---
title: Quant Letter No. 2: June 2023, Week 1
url: https://www.ml-quant.com/issues/2023-06-01/
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: 2023-06-01
---


# Quant Letter No. 2: June 2023, Week 1

Sent 2023-06-01. 123 items.

## arXiv

### Finance

- __[Risk Models with Real-World Factors](https://arxiv.org/abs/2305.18941)__: Study presents model for analyzing strategic risk-taking in continuous games. (2023-05-30, shares: 4) · https://www.ml-quant.com/papers/arxiv/2305.18941/
- __[Green Portfolio Construction with Scenario Analysis](https://arxiv.org/abs/2305.16712)__: Article discusses construction of environment-friendly green portfolio using ESG ratings and modern portfolio theory. (2023-05-26, shares: 3) · https://www.ml-quant.com/papers/arxiv/2305.16712/
- __[Identifying Cross-Impact in Trading](https://arxiv.org/abs/2305.16915)__: Study identifies features that make cross-impact relevant in explaining price returns. (2023-05-26, shares: 3) · https://www.ml-quant.com/papers/arxiv/2305.16915/
- __[Systemic Risk in Large Banks: Insights from a Game Model](https://arxiv.org/abs/2305.17830)__: Insights from a Game Model: Study investigates impact of large banks on financial system stability. (2023-05-29, shares: 3) · https://www.ml-quant.com/papers/arxiv/2305.17830/
- __[Compositional Data Analysis for Industry-Level Financial Statements](https://arxiv.org/abs/2305.16842)__: Article presents use of compositional data analysis for financial statement analysis. (2023-05-26, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.16842/
- __[RNGs and Market Efficiency](https://arxiv.org/abs/2305.17419)__: Efficient market hypothesis tested using random number generator tests, finding varying information efficiency across years and reflecting market impacts. (2023-05-27, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.17419/
- __[Quantile Dynamics in VaR Forecasts](https://arxiv.org/abs/2305.20067)__: Simulation shows improved time-varying VaR models for forecasting conditional quantiles. (2023-05-31, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.20067/
- __[Information Integration for Portfolio Selection](https://arxiv.org/abs/2305.17881)__: New forecasting tool proposed that combines historical data with forward-looking market portfolio information and responds quickly at market turning points. (2023-05-29, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.17881/
- __[Exponential Utility Maximization in Gaussian Framework](https://arxiv.org/abs/2305.18136)__: Solution presented for investor informed about risky asset's price changes with a delay in discrete time exponential utility maximization problem. (2023-05-29, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.18136/
- __[Estimating Required Rate of Return with DDM](https://arxiv.org/abs/2305.19708)__: 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. (2023-05-31, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.19708/

### Economics

- __[Notice Length & Unemployment Duration](https://arxiv.org/abs/2305.17344)__: New approach to distinguish impact of duration-dependent forces and adverse selection on unemployment exit rate using DWS data and GMM. (2023-05-27, shares: 5) · https://www.ml-quant.com/papers/arxiv/2305.17344/
- __[GAS Trees & Forests for Improved Forecasts](https://arxiv.org/abs/2305.18991)__: Proposal to improve GAS model forecasts by localizing parameters using decision trees and random forests, outperforming baseline model in empirical analyses. (2023-05-30, shares: 3) · https://www.ml-quant.com/papers/arxiv/2305.18991/
- __[The AR and VR Economics](https://arxiv.org/abs/2305.16872)__: Economic value of AR and VR technologies evaluated with proposed metrics and identified impact areas. (2023-05-26, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.16872/
- __[Inflation Targeting's Macroeconomic Effects](https://arxiv.org/abs/2305.17474)__: Review of literature on inflation targeting finds no convincing evidence of superior macroeconomic benefits compared to alternative strategies. (2023-05-27, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.17474/
- __[School Admission Address Manipulation](https://arxiv.org/abs/2305.18949)__: Research shows affluent households more likely to manipulate eligibility for school admissions, leading to inefficient and unequal public services. (2023-05-30, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.18949/

