July 2023, Week 1

Challenges of Calibrating ABMs

Discusses challenges and solutions in constructing agent-based models for complex systems.

3 Jul 20234 shares8 citations todaySource ↗

Triangle Fees for AMMs

Triangle fees decrease with trade size, improving accuracy and revenue for AMMs.

29 Jun 20234 shares1 citation todaySource ↗

Alternative Discount Models Framework

A new framework is proposed as an alternative to the Heath-Jarrow-Morton model for discount models.

29 Jun 20232 shares2 citations todaySource ↗

Data-driven Robust Mean-Variance Optimization

Robust mean-variance optimization in portfolio selection shows promising results in the US stock market using a Wasserstein ball.

29 Jun 20232 sharesSource ↗

Liquidity Concentration on DEX

Decentralized exchanges can improve liquidity and reduce slippage for small trades through repositioning.

30 Jun 20235 shares15 citations todaySource ↗

Temporal Patterns in Crypto Market

External factors like macroeconomic reports and stock indices impact the activity patterns of cryptocurrencies like bitcoin and ether.

29 Jun 20233 shares14 citations todaySource ↗

Price Rigidity and Retail Formats

Different store formats have varying price rigidity, affecting the interpretation of price cuts and sale prices.

29 Jun 20232 shares1 citation todaySource ↗

Barriers to Learning in Game Theory

Agents' accuracy in decision-making can cause instability in certain games, and the stability of best-response dynamics depends on the learning barrier.

29 Jun 20232 shares2 citations todaySource ↗

ChatGPT's Stock Forecasting

ChatGPT predicts stock market returns using sentiment analysis, outperforming traditional methods.

15 Apr 202382 shares403 citations todaySource ↗

Calibrating PELVE Models

PELVE converts VaR to ES and provides insights on distribution models for insurance.

19 Apr 202225 shares2 citations todaySource ↗

Neural Networks Detect Arbitrage Strategies

Neural networks can identify model-free static arbitrage opportunities in financial markets with many traded securities, offering tractability and effectiveness.

19 Jun 20237 shares3 citations todaySource ↗

Growth Dynamics and Supply Chain Correlation

Firm growth rates are correlated through a common factor, but supply chain-linked firms have a stronger correlation, allowing for reconstruction of the supply chain network using Gaussian Markov Models.

20 Feb 202316 shares6 citations todaySource ↗

Efficiency for Equity Autocallables

The Orthogonal Chebyshev Sliding Technique reduces computational costs for calculating ES values in FRTB-IMA for equity autocallable portfolios, improving efficiency.

10 May 20238 shares1 citation todaySource ↗

Bounded Regret Recommendation Learning

Bounded regret can be achieved in recommender systems modeled as linear contextual bandits, even without exact knowledge of the linear model, using Synthetic Control Methods.

29 Jan 20237 shares2 citations todaySource ↗

ML-based Hedge Fund Performance Classification

Machine learning used to analyze hedge fund strategies and performance, emphasizing accurate fund classification.

3 Jul 20235 sharesSource ↗

Sales Order Backlog and FX Hedge

Companies with high sales backlogs use fewer FX derivatives for hedging, suggesting positive future sales and profitability.

30 Jun 20234 sharesSource ↗

Intraday Implied Volatility for Equities

Implied volatility measures derived for individual equity options at 1-minute intervals, confirming negative link between stock returns and volatility.

29 Jun 20233 sharesSource ↗

Portfolio Entropy for Asset Allocation

Portfolio Entropy outperforms benchmark portfolios in long-term asset allocation using ETFs, based on maximum entropy principle.

29 Jun 20236 sharesSource ↗

Leverage Covering Strategy for Equity Momentum

Constant Leverage strategy improves performance of momentum portfolios by addressing biases, transaction costs, and compensation mechanisms.

29 Jun 20233 sharesSource ↗

Stablecoin Arbitrage

Stablecoin issuers face risk due to illiquid assets and fixed redemption values, worsened by efficient arbitrage.

