June 2023, Week 2

Open-Source Financial Language Model

FinGPT developed for finance sector language model

9 Jun 2023458 shares492 citations todaySource ↗

Contrastive Learning for Market Orders Representation

Triplet loss used to identify distinct market order behavior types

9 Jun 20237 shares1 citation todaySource ↗

Risk-Manageable Portfolio Management with Reinforcement Learning and Barrier Functions

Reinforcement learning and barrier functions used in portfolio management framework

12 Jun 20235 shares1 citation todaySource ↗

Spot Price Deviations in Electricity Markets

A 4-factor model is better at predicting electricity spot prices in non-crisis times, but not during crises.

13 Jun 20233 shares4 citations todaySource ↗

Investment Strategies with Lazy Factor

A new investment strategy model has been developed and tested on a dataset.

12 Jun 20233 sharesSource ↗

Monte Carlo Simulation for Barndorff-Nielsen and Shephard

Two simulation methods have been developed to compute option prices numerically.

9 Jun 20232 shares4 citations todaySource ↗

Attentive Survival Analysis in Limit Order Books

A deep learning method outperforms other approaches in estimating filltimes of limit orders.

8 Jun 20232 shares28 citations todaySource ↗

Machine Portfolios

MACE algorithm optimizes portfolio weights for predictability and profitability in stock returns.

8 Jun 20237 shares5 citations todaySource ↗

Corporate Bond Auctions

Study examines how risk and budget limits affect bidding strategy in corporate bond auctions.

12 Jun 20234 sharesSource ↗

Truncation in Ranked-Choice Elections

Ranked-choice voting with a truncation level of at least three rarely affects the election winner.

9 Jun 20232 shares5 citations todaySource ↗

Interbank Decisions for Financial Stability

Banks' refusal to roll over short-term interbank liabilities can compromise the efficiency of the interbank market and reduce the effectiveness of conventional monetary policies.

9 Jun 20232 shares5 citations todaySource ↗

Avoiding Spoofing

Reinforcement learning agents in stock trading need to follow laws and regulations, experiments show how to shape their behavior.

9 Jun 202317 shares9 citations todaySource ↗

Sentiment and Cryptocurrency Prices: A Narrative Study

A Narrative Study: A study has been conducted to examine the correlation between narratives on Twitter and the value of cryptocurrency. The study used topic modelling and sentiment analysis to identify 4-5 cryptocurrency-related narratives and their impact on crypto prices.

9 Jun 202311 shares2 citations todaySource ↗

Convex NMF for Portfolios

A risk factor budgeting portfolio allocation method using NMF outperforms classical methods for diversification in cryptocurrency and traditional asset portfolios.

6 Apr 202253 shares1 citation todaySource ↗

Shareholder Preferences and Decisions

Shareholders who are closely-connected individuals support costly prosocial changes, while financial corporations oppose them, with distributional costs for pursuing shareholder values.

22 Mar 202128 shares1 citation todaySource ↗

Market Risk Hedging with Crowding Networks

Proposing a method for hedging portfolio risk using network analysis of fund holdings.

12 Jun 202368 sharesSource ↗

Korean Active Equity ETF Performance

Analyzing daily risk-adjusted excess performance of active Equity ETFs in Korean market.

8 Jun 20234 sharesSource ↗

NMF in Risk Budget Portfolios

Proposing a portfolio allocation method based on risk factor budgeting using convex Nonnegative Matrix Factorization.

9 Jun 20232 shares1 citation todaySource ↗

Emerging Market Debt Diversification

Examining diversification of bonds on Banja Luka Stock Exchange using Markowitz's portfolio selection.

11 Jun 20232 sharesSource ↗

Deep Factor Model for Crop Yield Forecasting and Insurance

A new deep factor model for crop yield forecasting and crop insurance ratemaking has been proposed, which utilizes a deep autoencoder and deep learning model to enhance the modeling of the production index and the reconstruction of crop yields.

5 May 20222 sharesSource ↗

Sovereign Debt & Equity Returns in Disasters

Firms with high exposure to sovereign debt have increased comovement with the market during disasters.

10 Apr 2020842 sharesSource ↗

Optimal Asset Allocation with Hedging Demands

Non-myopic agents benefit from hedging against shocks even with zero transaction costs.