### Miscellaneous

- __[Realistic Evaluation of Financial Misstatement Detection](http://dx.doi.org/10.1145/3490354.3494453)__: Examining evaluation process for detecting financial misstatements (2023-05-27, shares: 6) · https://www.ml-quant.com/papers/doi/10-1145-3490354-3494453/
- __[LLMs Zero-Shot Performance in Finance](https://arxiv.org/abs/2305.16633)__: Investigating effectiveness of zero-shot large language models in finance (2023-05-26, shares: 5) · https://www.ml-quant.com/papers/arxiv/2305.16633/
- __[Comparative Portfolio Optimization Analysis](https://arxiv.org/abs/2305.17523)__: Comparing portfolio optimization approaches on stock data (2023-05-27, shares: 4) · https://www.ml-quant.com/papers/arxiv/2305.17523/
- __[Transfer Learning for Domain Adaptation through Dependence Structure](https://arxiv.org/abs/2305.19499)__: Proposing new domain adaptation approach for learning machines. (2023-05-31, shares: 2) · https://www.ml-quant.com/papers/arxiv/2305.19499/

### Historical Trending

- __[Strong Lead-Lag Relationships in Time Series](https://arxiv.org/abs/2305.06704)__: 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. (2023-05-11, shares: 122) · https://www.ml-quant.com/papers/arxiv/2305.06704/
- __[Private Information and Derivatives Price Discovery](https://arxiv.org/abs/2302.13426)__: 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. (2023-02-26, shares: 35) · https://www.ml-quant.com/papers/arxiv/2302.13426/
- __[Rapid Detection of Ecological Regime Shifts](https://arxiv.org/abs/2005.11500)__: 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. (2020-05-23, shares: 21) · https://www.ml-quant.com/papers/arxiv/2005.11500/
- __[Predicting Oil Company Stocks with LSTM Models](https://arxiv.org/abs/2201.00350)__: Study finds limited interpretability of LSTM models for predicting oil company stocks. (2022-01-02, shares: 21) · https://www.ml-quant.com/papers/arxiv/2201.00350/
- __[Optimal Asset and Signal Combination using Canonical Portfolios](https://arxiv.org/abs/2202.10817)__: New framework offers economic insights into optimal asset and signal combination problem. (2022-02-22, shares: 17) · https://www.ml-quant.com/papers/arxiv/2202.10817/
- __[Contagion of Default System with Overspilling Effects](https://arxiv.org/abs/1709.09255)__: Model captures contagious impact of default system on global economy. (2017-09-26, shares: 13) · https://www.ml-quant.com/papers/arxiv/1709.09255/

## SSRN

### Quantitative

- __[Crowdsourcing Market Design](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4451725)__: Crowdsourcing proposed for optimal allocations with imperfect observations. (2023-02-07, shares: 539) · https://www.ml-quant.com/papers/ssrn/4451725/
- __[Hidden Markov Chain Approximations](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4451765)__: New method proposed for Markov processes with continuous support for more accurate solutions. (2023-05-17, shares: 300) · https://www.ml-quant.com/papers/ssrn/4451765/

### Financial

- __[Hedge Fund Fees and Long-Run Outcomes](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4451531)__: Asset managers' performance-based fees often don't align with long-term outcomes. (2020-06-19, shares: 2727) · https://www.ml-quant.com/papers/ssrn/4451531/
- __[Transaction Frictions in Homebuying](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4451800)__: 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. (2021-02-19, shares: 2104) · https://www.ml-quant.com/papers/ssrn/4451800/
- __[Equity Return Expectations and Portfolios](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4451942)__: Asset managers' equity premium expectations are countercyclical. (2021-01-14, shares: 659) · https://www.ml-quant.com/papers/ssrn/4451942/
- __[Political Slant in Academic Research](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4451697)__: Research in Economics and Political Science displays a liberal slant, while Finance and Accounting research exhibits a conservative slant. (2023-05-19, shares: 563) · https://www.ml-quant.com/papers/ssrn/4451697/

