June 2023, Week 1

Risk Models with Real-World Factors

Study presents model for analyzing strategic risk-taking in continuous games.

30 May 20234 shares1 citation todaySource ↗

Green Portfolio Construction with Scenario Analysis

Article discusses construction of environment-friendly green portfolio using ESG ratings and modern portfolio theory.

26 May 20233 shares1 citation todaySource ↗

Identifying Cross-Impact in Trading

Study identifies features that make cross-impact relevant in explaining price returns.

26 May 20233 shares8 citations todaySource ↗

Systemic Risk in Large Banks: Insights from a Game Model

Insights from a Game Model: Study investigates impact of large banks on financial system stability.

29 May 20233 shares8 citations todaySource ↗

Compositional Data Analysis for Industry-Level Financial Statements

Article presents use of compositional data analysis for financial statement analysis.

26 May 20232 shares5 citations todaySource ↗

RNGs and Market Efficiency

Efficient market hypothesis tested using random number generator tests, finding varying information efficiency across years and reflecting market impacts.

27 May 20232 shares2 citations todaySource ↗

Quantile Dynamics in VaR Forecasts

Simulation shows improved time-varying VaR models for forecasting conditional quantiles.

31 May 20232 shares1 citation todaySource ↗

Information Integration for Portfolio Selection

New forecasting tool proposed that combines historical data with forward-looking market portfolio information and responds quickly at market turning points.

29 May 20232 sharesSource ↗

Exponential Utility Maximization in Gaussian Framework

Solution presented for investor informed about risky asset's price changes with a delay in discrete time exponential utility maximization problem.

29 May 20232 shares3 citations todaySource ↗

Estimating Required Rate of Return with DDM

New estimation methods introduced for required rate of returns on equity and liabilities of private and public companies using stochastic DDM, applied to S&P 500 firms over 32 years.

31 May 20232 shares8 citations todaySource ↗

Notice Length & Unemployment Duration

New approach to distinguish impact of duration-dependent forces and adverse selection on unemployment exit rate using DWS data and GMM.

27 May 20235 shares1 citation todaySource ↗

GAS Trees & Forests for Improved Forecasts

Proposal to improve GAS model forecasts by localizing parameters using decision trees and random forests, outperforming baseline model in empirical analyses.

30 May 20233 shares5 citations todaySource ↗

The AR and VR Economics

Economic value of AR and VR technologies evaluated with proposed metrics and identified impact areas.

26 May 20232 shares4 citations todaySource ↗

Inflation Targeting's Macroeconomic Effects

Review of literature on inflation targeting finds no convincing evidence of superior macroeconomic benefits compared to alternative strategies.

27 May 20232 shares3 citations todaySource ↗

School Admission Address Manipulation

Research shows affluent households more likely to manipulate eligibility for school admissions, leading to inefficient and unequal public services.

30 May 20232 shares3 citations todaySource ↗

Realistic Evaluation of Financial Misstatement Detection

Examining evaluation process for detecting financial misstatements

27 May 20236 shares11 citations todaySource ↗

LLMs Zero-Shot Performance in Finance

Investigating effectiveness of zero-shot large language models in finance

26 May 20235 shares21 citations todaySource ↗

Comparative Portfolio Optimization Analysis

Comparing portfolio optimization approaches on stock data

27 May 20234 shares4 citations todaySource ↗

Transfer Learning for Domain Adaptation through Dependence Structure

Proposing new domain adaptation approach for learning machines.

31 May 20232 shares15 citations todaySource ↗

Strong Lead-Lag Relationships in Time Series

A methodology for detecting lead-lag relationships in time series systems can be used for control, forecasting, or clustering, and is useful for financial markets or environmental data sets.

11 May 2023122 shares5 citations todaySource ↗

Private Information and Derivatives Price Discovery

A model of insider trading on higher moments of the underlying payoff can be used to trade on any given moment, using an informed demand formula prescribing option strategies.

26 Feb 202335 shares1 citation todaySource ↗

Rapid Detection of Ecological Regime Shifts

A Pareto optimal framework for regime shift detection under uncertainty can be used to study renewable resources and determine whether an adverse regime shift can lead to an aggressive or precautionary extraction policy.

23 May 202021 sharesSource ↗

Predicting Oil Company Stocks with LSTM Models

Study finds limited interpretability of LSTM models for predicting oil company stocks.

2 Jan 202221 shares6 citations todaySource ↗

Optimal Asset and Signal Combination using Canonical Portfolios

New framework offers economic insights into optimal asset and signal combination problem.

