June 2023, Week 1

Advances in Index Tracking

Passive management seeks practical solutions for tracking portfolios using metaheuristics.

2 Jun 20237 shares11 citations todaySource ↗

Optimal Market Making in China

An optimal market making framework is used to analyze the Chinese stock market.

5 Jun 20235 sharesSource ↗

Cost of Misspecifying Prices

Misspecification costs of portfolio managers' orders are asymmetric.

1 Jun 20234 shares15 citations todaySource ↗

Explaining AI in Finance

Explainable AI is important in finance and further research is needed.

5 Jun 20233 shares7 citations todaySource ↗

Memory in Volatility Modeling

A new theoretical framework transforms a stochastic process for volatility modeling.

5 Jun 20233 shares2 citations todaySource ↗

FinBERT for Market Movement

LSTM-based neural network predicts market movement using sentiment analysis.

3 Jun 20233 shares16 citations todaySource ↗

Dynamic Persistence

Model proposed for smoothly varying heterogeneous persistence of economic data.

2 Jun 20233 shares5 citations todaySource ↗

Optimal Execution

Price impact model based on order flow in the market.

1 Jun 20232 shares6 citations todaySource ↗

Ergodicity Economics

Ergodicity economics criticized for lack of falsifiable implications.

5 Jun 20232 sharesSource ↗

Parametric Swing Pricing

Two parametric approaches to price swing contracts with firm constraints provide better prices.

6 Jun 20232 shares6 citations todaySource ↗

Business Cycles

Flexible labor markets lead to cyclical unemployment rates in line with Friedman's plucking theory. Output recoveries differ across countries and sectors, with construction-driven recessions being more persistent.

2 Jun 20232 shares1 citation todaySource ↗

Inflation & Monetary Policy

A new modelling approach using the Mark-0 Agent-Based Model explores the impact of regulatory policies on inflationary dynamics resulting from COVID-19-related shocks.

2 Jun 20232 shares18 citations todaySource ↗

Life After Default

Soft credit default has substantial and long-lasting negative effects on credit score, total credit limit, home-ownership status, and income, up to ten years after the event.

1 Jun 20232 sharesSource ↗

Energy and Economic Valuation

Energy cost has a clear correlation with market prices of 65 purified chemical elements, serving as the 'invisible hand' governing economic valuation.

4 Jun 20233 shares15 citations todaySource ↗

Big Tech's Online Speech Grip

Centralized control over online speech by select platforms has consequences for society's unpopular members, and market expansion and segmentation are proposed as an alternate pathway to avoid regulation.

5 Jun 20232 shares2 citations todaySource ↗

Internet Immunity Reform

The Supreme Court may change Section 230 of the Communications Decency Act, which provides online entities with absolute immunity from lawsuits related to third-party content.

5 Jun 20232 shares1 citation todaySource ↗

Citation Inflation and Disruption Index

Scientific publications and patents are not becoming less disruptive over time, but rather the reported decrease in disruptiveness is due to systematic shifts in citation networks.

3 Jun 20235 shares35 citations todaySource ↗

Functional Input Neural Networks for Global Approximation

Functional input neural networks can be used for uncertainty quantification in signature kernel regression.

6 Jun 20234 shares39 citations todaySource ↗

Online and Adaptive Factor Model with HireVAE

HireVAE is a deep learning-based model that outperforms previous methods in terms of active returns in stock market benchmarks.

5 Jun 20234 shares8 citations todaySource ↗

Decentralized Governance with Blockchain

Article 1 suggests a new crowdfunding model using digital tokens and decentralized co-governance for MSMEs and innovative projects.

1 Jun 20235 shares4 citations todaySource ↗

Twitter's Role in Crypto Manipulation

Article 2 shows that Twitter promotion leads to significant losses for investors in cryptocurrency pump-and-dump events.

3 Jun 20234 shares1 citation todaySource ↗

Business Cycle Synchronization

Business cycles are driven by non-linear dynamics, generating stronger comovement across countries, according to a new study.

16 Feb 2020101 shares9 citations todaySource ↗

Denise: Deep Learning for PCA

Deep Learning for PCA: Researchers have developed Denise, a deep learning-based algorithm for robust principal component analysis of covariance matrices, which is 2000 times faster than the current state-of-the-art method.

28 Apr 202034 shares3 citations todaySource ↗

BidAsk Spread Dynamics with SDSH

A new State-dependent Spread Hawkes model has been proposed to forecast spread values in financial securities, incorporating the impact of the current spread state on its intensity functions.

3 Mar 202332 shares1 citation todaySource ↗

Common Risk

A new risk factor predicts market returns by analyzing upside and downside risks.

30 Aug 202224 sharesSource ↗

Volatility Sensitivity

The sensitivity of stochastic volatility models is analyzed for market calibration.

