-11-y-2023-i-10-p-2251-d-1144540/
- __[Money Laundering's Impact on Economic Performance Analysis](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.emerald.com%2Finsight%2Fcontent%2Fdoi%2F10.1108%2FS1569-37592023000110A011%2Ffull%2Fhtml%3Futm_source%3Drepec%26utm_medium%3Dfeed%26utm_campaign%3Drepec%3Bh%3Drepec%3Aeme%3Acsefzz%3As1569-37592023000110a011)__: The portfolio selection problem can be treated as a two-player game with a focus on sustainable development, according to a study. (2023-05-24, shares: 6) · https://www.ml-quant.com/papers/repec/eme-csefzz-s1569-37592023000110a011/

### Deep Learning

- __[Bermudan Commodity Options Pricing with Neural Networks](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F16%2F3%2F192%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A16%3Ay%3A2023%3Ai%3A3%3Ap%3A192-%3Ad%3A1094945)__: Multi-layered neural networks used for option pricing in commodity markets with high accuracy. (2023-05-24, shares: 29) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-16-y-2023-i-3-p-192-d-1094945/
- __[Hybrid Neural Network for High-Frequency Stock Trading](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2225-1146%2F11%2F2%2F13%2Fpdf%3Bh%3Drepec%3Agam%3Ajecnmx%3Av%3A11%3Ay%3A2023%3Ai%3A2%3Ap%3A13-%3Ad%3A1149628)__: New online time series forecasting method for high-frequency trading using deep learning models. (2023-05-24, shares: 21) · https://www.ml-quant.com/papers/repec/gam-jecnmx-v-11-y-2023-i-2-p-13-d-1149628/
- __[Multi-Population Mortality Modelling with Neural Networks](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs10203-022-00382-x%3Bh%3Drepec%3Aspr%3Adecfin%3Av%3A46%3Ay%3A2023%3Ai%3A1%3Ad%3A10.1007_s10203-022-00382-x)__: Neural network model proposed for large-scale mortality modelling and forecasting with fewer parameters and improved accuracy. (2023-05-24, shares: 7) · https://www.ml-quant.com/papers/repec/spr-decfin-v-46-y-2023-i-1-d-10-1007-s10203-022-00382-x/

### Historical Trending

- __[Smart Beta ETFs](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F14%2F7%2F283%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A14%3Ay%3A2021%3Ai%3A7%3Ap%3A283-%3Ad%3A579482)__: Study finds only two sub-categories of smart beta ETFs outperform traditional cap-weighted market indices. (2021-06-02, shares: 38) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-14-y-2021-i-7-p-283-d-579482/
- __[Optimal Diversification](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F14%2F11%2F551%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A14%3Ay%3A2021%3Ai%3A11%3Ap%3A551-%3Ad%3A679488)__: Paper analyzes optimal number of stocks in diversified portfolios during market turmoil. (2021-04-08, shares: 32) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-14-y-2021-i-11-p-551-d-679488/
- __[Shrinkage Estimator for Portfolios](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F15%2F6%2F249%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A15%3Ay%3A2022%3Ai%3A6%3Ap%3A249-%3Ad%3A829749)__: Study proposes shrinkage estimator for portfolio selection, outperforming traditional methods. (2022-07-05, shares: 25) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-15-y-2022-i-6-p-249-d-829749/
- __[NonNormal Risk Measures](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F14%2F11%2F540%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A14%3Ay%3A2021%3Ai%3A11%3Ap%3A540-%3Ad%3A676017)__: Paper examines statistical properties of risk measures in non-normal distribution for risk management. (2021-05-03, shares: 23) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-14-y-2021-i-11-p-540-d-676017/
- __[Transfer Learning for Selection](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F10%2F3%2F432%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A10%3Ay%3A2022%3Ai%3A3%3Ap%3A432-%3Ad%3A737832)__: Study explores knowledge transfer problem between artificially generated and existing benchmark problems in numerical optimization. (2022-02-26, shares: 20) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-10-y-2022-i-3-p-432-d-737832/
- __[Predicting Fund Survival with Neural Networks](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F9%2F6%2F695%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A9%3Ay%3A2021%3Ai%3A6%3Ap%3A695-%3Ad%3A522910)__: Neural networks predict mutual fund survival with 87% accuracy. (2021-01-28, shares: 20) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-9-y-2021-i-6-p-695-d-522910/
- __[Beta Anomaly in SA Markets](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F15%2F5%2F214%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A15%3Ay%3A2022%3Ai%3A5%3Ap%3A214-%3Ad%3A810895)__: Beta anomaly disappears in South African stock market after controlling for factors. (2022-05-22, shares: 23) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-15-y-2022-i-5-p-214-d-810895/
- __[Algorithm for Portfolio Optimization](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F10%2F22%2F4262%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A10%3Ay%3A2022%3Ai%3A22%3Ap%3A4262-%3Ad%3A972674)__: Algorithm for active business management can increase income in animal husbandry. (2022-01-03, shares: 19) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-10-y-2022-i-22-p-4262-d-972674/
- __[Company Fundamentals and Equity Premiums in Pakistan](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fpanoeconomicus.org%2Findex.php%2Fjorunal%2Farticle%2Fview%2F1119%2F679%3Bh%3Drepec%3Avoj%3Ajournl%3Av%3A68%3Ay%3A2021%3Ai%3A5%3Ap%3A681-697)__: Company fundamentals affect equity premiums in Pakistan stock market. (2021-05-21, shares: 19) · https://www.ml-quant.com/papers/repec/voj-journl-v-68-y-2021-i-5-p-681-697/
- __[Modeling Recovery Rates of US Banks](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F9%2F2%2F188%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A9%3Ay%3A2021%3Ai%3A2%3Ap%3A188-%3Ad%3A482845)__: Unified recovery rate analysis can improve modeling for US banks. (2021-03-27, shares: 19) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-9-y-2021-i-2-p-188-d-482845/