11 Dec 202298 sharesSource ↗

Option Mispricing & Alpha Portfolios

A study shows significant mispricing in the options market related to risk-neutral moments and liquidity.

13 Jul 20222 sharesSource ↗

Equity Gamma Trades: Opportunities & Risks

Opportunities & Risks: A paper examines relative value and opportunities in gamma trades in equity options markets.

15 Mar 20232 sharesSource ↗

Robust Log-normal Stochastic Volatility for Interest Rates

Dispersion trade strategy improves risk return profile in equity options markets.

2 Jan 20232 sharesSource ↗

Statistical Modeling of High-Frequency Trading Data

The paper discusses how HFT strategies impact market dynamics and statistical modeling approaches for analyzing HFT data.

14 Jun 202341 sharesSource ↗

Oil and Stock Market Volatility Forecasting

A new measure of the OVRP called UOVRP is proposed, which predicts most international stock market volatility in-sample and outperforms other predictors.

14 Jun 202326 sharesSource ↗

Carry Trade and Equity Returns in BRICS

The paper investigates the dynamic correlation and dependence structure between the US-dollar carry trade and equity markets in the BRICS economies during regular and crisis periods.

14 Jun 202322 sharesSource ↗

Volatility Spillovers Among BRICS Stock Markets

The study uses the MGARCH-BEKK model and DY volatility spillover index to examine volatility spillovers among BRICS countries' stock markets, finding Brazil is the highest net volatility transmitter and China is the highest net volatility receiver.

14 Jun 202322 sharesSource ↗

Optimal Trading with Stochastic Volatility

Paper explores optimal trading strategies using Heston stochastic volatility framework and jump processes.

14 Jun 202321 sharesSource ↗

Predicting Noble Metal Prices with Technical Analysis

Study finds that Technical Analysis indicators can predict noble metals price movements and outperform the market in two out of three cases.

14 Jun 202321 sharesSource ↗

Forex Market Volatility Transmission

Paper examines volatility transmission in forex market using high-frequency data for five exchange rates.

14 Jun 202319 sharesSource ↗

Driving Bitcoin Volatility Factors

Study investigates role of macroeconomic and technical indicators in forecasting Bitcoin volatility, finding shrinkage methods can extract predictive information from both types of indicators.

14 Jun 202318 sharesSource ↗

Bitcoin Trading with Machine Learning

Machine learning used to forecast and trade Bitcoin, with gradient boosting framework providing best performance and hybrid leverage strategy providing highest profits.

14 Jun 202331 sharesSource ↗

Bank Risk Projection with Sentiment Analysis

Machine learning used to build new insolvency risk rating metric for Brazilian banks, with bank sentiment improving accuracy of prediction models.

14 Jun 202327 sharesSource ↗

Multi-Source Employment Statistics with Machine Learning

Machine learning used to predict individual employment status in Italy using survey data and administrative sources.

14 Jun 202323 sharesSource ↗

Basel III and Bankruptcy Prediction

Machine learning models show capital is a stronger predictor of bank default than liquidity and Basel III requirements are too low.

14 Jun 202321 sharesSource ↗

Quantum Continual Learning for Data

Continual learning proposed as solution to catastrophic forgetting in quantum machine learning.

14 Jun 202320 sharesSource ↗

Interpretable Learning in Credit Risk

Neural network with selective interpretability introduced for credit risk assessment, shallow model leads to better accuracy for specific data portions.

14 Jun 202319 sharesSource ↗

Large Datasets and Hybrid Models

Study explores using machine learning and sentiment analysis to forecast foreign exchange rates and commodity prices.

14 Jun 202331 sharesSource ↗

Machine Learning for European Stocks

Machine learning used to examine predictability of equity returns in European stock market, finding linear methods perform better.

14 Jun 202325 sharesSource ↗

Equity Trading: Overview and Research

Overview and Research: Chapter provides overview of equity trading and discusses promising new areas for research, including machine learning for analysis of high-dimensional data.

14 Jun 202318 sharesSource ↗

Trend-Based Forecasting for Cryptocurrencies

Efficacy of trend-based technical indicators in predicting cryptocurrency market returns examined, finding machine learning can significantly improve performance.