## 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)__: Information flow impact on high-frequency traders and statistical modeling approaches. (2023-06-01, 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. (2023-06-01, shares: 29) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-16-y-2023-i-3-p-204-d-1098335/
- __[Timing US Sector Funds for Black Swan Survival](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)__: Simple approach to algorithmic trading for small investors to improve sector fund performance. (2023-06-01, shares: 21) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-16-y-2023-i-5-p-275-d-1149208/
- __[Inference of Binary Regime Models with Jumps](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)__: Novel statistical technique for jump detection and volatility estimation in high-frequency data for algorithmic trading. (2023-06-01, shares: 21) · https://www.ml-quant.com/papers/repec/spr-sankhb-v-85-y-2023-i-1-d-10-1007-s13571-022-00277-2/
- __[Adaptive Portfolio Strategy with User-Specified Risk](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)__: Examining volatility transmission in forex market using high-frequency data and multivariate HAR model. (2023-06-01, shares: 20) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-11-y-2023-i-7-p-1637-d-1109769/
- __[Volatility Transmission in Forex Market](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.scienpress.com%2FUpload%2FJAFB%252fVol%252013_3_3.pdf%3Bh%3Drepec%3Aspt%3Aapfiba%3Av%3A13%3Ay%3A2023%3Ai%3A3%3Af%3A13_3_3)__: A new approach for evaluating portfolio performance using Euclidean distance is proposed. (2023-06-01, shares: 19) · https://www.ml-quant.com/papers/repec/spt-apfiba-v-13-y-2023-i-3-f-13-3-3/
- __[Vector Distance 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 study finds that better-performing agents in a multi-agent stock market simulator learn diverse trading strategies and employ a fundamentalist approach. (2023-06-01, shares: 19) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-11-y-2023-i-1-p-221-d-1022556/
- __[Stock Price Formation with Multi-Agent Reinforcement Learning](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)__: The impact of signed realized semivariances and jumps on exchange rate volatility is evaluated. (2023-06-01, shares: 16) · https://www.ml-quant.com/papers/repec/kap-compec-v-61-y-2023-i-4-d-10-1007-s10614-022-10249-3/
- __[Forex Market Jumps and Semivariances](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.cairn.info%2Fload_pdf.php%3FID_ARTICLE%3DFINA_PR_018%3Bh%3Drepec%3Acai%3Afinpug%3Afina_pr_018)__: A reliability-based design optimization framework is developed for portfolio optimization problems. (2023-06-01, shares: 16) · https://www.ml-quant.com/papers/repec/cai-finpug-fina-pr-018/
- __[Reliability-Based Portfolio Optimization Design](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)__: Central bank transparency has a stabilizing effect on exchange rate volatility in Asian emerging markets. (2023-06-01, shares: 14) · https://www.ml-quant.com/papers/repec/spr-sankhb-v-85-y-2023-i-1-d-10-1007-s13571-022-00285-2/
- __[Asian Emerging Markets and Central Bank Transparency](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.cbcg.me%2Frepec%2Fcbk%2Fjournl%2Fvol12no2-6.pdf%3Bh%3Drepec%3Acbk%3Ajournl%3Av%3A12%3Ay%3A2023%3Ai%3A2%3Ap%3A133-163)__: A new model and classification for accounting for a specific jump component of volatility and the impact of monetary policy announcements is proposed. (2023-06-01, shares: 14) · https://www.ml-quant.com/papers/repec/cbk-journl-v-12-y-2023-i-2-p-133-163/

### 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. (2023-06-01, 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. (2023-06-01, shares: 16) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-11-y-2023-i-7-p-1591-d-1107077/