26 Jul 202119 shares2 citations todaySource ↗

Consistent Forecasting

FinTrust proposes a tool to improve consistency in financial text for forecasting.

15 May 202318 shares5 citations todaySource ↗

Robust Temporal Learning

An incremental learning model for regression tasks on temporal tabular datasets is presented.

14 Mar 202317 shares1 citation todaySource ↗

Machine Learning for Finance

Hybrid model combining machine learning and asset-pricing models aids capital structure decisions in finance.

1 Jun 202333 sharesSource ↗

VIX ETPs and SPX Futures

VIX futures hedging activities can move SPX futures market for reasons unrelated to price discovery.

6 Jun 20234 sharesSource ↗

Optimal Pairs Trading

Optimal pairs-trading model with costly short-selling can be used to short sell overvalued assets.

6 Jun 20232 sharesSource ↗

Loss Aversion and Implied Volatility

Loss aversion can explain the stylized facts of implied volatility.

7 Jun 20233 sharesSource ↗

Measuring Transition Risk

Investment portfolios suffer moderate losses upon materialization of high transition risk scenario, sustainable funds perform better.

1 Jun 20234 sharesSource ↗

Machine Learning for Positive Alpha Mutual Fund Selection

Machine learning can help select mutual fund portfolios with high out-of-sample alphas.

16 Mar 20211,899 sharesSource ↗

Goodwill Disclosure Lowers Equity Capital Costs

Increased corporate disclosure leads to lower cost of equity capital.

15 Feb 20172,892 sharesSource ↗

Machine Learning Predicts Bond Liquidity

Machine learning can forecast bond liquidity in the US corporate bond market.

14 Jul 20202 sharesSource ↗

MBS Valuation with Portfolio Credit Derivatives

RMBS can be viewed as portfolio credit derivatives.

29 Mar 20092 sharesSource ↗

Sustainable Investment Linking Alpha, ESG, and SDGs

ESG investing can generate positive alpha and measure a company's SDG footprint.

11 Jun 20202 sharesSource ↗

Statistical Modeling of High-Frequency Trading Data

The paper discusses high-frequency trading strategies and statistical modeling approaches.

7 Jun 202341 sharesSource ↗

Gold as a Zero-Beta Asset in Asset Pricing

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

7 Jun 202329 sharesSource ↗

Oil Volatility Risk Premium and Stock Market Forecasting

The uncertainty-driven oil volatility risk premium predicts international stock market volatility.

7 Jun 202326 sharesSource ↗

Volatility Spillovers among BRICS Stock Markets

Own volatility spillover is higher than cross-market spillover among BRICS countries' stock markets.

7 Jun 202322 sharesSource ↗

Carry Trade and Equity Market Returns in BRICS Countries

Dynamic correlations between carry trade and equity markets in BRICS are more pronounced during crises.

7 Jun 202322 sharesSource ↗

Binary Regime Models with Jump Discontinuities

A novel statistical technique for jump detection and volatility estimation in high-frequency data is developed.

7 Jun 202321 sharesSource ↗

Optimal Trading Strategies

Paper proposes optimal trading strategies using Heston stochastic volatility framework.

7 Jun 202321 sharesSource ↗

Portfolio Evaluation

Novel portfolio evaluation method proposed using distance-based approach.

7 Jun 202319 sharesSource ↗

Forex Volatility Transmission

Study examines volatility transmission in forex market using high-frequency data.

7 Jun 202319 sharesSource ↗

Bitcoin Volatility Factors

Study evaluates role of macroeconomic and technical indicators in forecasting Bitcoin volatility.

7 Jun 202318 sharesSource ↗

Sign Effects in Forex Markets

Paper evaluates impact of signed realized semivariances and jumps on exchange rate volatility.

7 Jun 202316 sharesSource ↗

Portfolio Optimization

RBDO framework developed for portfolio optimization problems.

7 Jun 202314 sharesSource ↗

Central Bank Transparency in Asian Markets

Study examines influence of central bank transparency on exchange rate volatility in Asian emerging markets.

7 Jun 202314 sharesSource ↗

Machine Learning for Bitcoin Trading

Machine learning and narrative sentiments used to trade Bitcoin, with gradient boosting framework and time-varying leverage strategy enhancing performance.

7 Jun 202331 sharesSource ↗

Heuristic Portfolio Selection

A portfolio formation strategy based on multivariate forecasting model splitting into bivariate models offers better investment performance for large portfolios.

7 Jun 202317 sharesSource ↗

Financial Report Tone and Stock Market Volatility

Tone disagreement measure based on financial report tone synchronization used to predict implied volatility indices of stocks.

7 Jun 202316 sharesSource ↗

Equity Trading and Research Trends

The article discusses equity trading, its history, current trends, and potential areas for future research.

7 Jun 202318 sharesSource ↗

Pricing Commodity Options with Neural Networks

Multi-layered neural networks used for accurate Bermudan option pricing in commodity markets.