22 Feb 202217 shares7 citations todaySource ↗

Contagion of Default System with Overspilling Effects

Model captures contagious impact of default system on global economy.

26 Sep 201713 shares2 citations todaySource ↗

Crowdsourcing Market Design

Crowdsourcing proposed for optimal allocations with imperfect observations.

7 Feb 2023539 sharesSource ↗

Hidden Markov Chain Approximations

New method proposed for Markov processes with continuous support for more accurate solutions.

17 May 2023300 sharesSource ↗

Hedge Fund Fees and Long-Run Outcomes

Asset managers' performance-based fees often don't align with long-term outcomes.

19 Jun 20202,727 sharesSource ↗

Transaction Frictions in Homebuying

All cash homebuyers in the US account for one-third of home purchases over 1980-2017, and mortgaged buyers must pay an 11% premium over all-cash buyers.

19 Feb 20212,104 sharesSource ↗

Equity Return Expectations and Portfolios

Asset managers' equity premium expectations are countercyclical.

14 Jan 2021659 sharesSource ↗

Political Slant in Academic Research

Research in Economics and Political Science displays a liberal slant, while Finance and Accounting research exhibits a conservative slant.

19 May 2023563 shares2 citations todaySource ↗

Statistical Modeling of High-Frequency Trading Data

Information flow impact on high-frequency traders and statistical modeling approaches.

1 Jun 202341 sharesSource ↗

Gold as a Zero-Beta Asset

Using gold as a zero-beta asset improves asset pricing models for US equities and industries.

1 Jun 202329 sharesSource ↗

Timing US Sector Funds for Black Swan Survival

Simple approach to algorithmic trading for small investors to improve sector fund performance.

1 Jun 202321 sharesSource ↗

Inference of Binary Regime Models with Jumps

Novel statistical technique for jump detection and volatility estimation in high-frequency data for algorithmic trading.

1 Jun 202321 sharesSource ↗

Adaptive Portfolio Strategy with User-Specified Risk

Examining volatility transmission in forex market using high-frequency data and multivariate HAR model.

1 Jun 202320 sharesSource ↗

Volatility Transmission in Forex Market

A new approach for evaluating portfolio performance using Euclidean distance is proposed.

1 Jun 202319 sharesSource ↗

Vector Distance Portfolio Evaluation

A study finds that better-performing agents in a multi-agent stock market simulator learn diverse trading strategies and employ a fundamentalist approach.

1 Jun 202319 sharesSource ↗

Stock Price Formation with Multi-Agent Reinforcement Learning

The impact of signed realized semivariances and jumps on exchange rate volatility is evaluated.

1 Jun 202316 sharesSource ↗

Forex Market Jumps and Semivariances

A reliability-based design optimization framework is developed for portfolio optimization problems.

1 Jun 202316 sharesSource ↗

Reliability-Based Portfolio Optimization Design

Central bank transparency has a stabilizing effect on exchange rate volatility in Asian emerging markets.

1 Jun 202314 sharesSource ↗

Asian Emerging Markets and Central Bank Transparency

A new model and classification for accounting for a specific jump component of volatility and the impact of monetary policy announcements is proposed.

1 Jun 202314 sharesSource ↗

Forecasting High-Dimensional Portfolios

New methodology for forecasting and portfolio formation in large portfolios of assets introduced, resulting in better investment performance.

1 Jun 202317 sharesSource ↗

Predicting Stock Market Volatility with Financial Report Tone

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.

1 Jun 202316 sharesSource ↗

Bitcoin Price Prediction with ML Techniques

Bitcoin prices predicted with 64.84% accuracy using statistical methods and 59.4% accuracy using complex algorithms.

1 Jun 202320 sharesSource ↗

Improved Model for Non-Stationary Probabilistic Regression

Mixture of warped Gaussian processes (MWGP) model proposed for non-stationary probabilistic regression, shown to be more effective than other models.

1 Jun 202312 sharesSource ↗

Coordination of Interests in Investment Management as a Game

Portfolio selection problem treated as a two-player game, with machine learning models used to analyze UIT's learning in a computational experiment.

1 Jun 202312 sharesSource ↗

Neural Networks for Multi-Asset Bermudan Options

Multi-layered neural networks used for option pricing in commodity markets with high accuracy.

1 Jun 202329 sharesSource ↗

Online Hybrid Neural Network for Stock Price Prediction

Online time series forecasting method for high-frequency trading developed using deep learning models.