### Machine Learning

- __[Bitcoin Price Prediction with ML Techniques](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)__: Bitcoin prices predicted with 64.84% accuracy using statistical methods and 59.4% accuracy using complex algorithms. (2023-06-01, shares: 20) · https://www.ml-quant.com/papers/repec/kap-compec-v-61-y-2023-i-4-d-10-1007-s10614-022-10262-6/
- __[Improved Model for Non-Stationary Probabilistic Regression](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)__: Mixture of warped Gaussian processes (MWGP) model proposed for non-stationary probabilistic regression, shown to be more effective than other models. (2023-06-01, shares: 12) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-11-y-2023-i-10-p-2251-d-1144540/
- __[Coordination of Interests in Investment Management as a Game](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)__: Portfolio selection problem treated as a two-player game, with machine learning models used to analyze UIT's learning in a computational experiment. (2023-06-01, shares: 12) · https://www.ml-quant.com/papers/repec/wsi-igtrxx-v-25-y-2023-i-01-n-s0219198923500020/

### Deep Learning

- __[Neural Networks for Multi-Asset Bermudan Options](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. (2023-06-01, shares: 29) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-16-y-2023-i-3-p-192-d-1094945/
- __[Online Hybrid Neural Network for Stock Price Prediction](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)__: Online time series forecasting method for high-frequency trading developed using deep learning models. (2023-06-01, shares: 21) · https://www.ml-quant.com/papers/repec/gam-jecnmx-v-11-y-2023-i-2-p-13-d-1149628/
- __[Modelling Systemic Risk in Morocco's Banks](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7072%2F11%2F2%2F70%2Fpdf%3Bh%3Drepec%3Agam%3Ajijfss%3Av%3A11%3Ay%3A2023%3Ai%3A2%3Ap%3A70-%3Ad%3A1151988)__: QRNN optimized by Adam algorithm shows increased systemic risk in Moroccan banking system during COVID-19 crisis. (2023-06-01, shares: 13) · https://www.ml-quant.com/papers/repec/gam-jijfss-v-11-y-2023-i-2-p-70-d-1151988/

### 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)__: Analysis of 145 EU smart beta ETFs over 12 years using 3 models. (2021-08-27, shares: 38) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-14-y-2021-i-7-p-283-d-579482/
- __[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)__: Shrinkage estimator of covariance matrix outperforms traditional methods in Vietnam stock market study. (2022-04-18, shares: 25) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-15-y-2022-i-6-p-249-d-829749/
- __[Alternative 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)__: Normal distribution assumptions inadequate for measuring risk, proposes alternative measures. (2021-09-01, shares: 23) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-14-y-2021-i-11-p-540-d-676017/
- __[Neural Networks and Mutual Fund Survival](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 used to predict mutual fund survival based on traditional variables. (2021-04-16, shares: 20) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-9-y-2021-i-6-p-695-d-522910/
- __[Transfer Learning for Optimization](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 shows low-quality results when using artificially generated benchmark problems for algorithm selection in numerical optimization. (2022-10-02, shares: 20) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-10-y-2022-i-3-p-432-d-737832/
- __[Trade Aid and Exchange Rate Volatility](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.worldscientific.com%2Fdoi%2Fabs%2F10.1142%2FS1793993322500016%3Bh%3Drepec%3Awsi%3Ajicepx%3Av%3A13%3Ay%3A2022%3Ai%3A01%3An%3As1793993322500016)__: Aid for Trade negatively affects exchange rate volatility, more so for non-LDCs. (2022-03-25, shares: 20) · https://www.ml-quant.com/papers/repec/wsi-jicepx-v-13-y-2022-i-01-n-s1793993322500016/
- __[Recovery Rates for 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)__: Further development needed for credit risk management recovery rate models. (2021-05-27, shares: 19) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-9-y-2021-i-2-p-188-d-482845/
- __[Business Management 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 using portfolio optimization tested with animal husbandry data in Bulgaria. (2022-04-04, 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 firm-level equity premiums, with debt-to-equity and quick ratio having a negative effect. (2021-08-12, shares: 19) · https://www.ml-quant.com/papers/repec/voj-journl-v-68-y-2021-i-5-p-681-697/
- __[Beta Anomaly Investigation in South Africa](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 exists in Johannesburg Stock Exchange but disappears after controlling for idiosyncratic volatility and COVID-19 effects. (2022-08-02, shares: 23) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-15-y-2022-i-5-p-214-d-810895/