## Papers with code

### Trending

- __[Scaling Speech Tech to 1000 Languages](https://github.com/facebookresearch/fairseq)__: Speech technology can improve access to information with expanded language coverage. (2023-05-23, shares: 24112)
- __[Sparks of AGI with GPT4](https://github.com/microsoft/guidance)__: GPT4 is a new AI model with more general intelligence. (2023-05-19, shares: 6473)
- __[EasySpider: NoCode Visual System for Web Crawling](https://github.com/NaiboWang/EasySpider)__: NoCode Visual System for Web Crawling: Webcrawling is crucial for research. (2023-05-21, shares: 4066)
- __[CodeT5: Open Code Large Language Models for Code Gen](https://github.com/salesforce/codet5)__: Open Code Large Language Models for Code Gen: CodeT5 is a family of LLMs for code that can be combined for various tasks. (2023-05-18, shares: 1132)

### Rising

- __[SoundStorm](https://github.com/lucidrains/soundstorm-pytorch)__: SoundStorm model for audio generation. (2023-05-21, shares: 170)
- __[SpeechGPT](https://github.com/0nutation/speechgpt)__: Multimodal language models important for AGI, ChatGPT popular. (2023-05-21, shares: 117)
- __[ONEPEACE](https://github.com/OFA-Sys/ONE-PEACE)__: Building scalable representation model for multiple modalities. (2023-05-21, shares: 87)
- __[Tree of Thoughts](https://github.com/kyegomez/tree-of-thoughts)__: Language models limited to token-level decision making. (2023-05-22, shares: 82)

## GitHub

### Finance

- __[EconML](https://github.com/py-why/EconML)__: ALICE uses AI for causal inference in economics. (2018-04-30, shares: 2946)
- __[Quant Finance with Python](https://github.com/shashankvemuri/Finance)__: ALICE Python SDK has ML algorithms for causal effect measurement. (2020-02-09, shares: 625)
- __[Pyalgotrading](https://github.com/algobulls/pyalgotrading)__: + Python programs for quantitative finance. (2020-05-01, shares: 150)
- __[FEDOT](https://github.com/aimclub/FEDOT)__: AlgoBulls has a Python package for Algorithmic Trading APIs. (2020-01-13, shares: 526)
- __[Fairlearn](https://github.com/fairlearn/fairlearn)__: FEDOT is an automated modeling and ML framework. (2018-05-15, shares: 1569)