1 Jun 202321 sharesSource ↗

Modelling Systemic Risk in Morocco's Banks

QRNN optimized by Adam algorithm shows increased systemic risk in Moroccan banking system during COVID-19 crisis.

1 Jun 202313 sharesSource ↗

Smart Beta ETFs

Analysis of 145 EU smart beta ETFs over 12 years using 3 models.

27 Aug 202138 sharesSource ↗

Shrinkage Estimator for Portfolios

Shrinkage estimator of covariance matrix outperforms traditional methods in Vietnam stock market study.

18 Apr 202225 sharesSource ↗

Alternative Risk Measures

Normal distribution assumptions inadequate for measuring risk, proposes alternative measures.

1 Sep 202123 sharesSource ↗

Neural Networks and Mutual Fund Survival

Neural networks used to predict mutual fund survival based on traditional variables.

16 Apr 202120 sharesSource ↗

Transfer Learning for Optimization

Study shows low-quality results when using artificially generated benchmark problems for algorithm selection in numerical optimization.

2 Oct 202220 sharesSource ↗

Trade Aid and Exchange Rate Volatility

Aid for Trade negatively affects exchange rate volatility, more so for non-LDCs.

25 Mar 202220 sharesSource ↗

Recovery Rates for US Banks

Further development needed for credit risk management recovery rate models.

27 May 202119 sharesSource ↗

Business Management Algorithm for Portfolio Optimization

Algorithm for active business management using portfolio optimization tested with animal husbandry data in Bulgaria.

4 Apr 202219 sharesSource ↗

Company Fundamentals and Equity Premiums in Pakistan

Company fundamentals affect firm-level equity premiums, with debt-to-equity and quick ratio having a negative effect.

12 Aug 202119 sharesSource ↗

Beta Anomaly Investigation in South Africa

Beta anomaly exists in Johannesburg Stock Exchange but disappears after controlling for idiosyncratic volatility and COVID-19 effects.

2 Aug 202223 sharesSource ↗

LLMs in Minecraft

LLMs are good at handling complex environments through text-based interactions.

31 May 2023308 shares

AlpacaFarm Simulation for Learning

AlpacaFarm's reward model helps improve winrate against Davinci003.

26 May 2023269 shares

Sophia: Scalable Language Model Optimizer

Scalable Language Model Optimizer: Optimizing algorithms can reduce the cost and time of language model pretraining.

26 May 2023158 shares

Language Models as Tool Makers

Tool making and Python functions used for tasks.

30 May 2023129 shares

FineTuning Language Models

Finetuning language models requires too much memory.

31 May 2023126 shares

ExpertPrompting for Language Models

Prompts can improve language model answers.

27 May 2023107 shares

Training Aligned Language Models

Social alignment in AI systems for societal values.

31 May 202369 shares

Python Data Science Notebooks

Data science Python notebooks with various tools and technologies.

23 Jan 201525,131 shares

Pytorch Trading

Pytorch implementation of Axial-LOB for high-frequency trading.

26 Jan 202318 shares

InStock Investment Tool

Quantitative investment tool for capturing stock data and automated trading.

21 Mar 2023130 shares

Private GPT Document Interaction

App for private document interaction using GPT.

25 May 20231,140 shares

Binance Trading Bot with Telegram

Multi-strategy automatic trading for Binance Futures with Telegram integration.

4 Jul 2022206 shares

Gorilla Store

Gorilla: API management for LLMs.

19 May 2023641 shares

Overfitting Experiment

Code for replicating GAN experiment provided.

2 Oct 201935 shares

Voyager Agent

New embodied agent with large language models.

25 May 20231,664 shares

Financial Graph Construction

Process for constructing financial knowledge graph.

27 Jun 20192,200 shares

Tech & Market Volatility

Technology can help asset allocators in any market.

30 May 20233 shares

ChatGPT: Hedge Funds

Hedge Funds: Hedge funds are using ChatGPT for menial tasks.

31 May 20233 shares

Quant Fund Growth

Quant fund trends offer market growth opportunities.

26 May 20232 shares

FinTech Olympiad for Students

FinTech Olympiad inspires students to use technology.

29 May 20232 shares

Abu Dhabi vs. London: Hedge Funds

Hedge Funds: Florin Court Capital opens office in Abu Dhabi with 40 employees.

1 Jun 20232 shares

Chinese fund seeks grad hires

Quantitative funds are successful in finance.