7 Jun 202329 sharesSource ↗

Hybrid Neural Network for Stock Trading Prediction

Online time series forecasting method for HFT developed using three deep learning models for higher accuracy and speed.

7 Jun 202321 sharesSource ↗

Smart Beta ETFs

Study analyzes performance of EU smart beta ETFs over 12 years.

9 Jul 202138 sharesSource ↗

Exchange Rate Volatility

Study finds exchange rate volatility impacts Turkey's exports.

18 Aug 202227 sharesSource ↗

Shrinkage Estimator

Paper discusses limitations of Modern Portfolio Theory.

13 Aug 202225 sharesSource ↗

Non-Normal Risk Measures

Analysis suggests no universal risk measure in non-normal distribution.

4 Aug 202123 sharesSource ↗

Explainable AI

Article explores need for explainability in machine learning models.

3 Jun 202223 sharesSource ↗

Aid for Trade and Exchange Rate Volatility

Aid for Trade flows have a negative effect on real exchange rate volatility in recipient-countries.

4 Jun 202220 sharesSource ↗

Neural Networks Predict Fund Survival

Neural networks can predict mutual fund survival capacity using performance, volatility, and Sharpe ratio.

3 Jul 202120 sharesSource ↗

Modeling Recovery Rates of US Banks

A unified recovery rate analysis for US banks reveals estimated latent correlation ranges from 0.2% to 1.5% within examined portfolios, impacting recovery rate volatility.

28 Apr 202119 sharesSource ↗

LLMs Reasoning Performance

Evaluating LLMs is important but difficult.

3 Jun 20231,064 shares

High Quality Segmentation

HQSAM was trained on a dataset of 44k masks.

6 Jun 2023458 shares

Efficient ALMs

ALMs use LLMs with knowledge retrieval and action execution tools.

6 Jun 2023303 shares

Transformer Library for Code LLMs

CodeTF is an open-source library for advanced Code LLMs and code intelligence.

3 Jun 2023287 shares

HuatuoGPT for Medical Consultation

HuatuoGPT is a top-performing open-source LLM for medical consultation.

3 Jun 2023262 shares

AWQ for Large Language Models

Large language models face hardware limitations due to their size.

3 Jun 2023176 shares

Scene as Occupancy for Traffic Scenes

Human drivers can easily describe complex traffic scenes visually.

7 Jun 2023108 shares

XPhoneBERT for Text-to-Speech Phoneme Representations

XPhoneBERT is the first multilingual model pre-trained for TTS.

6 Jun 2023103 shares

BitMEX Test

BitMEX uses algo trading backtesting.

25 Dec 202053 shares

Lance: Data Format

Data Format: Rust implements modern columnar data format for ML and LLMs.

7 Jul 20221,701 shares

Finance News Analysis

Llama Index, GPT-4, and Streamlit used for financial news analysis.

14 May 202366 shares

Alpha Generation RL

Reinforcement learning used to generate predictive stock factors.

5 Jul 202228 shares

China's AI Edge

Chinese quants use AI for hedge funds.

5 Jun 20234 shares

UBS Exec Joins Hedge Fund

ExodusPoint hires electronic trading expert.

2 Jun 20233 shares

Abu Dhabi Outperforms London

Florin Court Capital opens Abu Dhabi office.

1 Jun 20232 shares

Schonfeld's Hiring Spree

Active hedge fund stays busy.

7 Jun 20232 shares

ChatGPT: Hedge Funds' Solution

Hedge Funds' Solution: Hedge funds use ChatGPT for tasks.

1 Jun 20232 shares

Acadian Credit

Scott Richardson joins quantitative management with new expertise.

1 Jun 20232 shares

Chinese Quants and AI

Chinese quants invest in AI during ChatGPT craze.

5 Jun 20232 shares

Quant Stock Prediction Contest

Best stock prediction contest seeks top quant.

2 Jun 20232 shares

Low Pay for Financial Engineers

Tech pay in finance undergoes changes.

1 Jun 20231 shares

ARK Buys Coinbase After SEC Lawsuit

SEC accuses company of unlawful actions with crypto assets.

7 Jun 20231 shares

Options Trading in Uncertain Times -> Trading in Uncertain Times

Bob Lang talks about protecting portfolios in uncertain markets.

2 Jun 202316 shares

Mastering Market Risks and Volatility -> Mastering Risks and Volatility

Chris Weston explores factors affecting market risks and volatility.

3 Jun 202316 shares

Wes Gray Alpha Architect -> Wes Gray Architect

Wes Gray discusses investment and tax minimization strategies.

1 Jun 202313 shares

Jason Josephiac Portable Alpha and Risk Mitigating Strategies -> Jason Josephiac Strategies

Jason Josephiac shares his views on portfolio construction and risk management.