14 Jun 202316 sharesSource ↗

Quantitative Finance Research Bibliometrics

The article examines the current state of quantitative finance research through bibliometric analysis, highlighting important research and emerging topics like deep learning and quantitative trading.

14 Jun 202325 sharesSource ↗

Trading with Deep Reinforcement Learning

Deep reinforcement learning applied to trading on financial markets is discussed, including common structures, issues, and limitations of such approaches, as well as state representations critical for success and efficiency.

13 Jul 202123 sharesSource ↗

Real Exchange Rate Volatility and Aid for Trade Flows

Aid for Trade flows have a negative influence on real exchange rate volatility in recipient countries, with a greater effect on non-LDCs than LDCs.

26 Oct 202220 sharesSource ↗

Explainable AI and Human Knowledge

Explainability methods in machine learning models are discussed, with a focus on human-in-the-loop approaches to enhance and evaluate explanations.

8 May 202223 sharesSource ↗

Turkey's Export and Exchange Rate Volatility

Exchange rate volatility affects Turkey's exports to major partners, with impacts varying by country and commodity, and affecting exports in opposite directions in the short and long run.

1 Jan 202227 sharesSource ↗

Investor Sentiment and Bank Credit

Investor sentiment affects bank lending and financial stability, especially for banks with higher credit risk.

9 Mar 202111 sharesSource ↗

Cryptocurrencies and Google Trends

Cryptocurrencies are linked to specific Google Trends attention measures, but not a general uncertainty index.

1 Sep 20215 sharesSource ↗

Source Code Embeddings Study

GitHub survey explores use of word embedding techniques on programs and source code.

8 Jun 2023244 shares

MultiModal Instruction Tuning

GitHub releases dataset, benchmarks, and model for instruction-response collection.

13 Jun 20231,495 shares

Facebook Music Generation

Code on GitHub generates music based on conditions.

11 Jun 20231,826 shares

RealTime Speech Enhancement

GitHub code improves speech enhancement using multiframe algorithms.

8 Jun 20231,017 shares

SparseQuantized LLM Weight Compression

Language models have improved greatly.

8 Jun 2023139 shares

Git Extension for ML Model Development

Centralized teams rarely update machine learning models.

11 Jun 2023114 shares

Evaluating NLU Models Out-of-Distribution

Pretrained models improve language understanding.

13 Jun 2023100 shares

Efficient Instruction Optimization for BlackBox LLMs

Large language models can be difficult to teach.

9 Jun 202380 shares

ArbFreeIV-VAE Repository

Code repository for implied volatility surface generation.

20 Jan 202211 shares

Unstructured Data Curation Tool

Curation tool for unstructured data to connect to AI.

29 Jan 2023170 shares

CNNs for Stock Prediction

CNNs used for stock market prediction.

24 Mar 2016533 shares

Audiocraft: Audio Deep Learning

Audio Deep Learning: Audiocraft library for audio processing with deep learning.

8 Jun 20234,296 shares

Python Library for Arize AI

Python library to send data to Arize AI.

5 Mar 202035 shares

PyMC Education Resources: Pymc-Resources -> Pymc-Resources

Pymc-Resources -> Pymc-Resources: PyMC provides educational resources.

13 Nov 20171,751 shares

Custom Chatbots Console: OpenChat -> OpenChat

OpenChat -> OpenChat: LLMs has a custom-chatbots console.

30 May 20232,873 shares

Tree of Thoughts Implementation: Tree-of-Thought-LLM -> Tree-of-Thought-LLM

Tree-of-Thought-LLM -> Tree-of-Thought-LLM: The Tree of Thoughts problem solving method now has an official implementation.

17 May 20231,885 shares

Scalable Micro-Services: Eventual -> Eventual

Eventual -> Eventual: Learn how to build micro-services using APIs, messaging, and workflows.

5 Nov 2022119 shares

Algorithmic Trading Jobs at Investment Banks

Does bigger electronic trading teams mean better results?

8 Jun 20237 shares

Hedge Fund Quant Grads Earn More in China

Surprising winner in Asian quant competition.

13 Jun 20233 shares

SEC Charges Advisor in Short Selling Scam

Hal Mintz and Sabby Management accused of not finding borrowers for short sales.