## Papers with code

### Trending

- __[LLMs in Minecraft](https://github.com/opengvlab/gitm)__: LLMs are good at handling complex environments through text-based interactions. (2023-05-31, shares: 308)
- __[AlpacaFarm Simulation for Learning](https://github.com/tatsu-lab/alpaca_farm)__: AlpacaFarm's reward model helps improve winrate against Davinci003. (2023-05-26, shares: 269)
- __[Sophia: Scalable Language Model Optimizer](https://github.com/kyegomez/Sophia)__: Scalable Language Model Optimizer: Optimizing algorithms can reduce the cost and time of language model pretraining. (2023-05-26, shares: 158)

### Rising

- __[Language Models as Tool Makers](https://github.com/ctlllll/llm-toolmaker)__: Tool making and Python functions used for tasks. (2023-05-30, shares: 129)
- __[FineTuning Language Models](https://github.com/princeton-nlp/mezo)__: Finetuning language models requires too much memory. (2023-05-31, shares: 126)
- __[ExpertPrompting for Language Models](https://github.com/ofa-sys/expertllama)__: Prompts can improve language model answers. (2023-05-27, shares: 107)
- __[Training Aligned Language Models](https://github.com/agi-templar/Stable-Alignment)__: Social alignment in AI systems for societal values. (2023-05-31, shares: 69)

## GitHub

### Finance

- __[Python Data Science Notebooks](https://github.com/donnemartin/data-science-ipython-notebooks)__: Data science Python notebooks with various tools and technologies. (2015-01-23, shares: 25131)
- __[Pytorch Trading](https://github.com/LeonardoBerti07/Axial-LOB-High-Frequency-Trading-with-Axial-Attention)__: Pytorch implementation of Axial-LOB for high-frequency trading. (2023-01-26, shares: 18)
- __[InStock Investment Tool](https://github.com/myhhub/InStock)__: Quantitative investment tool for capturing stock data and automated trading. (2023-03-21, shares: 130)
- __[Private GPT Document Interaction](https://github.com/SamurAIGPT/privateGPT)__: App for private document interaction using GPT. (2023-05-25, shares: 1140)
- __[Binance Trading Bot with Telegram](https://github.com/Erfaniaa/binance-futures-trading-bot)__: Multi-strategy automatic trading for Binance Futures with Telegram integration. (2022-07-04, shares: 206)

### Trending

- __[Gorilla Store](https://github.com/ShishirPatil/gorilla)__: Gorilla: API management for LLMs. (2023-05-19, shares: 641)
- __[Overfitting Experiment](https://github.com/FernandoDeMeer/Mitigating-Overfitting-Experiment)__: Code for replicating GAN experiment provided. (2019-10-02, shares: 35)
- __[Voyager Agent](https://github.com/MineDojo/Voyager)__: New embodied agent with large language models. (2023-05-25, shares: 1664)
- __[Financial Graph Construction](https://github.com/jm199504/Financial-Knowledge-Graphs)__: Process for constructing financial knowledge graph. (2019-06-27, shares: 2200)