### Trending

- __[Language Model Control Guide](https://github.com/microsoft/guidance)__: Guidelines for controlling large language models. (2022-11-10, shares: 6407)
- __[Market Makers for Exchanges](https://github.com/makerdao/market-maker-keeper)__: Framework for decentralized exchanges. (2017-11-30, shares: 452)
- __[Dai Auction Keeper](https://github.com/makerdao/auction-keeper)__: Keeper for multicollateral Dai auctions. (2018-05-16, shares: 120)
- __[Gaussian Process Optimization in Python](https://github.com/bayesian-optimization/BayesianOptimization)__: Python implementation for global optimization. (2014-06-06, shares: 6784)
- __[Python Mastery in 100 Days](https://github.com/jackfrued/Python-100-Days)__: Python learning guide for beginners to experts. (2018-03-01, shares: 136016)

## News

### Quantitative

- __[Solving Securities Finance Function](https://news.google.com/rss/articles/CBMikAFodHRwczovL3d3dy5zZWN1cml0aWVzZmluYW5jZXRpbWVzLmNvbS9zcGVjaWFsaXN0ZmVhdHVyZXMvc3BlY2lhbGlzdGZlYXR1cmUucGhwP3NwZWNpYWxpc3RfaWQ9Njg5Jm5hdmlnYXRpb25hY3Rpb249ZmVhdHVyZXMmbmV3c3NlY3Rpb249ZmVhdHVyZXPSAQA?oc=5)__: Securities Finance Times on importance of finance function. (2023-05-19, shares: 6)
- __[Maitri Capital's $250M Quant Fund Launch](https://news.google.com/rss/articles/CBMie2h0dHBzOi8vd3d3LmRpZ2l0YWxqb3VybmFsLmNvbS9wci9uZXdzL2JpbmFyeS1uZXdzLW5ldHdvcmsvbWFpdHJpLWNhcGl0YWwtbGF1bmNoaW5nLWN1dHRpbmctZWRnZS1xdWFudC1mdW5kLXRhcmdldGluZy0yNTAtbdIBAA?oc=5)__: Maitri Capital launching $250M quant fund. (2023-05-19, shares: 4)
- __[NonFinance Citadel Internship](https://www.efinancialcareers.com/news/2023/05/internships-for-hedge-fund-jobs)__: Citadel hires interns from diverse backgrounds. (2023-05-22, shares: 2)
- __[Tim Lincoln's Quant Rules](https://news.google.com/rss/articles/CBMiQmh0dHBzOi8vd3d3LnJhc2ttZWRpYS5jb20uYXUvMjAyMy8wNS8yNC90aW0tbGluY29sbnMtc3RvY2stZG9jdG9yL9IBAA?oc=5)__: Rask Media on importance of PhD-level quant rules in finance. (2023-05-24, shares: 2)

### Miscellaneous

- __[Ackman's Fund Sells at Discount](https://www.barrons.com/articles/bill-ackman-pershing-square-fund-discount-asset-value-d9dc1027)__: Pershing Square Holdings trades at a discount. (2023-05-24, shares: 1)
- __[Killer Question: Candies vs Stickers](https://www.efinancialcareers.com/news/2023/05/hardest-interview-questions)__: Candies vs Stickers: Article lists challenging brainteasers for quant interviews. (2023-05-19, shares: 1)
- __[JPMorgan Cuts Tech Costs, Hires Data Scientists](https://www.efinancialcareers.com/news/2023/05/jpmorgan-data-science-machine-learning-jobs)__: JPMorgan has a standout in asset management. (2023-05-22, shares: 1)
- __[Top 0 Financial Engineering Courses by Pay](https://www.efinancialcareers.com/news/finance/top-masters-in-financial-engineering-courses)__: Some courses offer high employment and salaries. (2023-05-24, shares: 1)
- __[Public College Outperforms Princeton in Quant Salaries](https://www.efinancialcareers.com/news/2023/05/masters-in-financial-engineering-graduate-salaries)__: New MFE course is top in the field. (2023-05-22, shares: 1)