5 Jun 202312 shares

Navigating Economic Uncertainty -> Economic Uncertainty Navigation

Keith Weiner discusses asset allocation, interest rates, and politics' impact on the economy.

2 Jun 20237 shares

AI and Income Generation

Marine Corps mindset can help with trading and investing, according to Dillon Valdez.

1 Jun 20237 shares

Marine Corps Discipline and Investing

Consulting firms are negatively impacting finance and fair lending practices by adding bias and personal opinions.

1 Jun 20236 shares

Winners and Losers in Finance

Deepak Gurnani of Versor Investments discusses trend following strategies and sector neutrality.

6 Jun 20235 shares

Winning Investment Strategies

Felix Salmon of Axios explores financial markets through the lens of bond markets, touching on post-Covid landscape, systemic risk, and fraud.

2 Jun 20235 shares

Bond Markets and Financial Fraud

Options industry experts discuss generating income in high rate environments, April options volume numbers, earnings season volatility update, and the biggest surprise about options learned from years of back testing.

1 Jun 20235 shares

Trading Factors

Finding hidden trading factors through research.

3 Jun 20232 shares

FinML Snippet 3.1

Struggle with understanding code in AFML snippet 3.1.

5 Jun 20238 shares

AFML Snippet 3.1

Difficulty comprehending AFML snippet 3.1.

5 Jun 20237 shares

Quant Letter 06/23

Newsletter on quantitative finance released weekly.

1 Jun 20234 shares

Active Net Zero

Investing in Active Net Zero can be profitable and reduce risks.

7 Jun 20230 shares

Value and Growth

Combining Value and Growth strategies can benefit investors.

7 Jun 20230 shares

Analyzing Strategies

Studying old investment strategies can be useful.

4 Jun 20230 shares

Sustainable Labels Coherence

Comparing sustainable labels with private sector signals can reveal inconsistencies.

1 Jun 20230 shares

ML for High Risk Applications

Guest lecture on machine learning for high risk applications covers governance, explainable models, model validation, bias management, and security.

7 Jun 20238 shares

FinRL: RL in Finance

RL in Finance: Hudson and Thames Reading Group explores FinRL library for democratizing quantitative finance and stock trading strategy development.

6 Jun 20230 shares

Stony Brook Quant Finance Masters

Stony Brook's quantitative finance program is rigorous but could improve with dedicated career development resources.

5 Jun 202317 shares

Movie Genre Prediction with DL

Video promotes book Approaching Almost Any Machine Learning Problem and encourages following creator on social media.

4 Jun 202333 shares

Approaching Any ML Problem

No summary provided for promotional video.

7 Jun 20230 shares

Portfolio Managers Manage Return and Costs

Portfolio managers use alpha and price impact models to balance return and trading costs.

6 Jun 20235 shares

Macro Variables Time Equity Factors

Favero et al. use macro variables to time equity factors with cointegrating residuals.

2 Jun 20235 shares

Sorting on Risk Premiums Predicts Returns

Sorting on risk premiums has the highest Sharpe ratio and predicts stock market returns, according to Hou et al.

5 Jun 20235 shares

Sparse Fused GMM Improves Pricing

A sparse fused GMM method is proposed to estimate time-varying coefficients of equity factors.

2 Jun 20234 shares

Monte Carlo Simulations Manage Overfitting

Monte Carlo simulations can manage overfitting in trading strategies by generating potential outcomes based on historical backtesting.

5 Jun 20234 shares

Equity Anomalies

Study finds equity factor momentum strong, price momentum remains distinct risk factor.

4 Jun 20233 shares

Machine Learning for Returns

Prof. Doron Avramov explores machine learning and asset returns in asset pricing.

3 Jun 20232 shares

Mutual Fund Flows and Factors

Mutual fund flows drive 30% of variation in FamaFrench size and value factors.

6 Jun 20232 shares

ML Volatility Forecasting

Li and Tang's paper on forecasting volatility shows significant gains with ML algorithms.

4 Jun 20232 shares

Advanced Asset Management

Thierry Roncalli's lecture notes cover advanced topics in asset management, including ML optimization algorithms.

7 Jun 20232 shares

Algorithmic Trading with ML and Signal Analysis

2 Jun 20231 shares

QuantPy's ML in Finance Course Review

5 Jun 20236 shares

Cross-Exchange Pairs Trading

4 Jun 20239 shares

Security Price Normalization for Trading

5 Jun 20236 shares

The Reality of HFT Speeds

2 Jun 202323 shares

Adding ML to Trading Strategy

3 Jun 202324 shares

Commodities and Options Reading List

1 Jun 202315 shares

Misleading NG Firm Tier Lists

3 Jun 202335 shares

Historical Options Greeks with Trees

4 Jun 202327 shares

Top Financial News Scraping Websites

1 Jun 202322 shares