## News

### Quantitative

- __[Tech & Market Volatility](https://www.forbes.com/sites/forbesfinancecouncil/2023/05/30/six-ways-technology-can-help-maneuver-market-volatility/)__: Technology can help asset allocators in any market. (2023-05-30, shares: 3)
- __[ChatGPT: Hedge Funds](https://news.google.com/rss/articles/CBMiUmh0dHBzOi8vZmluYW5jZS55YWhvby5jb20vbmV3cy9oZWRnZS1mdW5kcy1kZXBsb3lpbmctY2hhdGdwdC1oYW5kbGUtMTIwMDAwMTE2Lmh0bWzSAVpodHRwczovL2ZpbmFuY2UueWFob28uY29tL2FtcGh0bWwvbmV3cy9oZWRnZS1mdW5kcy1kZXBsb3lpbmctY2hhdGdwdC1oYW5kbGUtMTIwMDAwMTE2Lmh0bWw?oc=5)__: Hedge Funds: Hedge funds are using ChatGPT for menial tasks. (2023-05-31, shares: 3)
- __[Quant Fund Growth](https://news.google.com/rss/articles/CBMiaWh0dHBzOi8vc2NlbmVmb3JkdW1taWVzLmNvbS91bmNhdGVnb3Jpc2VkL3F1YW50LWZ1bmQtdHJlbmRzLTIwMjMtMjAzMS1tYXJrZXQtZ3Jvd3RoLW9wcG9ydHVuaXRpZXMvMTI2Nzc5L9IBAA?oc=5)__: Quant fund trends offer market growth opportunities. (2023-05-26, shares: 2)
- __[FinTech Olympiad for Students](https://news.google.com/rss/articles/CBMiLWh0dHBzOi8vd3d3LnRhaXdhbm5ld3MuY29tLnR3L2VuL25ld3MvNDkwNDQ4MdIBAA?oc=5)__: FinTech Olympiad inspires students to use technology. (2023-05-29, shares: 2)
- __[Abu Dhabi vs. London: Hedge Funds](https://www.fnlondon.com/articles/hedge-fund-trader-david-denison-on-academia-research-and-trading-20230601)__: Hedge Funds: Florin Court Capital opens office in Abu Dhabi with 40 employees. (2023-06-01, shares: 2)

### Miscellaneous

- __[Chinese fund seeks grad hires](https://www.efinancialcareers.com/news/2023/05/china-quant-hedge-fund-jobs)__: Quantitative funds are successful in finance. (2023-05-30, shares: 2)
- __[Low pay for finance software engineers](https://www.efinancialcareers.com/news/2023/05/engineer-jobs-banking-working-hours-and-pay)__: Tech pay in finance is decreasing. (2023-06-01, shares: 1)
- __[NY tech analyst earns 275k from banks](https://www.efinancialcareers.com/news/2023/05/analyst-tech-pay)__: Banking values certain engineering roles. (2023-05-30, shares: 0)
- __[AI investing: Resistance is futile](https://news.google.com/rss/articles/CBMiU2h0dHBzOi8vd3d3LmludmVzdGluZ2RhaWx5LmNvbS8xMDM3MDkvYXJ0aWZpY2lhbC1pbnRlbGxpZ2VuY2UtcmVzaXN0YW5jZS1pcy1mdXRpbGUv0gEA?oc=5)__: Resistance is futile: Resistance to AI in finance is pointless. (2023-05-31, shares: 0)
- __[Bank engineering salary rankings](https://www.efinancialcareers.com/news/2023/05/best-location-engineering-jobs-banking)__: Top destinations for engineers in Europe, Asia, and the US are listed. (2023-05-31, shares: 0)

## Podcasts

### Quantitative

- __[Mastering Automated Trading Strategies with Brad Matheny](https://pdcn.co/e/www.buzzsprout.com/2034153/12929955-mastering-automated-trading-strategies-and-risk-management-with-brad-matheny.mp3)__: Brad Matheny talks about automated trading strategies and risk management. (2023-05-28, shares: 22)
- __[Build Your Own ETF and Advanced Tax Strategies with Wes Gray Alpha Architect](https://sites.libsyn.com/244787/wes-gray-alpha-architect-build-your-own-etf-advanced-tax-strategies-a-new-t-bill-alternative)__: Wes Gray discusses investments and tax minimization. (2023-06-01, shares: 13)
- __[Mastering Sideways Market Trading with David Floyd](https://pdcn.co/e/www.buzzsprout.com/2034153/12926459-mastering-sideways-market-trading-expert-strategies-and-tips-with-david-floyd.mp3)__: David Floyd shares insights into day trading and swing trading. (2023-05-26, shares: 13)
- __[Applying A Random Walk with Burton Malkiel](https://mebfaber.libsyn.com/burton-malkiel-applying-a-random-walk-to-the-world-today-483)__: Dr Burton Malkiel talks about the latest update of his book and current investment trends. (2023-05-31, shares: 10)
- __[Mastering Market Sentiment with Charles Rotblut](https://pdcn.co/e/www.buzzsprout.com/2034153/12926453-mastering-market-sentiment-contrarian-indicators-and-process-driven-investment-strategies-with-charles-rotblut.mp3)__: Charles Rotblut discusses the correlation between sentiment and market movements. (2023-05-26, shares: 9)