## Podcasts

### Quantitative

- __[Research Portfolio Building and Risk Management with Jonah Lupton](https://rss.com/podcasts/confessionsmm/957874)__: Podcast with Jonah Lupton on finance, trading, and health. (2023-05-19, shares: 17)
- __[ReThinking Financial Planning with Roni Israelov](https://flirtingwithmodels.libsyn.com/roni-israelov-high-frequency-factors-the-volatility-risk-premium-and-re-thinking-financial-planning-s6e4)__: Interview with Roni Israelov on global asset risk models and portfolio optimization. (2023-05-22, shares: 14)
- __[Beware a False Market Breakout by Mike Wilson](https://chrt.fm/track/E5A66E/pdst.fm/e/rss.art19.com/episodes/3b2e0176-6514-4cd5-8dfc-0d90c98e8d9f.mp3?rss_browser=BAhJIgtTYWZhcmkGOgZFVA%3D%3D--e8daa48e4e049c2293a0ad1663b4a762c475e386)__: Market update from Mike Wilson on bullish market narrative and earnings concerns. (2023-05-22, shares: 5)
- __[Discovering Financial Freedom with Stock Mom](https://pdcn.co/e/www.buzzsprout.com/2034153/12894750-discovering-financial-freedom-stock-mom-talks-investing-trading-and-personal-growth.mp3)__: Interview with Stock Mom on trading journey and advice. (2023-05-22, shares: 5)

### Related

- __[Robyn Grew on Portfolios](https://omny.fm/shows/masters-in-business/robyn-grew-on-portfolio-construction)__: Bloomberg Radio host interviews CEO of Man Group. (2023-05-19, shares: 4)
- __[Debt Ceiling, FAANGs, and Football](https://audioboom.com/posts/8305254)__: Podcast covers short-term Treasuries, US tech stocks, and China's property sector. (2023-05-23, shares: 3)
- __[Peak Passive Debate with John Authers and Michael Gayed](https://pdcn.co/e/www.buzzsprout.com/2034153/12894742-john-authers-michael-gayed-unraveling-the-peak-passive-debate.mp3)__: John Authers interviews Michael Gayed on the Peak Passive Debate. (2023-05-22, shares: 3)
- __[Dr Phil Pearlman on Trader Wellness](https://rss.com/podcasts/confessionsmm/964603)__: Confessions of a Market Maker podcast talks about the importance of health and wellness for traders. (2023-05-23, shares: 3)
- __[Psychopathological Safety in AGI](https://dataskeptic.com/blog/episodes/2023/a-psychopathological-approach-to-safety-in-agi)__: Vahid Behzadan discusses safety concerns with AGI emergence. (2023-05-23, shares: 2)

## Blogs

### Quantitative

- __[ETF Comovement Effect](https://quantpedia.com/exploration-of-the-arbitrage-co-movement-effect-in-etfs/)__: ETF flows can predict daily performance. (2023-05-23, shares: 10)
- __[FX Trend Following with Macro Headwinds](https://research.macrosynergy.com/fx-and-macro-headwinds/)__: Stock sensitivity to ETF arbitrage can be used for equity factor trading. (2023-05-20, shares: 2)
- __[Index Fund Reimagining](https://blog.thinknewfound.com/2023/05/index-funds-reimagined/)__: FX trend following affected by macro headwinds. (2023-05-19, shares: 2)

### Related

- __[Quant Earnings in Financial Markets](https://wilmott.com/what-could-you-earn-as-a-quant/)__: Global financial markets facing challenges from COVID-19 and Ukraine conflict. (2023-05-18, shares: 2)
- __[Predicting Stock Returns](https://portfoliooptimizer.io/blog/the-single-greatest-predictor-of-future-stock-market-returns-ten-years-after/)__: Indicator introduced in 2013 to forecast long-term U.S. stock market returns. (2023-05-22, shares: 1)
- __[Exploring Momentum in Markets](https://stockviz.substack.com/p/a-plethora-of-momentum)__: Unclear summary for slice dice shake and bake article. (2023-05-21, shares: 0)

## Videos

### Quantitative

- __[Credit Cards: Pros and Cons](https://www.youtube.com/watch?v=EUeNFqfYdLs)__: Pros and Cons: Credit cards can be good or bad. (2023-05-21, shares: 16)
- __[Eliot from Jane Street Trading](https://www.youtube.com/watch?v=wfdk6n8LE6c)__: Introduction to Eliot from Jane Street NY. (2023-05-23, shares: 25)
- __[Nicole from Jane Street Trading](https://www.youtube.com/watch?v=fqUEDAVuS8E)__: Introduction to Nicole from Jane Street London. (2023-05-23, shares: 156)
- __[Rachel from Jane Street Trading Desk](https://www.youtube.com/watch?v=_2T5FijrIE0)__: Introduction to Rachel from Jane Street London. (2023-05-23, shares: 83)
- __[Ian from Jane Street Software Engineering](https://www.youtube.com/watch?v=x4m9lti4a_A)__: Introduction to Ian from Jane Street London. (2023-05-23, shares: 226)