13 Jun 20232 shares

Profitable Stocks with Generative AI

Seeking Alpha suggests generative AI can boost sleeper stock picks' profitability.

10 Jun 20232 shares

Data Revolution by Nate Silver

The New Yorker explores Nate Silver's data revolution.

13 Jun 20232 shares

George Soros' 25B Foundation to Son

Alex Soros plans to expand his father's liberal goals, focusing on voting and rights.

12 Jun 20230 shares

The Technical Analysis Evolution

Terrence Brogan talks about his family's legacy in finance and his own approach to money flow analysis.

12 Jun 202313 shares

Insights on Investment

Chris Brightman shares insights on smart investing and smart beta strategies.

12 Jun 202313 shares

Machine Learning and Hedging

Dr Jörg Kienitz talks about the role of Open Source Software in his recent paper and the importance of C in the QuantSpeak podcast.

12 Jun 20236 shares

Euro Equities Forecast

Graham Secker discusses the outlook for European equities in the second half of the year.

13 Jun 20236 shares

Euro Equities: Pain and Gain

Pain and Gain: European equities may continue to underperform due to a loss of momentum in the European economy and a rally in growth stocks globally.

13 Jun 20236 shares

Unintended Bets Everywhere

AQR Capital Management's Michele Aghassi talks about unintended bets in portfolio construction.

12 Jun 20235 shares

Historically Concentrated Market

Morgan Stanley's Mike Wilson discusses the end of the bear market rally and the concentrated markets.

12 Jun 20234 shares

Impact of Mega Cap Divergence

Fourteen Research's Warren Pies shares insights on market data analysis, including inflationary pressures and mega cap divergence.

12 Jun 20234 shares

Investor Complacency and Fed's Dilemma

Andromeda Capital Management's Alberto Gallo talks about creating an edge in investing and finding value in European markets.

9 Jun 20234 shares

Insights from Andromeda Capital Management's CIO

The podcast series offers valuable insights on macroeconomics and markets with fresh perspectives.

9 Jun 20234 shares

Developing Trading Strategies Challenges

Trading strategies in quantitative finance require balancing models, market dynamics, and data.

8 Jun 202310 shares

Solving the Coldstart Problem

Newcomers to quantitative finance face the cold-start problem in strategy development.

13 Jun 20239 shares

MLFinlab: Machine Learning Power

Machine Learning Power: Article 3: MLFinlab v2.0.0 has been launched with improvements to enhance functionality and usability.

9 Jun 20237 shares

Siegel Language

Two Sigma Co-Chair discusses AI innovations.

13 Jun 20230 shares

Bogle Bond

John Bogle's article models long-term US government bond returns.

8 Jun 20234 shares

Amundi Forum

Amundi Research Center hosts World Investment Forum.

13 Jun 20232 shares

Cryptonite '23

New era of cryptography emerging in crypto world.

11 Jun 20230 shares

Math and Quant Finance

Math students lack knowledge of quantitative finance due to job market and conflicts.

11 Jun 202332 shares

Loss Aversion and Implied Volatility

Loss aversion can explain implied volatility patterns.

12 Jun 20236 shares

FX Carry and Option Skewness

Combining carry and skewness signals improves portfolio performance.

11 Jun 20233 shares

Revisiting Skewness Risk Premiums

Sorting stocks by coskewness yields a risk premium.

13 Jun 20233 shares

Stock Volatility Surfaces with Variational Encoding

Variational Encoding used to create stock volatility surfaces.

11 Jun 20232 shares

High Frequency Trading Dissertation

Dissertation on high frequency trading and market microstructure.

13 Jun 20232 shares

Advice for Interns

8 Jun 20236 shares

Volatility vs Delta

12 Jun 20237 shares

Dimension Reduction Resources

10 Jun 202311 shares

Market-Neutral Pair Returns

10 Jun 20230 shares

Round Number Bias

10 Jun 202320 shares

Algo Trading Lessons

11 Jun 202367 shares

XTX Markets' GPU Trading

9 Jun 202343 shares

Advice for London CS Quant Researcher

11 Jun 202340 shares

Fermi Strategies for Milan Shop Visitors

9 Jun 202319 shares