### Related

- __[Mastering Day Trading Mindset](https://pdcn.co/e/www.buzzsprout.com/2034153/12929950-from-hollywood-to-wall-street-mastering-the-day-trading-mindset-with-vincent-bruzzese.mp3)__: Vincent Bruzzese talks about mindset in trading. (2023-05-27, shares: 9)
- __[Private Equity Opportunities](https://centerforinvestmentexcellence.podbean.com/e/opportunities-in-private-equity/)__: David Lebovitz, Stephen Catherwood, and Ashmi Mehrotra discuss private equity. (2023-05-31, shares: 8)
- __[Income Generation in Options Trading](http://advisorsoption.libsyn.com/the-advisors-option-125-generating-income-in-high-rate-environments)__: Barry Martin shares thoughts on the market and generating income. (2023-06-01, shares: 7)
- __[Winning Strategies for Market Returns](https://pdcn.co/e/www.buzzsprout.com/2034153/12920514-winning-strategies-for-outsized-market-returns-with-us-investing-champion-matt-caruso.mp3)__: Matt Caruso shares strategies for outperforming the market. (2023-05-26, shares: 7)
- __[Managing a Crypto Prop Desk](https://flirtingwithmodels.libsyn.com/macrocephalopod-managing-a-mid-frequency-crypto-prop-desk-s6e5)__: Macrocephalopod compares trading strategies in different markets. (2023-05-29, shares: 5)

## Blogs

### Quantitative

- __[Derivatives without expressions](https://quant.stackexchange.com/questions/75708/derivatives-without-analytic-expressions)__: Article discusses exploring options and derivatives without analytic expressions. (2023-05-30, shares: 8)
- __[Media Investment](https://caia.org/blog/2023/05/27/media-investment-landscape)__: CIO of New Asia Ferrell Asset Management talks about leading the firm's alternatives business. (2023-05-27, shares: 4)
- __[Detecting financial outliers](https://quantdare.com/outliers-in-financial-series/)__: Article discusses identifying outlier financial time series within grouped categories. (2023-05-31, shares: 2)
- __[Educational Alpha](https://caia.org/blog/2023/05/31/educational-alpha-where-are-customers-yachts-bots)__: CEO of CAIA Association talks about the impact of bots on the financial industry. (2023-05-31, shares: 2)

### Related

- __[Debt Ceiling in Focus](https://research-center.amundi.com/article/outerblue-convictions-global-investment-views-all-eyes-debt-ceiling)__: No summary provided. (2023-05-30, shares: 2)
- __[Pivoting Strategies](https://stockviz.substack.com/p/knowing-when-to-pivot)__: Uncertainty in global investments. (2023-05-28, shares: 0)
- __[US Debt Ceiling FAQ](https://research-center.amundi.com/article/seven-questions-investors-us-debt-ceiling)__: Uncertainty around US Debt Ceiling negotiations. (2023-05-26, shares: 0)
- __[Investor Biases](https://research-center.amundi.com/article/behavioural-biases-among-retail-and-institutional-investors)__: Decision makers are influenced by biases. (2023-05-26, shares: 0)