## X / Twitter

### Quantitative

- __[Nonparametric Estimators for Volatility](https://twitter.com/macro_srsv/status/1659089413102608386)__: Nonparametric estimators of volatility and leverage effect proposed using short-dated options. (2023-05-18, shares: 6)
- __[FX Trend Following](https://twitter.com/macro_srsv/status/1659820923518611458)__: FX trend following benefits from adjusting for external balances. (2023-05-20, shares: 3)
- __[Statistical Models for Market Behavior](https://twitter.com/macro_srsv/status/1659453197088423936)__: Statistical models identify different types of trading strategies. (2023-05-19, shares: 3)
- __[Economic Trend and Asset Prices](https://twitter.com/macro_srsv/status/1660537224470089729)__: Economic trend capitalizes on macro information's impact on asset prices. (2023-05-22, shares: 2)
- __[Fintech Trends: MA and Partnerships](https://twitter.com/carlcarrie/status/1660062091301072899)__: MA and Partnerships: Fintech sectors likely to see deal activity include open banking, neobanks, regtech, paytechs, and currency providers. (2023-05-21, shares: 1)

### Miscellaneous

- __[AI Camera: Ring Project](https://twitter.com/carlcarrie/status/1659129739053809667)__: Ring Project: Carl Carrie creates wearable camera for AI. (2023-05-18, shares: 0)
- __[AI Risk Management for CISOs](https://twitter.com/carlcarrie/status/1661008580353609736)__: CISOs must address AI risks across tech and product organizations. (2023-05-23, shares: 0)
- __[Diverse Currency Carry Investment](https://twitter.com/macro_srsv/status/1660904631487135745)__: Currency carry, momentum, and value as diversifiers for forex investors. (2023-05-23, shares: 0)
- __[AIs Impact on SaaS](https://twitter.com/carlcarrie/status/1660071360473776129)__: AI is disrupting SaaS, but where are the moats? (2023-05-21, shares: 0)
- __[ChatGPT: Ethical Comedy](https://twitter.com/carlcarrie/status/1660674516941512704)__: Ethical Comedy: ChatGPT discusses ethics and comedy. (2023-05-22, shares: 0)

## Reddit

### Quantitative

- __[Quant Trader vs Quant Research Interviews](https://www.reddit.com/r/quant/comments/13oe6ps/quant_trader_vs_quant_research_interviews/)__:  (2023-05-22, shares: 21)
- __[Masters in Quant Finance vs 2nd Degree in Statistics](https://www.reddit.com/r/quantfinance/comments/13m9xwy/masters_in_quant_finance_or_2nd_degree_in/)__:  (2023-05-19, shares: 5)
- __[Exos Financial: Culture, Management, and Work-Life Balance](https://www.reddit.com/r/quant/comments/13lbfyq/has_anyone_had_any_experience_working_at_exos/)__:  (2023-05-18, shares: 9)
- __[CQF for New Grads in Quant Finance?](https://www.reddit.com/r/quantfinance/comments/13l6j8s/cqf_for_a_new_grad/)__:  (2023-05-18, shares: 2)

### Rising

- __[Weather Derivatives: Pros and Cons](https://www.reddit.com/r/quant/comments/13lqykd/weather_derivatives_yay_or_nay/)__:  (2023-05-19, shares: 32)
- __[Starting with Automated Trading Strategies](https://www.reddit.com/r/algotrading/comments/13ols2q/how_should_i_go_about_automating_my_trading/)__:  (2023-05-22, shares: 16)
- __[From Corporate Credit Modelling to Quant Research](https://www.reddit.com/r/quant/comments/13mz2xt/is_this_transition_possible/)__:  (2023-05-20, shares: 12)
- __[Understanding TGS Management](https://www.reddit.com/r/quant/comments/13l6eit/anyone_here_know_much_about_tgs_management/)__:  (2023-05-18, shares: 48)
- __[Historical DOM Data for Algorithmic Trading](https://www.reddit.com/r/algotrading/comments/13li3bm/where_to_find_historical_dom_data/)__:  (2023-05-19, shares: 25)