30 May 20232 shares

Low pay for finance software engineers

Tech pay in finance is decreasing.

1 Jun 20231 shares

NY tech analyst earns 275k from banks

Banking values certain engineering roles.

30 May 20230 shares

AI investing: Resistance is futile

Resistance is futile: Resistance to AI in finance is pointless.

31 May 20230 shares

Bank engineering salary rankings

Top destinations for engineers in Europe, Asia, and the US are listed.

31 May 20230 shares

Mastering Automated Trading Strategies with Brad Matheny

Brad Matheny talks about automated trading strategies and risk management.

28 May 202322 shares

Build Your Own ETF and Advanced Tax Strategies with Wes Gray Alpha Architect

Wes Gray discusses investments and tax minimization.

1 Jun 202313 shares

Mastering Sideways Market Trading with David Floyd

David Floyd shares insights into day trading and swing trading.

26 May 202313 shares

Applying A Random Walk with Burton Malkiel

Dr Burton Malkiel talks about the latest update of his book and current investment trends.

31 May 202310 shares

Mastering Market Sentiment with Charles Rotblut

Charles Rotblut discusses the correlation between sentiment and market movements.

26 May 20239 shares

Mastering Day Trading Mindset

Vincent Bruzzese talks about mindset in trading.

27 May 20239 shares

Private Equity Opportunities

David Lebovitz, Stephen Catherwood, and Ashmi Mehrotra discuss private equity.

31 May 20238 shares

Income Generation in Options Trading

Barry Martin shares thoughts on the market and generating income.

1 Jun 20237 shares

Winning Strategies for Market Returns

Matt Caruso shares strategies for outperforming the market.

26 May 20237 shares

Managing a Crypto Prop Desk

Macrocephalopod compares trading strategies in different markets.

29 May 20235 shares

Derivatives without expressions

Article discusses exploring options and derivatives without analytic expressions.

30 May 20238 shares

Media Investment

CIO of New Asia Ferrell Asset Management talks about leading the firm's alternatives business.

27 May 20234 shares

Detecting financial outliers

Article discusses identifying outlier financial time series within grouped categories.

31 May 20232 shares

Educational Alpha

CEO of CAIA Association talks about the impact of bots on the financial industry.

31 May 20232 shares

Debt Ceiling in Focus

No summary provided.

30 May 20232 shares

Pivoting Strategies

Uncertainty in global investments.

28 May 20230 shares

US Debt Ceiling FAQ

Uncertainty around US Debt Ceiling negotiations.

26 May 20230 shares

Investor Biases

Decision makers are influenced by biases.

26 May 20230 shares

Ergodic Exploration Finance

Video on ergodic theory for accurate timeseries models.

28 May 202337 shares

ChatGPT Quant Finance

Discussion of ChatGPT and Bard in finance.

28 May 20238 shares

Machine Learning for Profitability Measurement

Machine learning helps measure firm profitability better.

1 Jun 20234 shares

Risk Premia Strategies Across Asset Classes

Study examines risk premia strategies in different asset classes.

30 May 20234 shares

Stock Recommendations and Market Returns

Analysts' stock recommendations reflect return expectations and risk perception.

31 May 20233 shares

Forecasting Correlations with LASSO for Trading Strategies

LASSO used to forecast correlations and improve portfolio risk targeting.

29 May 20232 shares

Machine Learning and Asset Returns: Lecture Notes

Lecture Notes: Prof. Doron Avramov's lecture notes on machine learning and asset returns.

30 May 20232 shares

Asness on Wealth

Clifford Asness interviewed on Bloomberg TV Wealth.

31 May 20231 shares

Robeco's Equity Factor Premiums

Robeco discusses equity factor premiums.

30 May 20231 shares

Investor Behavioural Biases

Amundi notes investor biases and their impact.

31 May 20231 shares

Institutional Investors and Smart Beta

Institutional investors bullish on smart beta strategies.

31 May 20231 shares

Quant Funds and ChatGPT

Large quant funds experimenting with ChatGPT.

31 May 20231 shares

Active Reading

29 May 20233 shares

Auto Volatility Forecasting

26 May 20236 shares

Quant Finance ML Books

27 May 202332 shares

Education and Hiring for Quants

29 May 20238 shares

US Stock Data Sources

29 May 202343 shares

New Data Provider Needed

26 May 2023117 shares

Covariance Matrix for Portfolio Optimization

28 May 202327 shares