## Videos

### Quantitative

- __[Ergodic Exploration Finance](https://www.youtube.com/watch?v=9pOdS3rujk0)__: Video on ergodic theory for accurate timeseries models. (2023-05-28, shares: 37)
- __[ChatGPT Quant Finance](https://www.youtube.com/watch?v=UqFXHlD0hGg)__: Discussion of ChatGPT and Bard in finance. (2023-05-28, shares: 8)

## X / Twitter

### Quantitative

- __[Machine Learning for Profitability Measurement](https://twitter.com/macro_srsv/status/1664161096888995840ttp)__: Machine learning helps measure firm profitability better. (2023-06-01, shares: 4)
- __[Risk Premia Strategies Across Asset Classes](https://twitter.com/quantseeker/status/1663603047795240961ttp)__: Study examines risk premia strategies in different asset classes. (2023-05-30, shares: 4)
- __[Stock Recommendations and Market Returns](https://twitter.com/macro_srsv/status/1663798107119779840ttp)__: Analysts' stock recommendations reflect return expectations and risk perception. (2023-05-31, shares: 3)
- __[Forecasting Correlations with LASSO for Trading Strategies](https://twitter.com/quantseeker/status/1663230810437173267ttp)__: LASSO used to forecast correlations and improve portfolio risk targeting. (2023-05-29, shares: 2)
- __[Machine Learning and Asset Returns: Lecture Notes](https://twitter.com/quantseeker/status/1663492912213118977ttp)__: Lecture Notes: Prof. Doron Avramov's lecture notes on machine learning and asset returns. (2023-05-30, shares: 2)

### Miscellaneous

- __[Asness on Wealth](https://twitter.com/quantseeker/status/1663986884094115841ttp)__: Clifford Asness interviewed on Bloomberg TV Wealth. (2023-05-31, shares: 1)
- __[Robeco's Equity Factor Premiums](https://twitter.com/quantseeker/status/1663466020751790080ttp)__: Robeco discusses equity factor premiums. (2023-05-30, shares: 1)
- __[Investor Behavioural Biases](https://twitter.com/quantseeker/status/1663682197964967936ttp)__: Amundi notes investor biases and their impact. (2023-05-31, shares: 1)
- __[Institutional Investors and Smart Beta](https://twitter.com/quantseeker/status/1663950126392520704ttp)__: Institutional investors bullish on smart beta strategies. (2023-05-31, shares: 1)
- __[Quant Funds and ChatGPT](https://twitter.com/quantseeker/status/1663904887262904324ttp)__: Large quant funds experimenting with ChatGPT. (2023-05-31, shares: 1)

## Reddit

### Quantitative

- __[Active Reading](https://www.reddit.com/r/quantfinance/comments/13uuoef/active_reading_with_chatgpt_quantitative/)__:  (2023-05-29, shares: 3)
- __[Auto Volatility Forecasting](https://www.reddit.com/r/quantfinance/comments/13rzwv6/automated_volatility_forecasting/)__:  (2023-05-26, shares: 6)
- __[Quant Finance ML Books](https://www.reddit.com/r/quant/comments/13t3nqy/books_on_machine_learning_in_quant_finance/)__:  (2023-05-27, shares: 32)

### Rising

- __[Education and Hiring for Quants](https://www.reddit.com/r/quant/comments/13umgg4/weekly_megathread_education_early_career_and/)__:  (2023-05-29, shares: 8)
- __[US Stock Data Sources](https://www.reddit.com/r/algotrading/comments/13uqy9t/where_to_get_1_min_us_stock_data_for_10_years/)__:  (2023-05-29, shares: 43)
- __[New Data Provider Needed](https://www.reddit.com/r/algotrading/comments/13seo5h/done_with_polygonio_need_a_new_data_provider/)__:  (2023-05-26, shares: 117)
- __[Covariance Matrix for Portfolio Optimization](https://www.reddit.com/r/quant/comments/13tsbuc/does_anyone_know_how_to_shrink_a_covariance/)__:  (2023-05-28, shares: 27)