5 Apr 2023240 sharesSource ↗

Predictive Performance in Credit Scoring

XPER method breaks down machine learning model performance to identify impactful features.

22 Nov 2022371 sharesSource ↗

Customer-Supplier Relationships and Diversification

Supplier diversification is linked to major corporate customers, influenced by agency risk, monitoring, and demand.

17 Oct 202214 sharesSource ↗

Decentralized Governance in Data Economy

Blockchain-based decentralized governance with a token leads to greater user surplus than centralized governance.

19 Oct 2022141 sharesSource ↗

Efficiency Tests in Crypto Options

Bitcoin and ether derivatives markets are becoming more efficient, especially for longer-dated options.

29 Jun 20234 shares1 citation todaySource ↗

Informed Order Flow and Arbitrage Pricing

A new model analyzes the impact of informed order flows on price impacts and generates fire sales.

29 Jun 202314 sharesSource ↗

Portfolio Trading and Bond Market Liquidity

Portfolio trading benefits bond market liquidity, but may be costly during market downturns.

29 Jun 20235 shares4 citations todaySource ↗

Intraday Stock Predictability with Machine Learning

Machine learning techniques show consistent predictability in intraday stock returns, with nonlinear models performing better than linear models.

30 Jun 20234 shares1 citation todaySource ↗

Impact of Tick Size Change on Short Selling

A tick size change in Korea increased short selling for certain stocks, but had no significant effect on others.

29 Jun 20233 sharesSource ↗

Machine Learning for Portfolio Optimization

CPO is a machine learning method that beats traditional optimization in adapting to market conditions.

11 Apr 20231,678 sharesSource ↗

Time-Series Predictability in Portfolio Management

Factor investing benefits from timeseries predictability, with managed market portfolios generating strong alphas.

12 Mar 2022513 sharesSource ↗

Inventory Hedging in Corporate Bonds

Corporate bond portfolio trading is boosted by inventory hedging, benefiting liquidity and transaction costs.

14 Apr 2022161 sharesSource ↗

Increased Portfolio Transparency and Mutual Funds

Portfolio transparency enhances investment efficiency but doesn't reduce manipulation by mutual funds.

27 Apr 2022119 sharesSource ↗

Insurance Companies and Liquidity Shocks

Insurance companies contribute to economic downturns by spreading liquidity shocks, leading to low GDP and high unemployment.

26 Aug 2020239 sharesSource ↗

Volatility Index Futures: A Cointegration Approach

A Cointegration Approach: Examines relationship between stock and VIX futures, proposes hedging strategy.

5 Jul 202338 sharesSource ↗

Technical Analysis: Improving Entry and Exit Timing

Improving Entry and Exit Timing: Technical analysis and sentiment measures can outperform buy and hold strategy.

5 Jul 202331 sharesSource ↗

Algorithmic Trading Strategies for Cryptocurrencies

Machine learning algorithms developed for intraday trading of cryptocurrencies.

5 Jul 202326 sharesSource ↗

Asymmetric Volatility of European Stock Markets

Investigates volatility changes in stock markets during and after COVID-19 pandemic.

5 Jul 202322 sharesSource ↗

Volatility's Influence on Stock Trend-Following Profits

Stock volatility affects trend-following profits, signal volatility is important.

5 Jul 202318 sharesSource ↗

Machine Learning for Bank Insolvency

Machine learning used to improve insolvency risk rating for banks in Brazil.

5 Jul 202327 sharesSource ↗

Basel III Requirements and Bankruptcy Models

Machine learning identifies main factors contributing to bank default in the US.

5 Jul 202321 sharesSource ↗

Quantum Continual Learning for Quantum Data

Continual learning explored in quantum machine learning to prevent catastrophic forgetting.

5 Jul 202320 sharesSource ↗

Interpretable Selective Learning in Credit Risk

Neural network with selective option improves interpretability in credit risk assessment.

5 Jul 202319 sharesSource ↗

Large Datasets and Price Prediction for Commodity and Forex Rates

Study tests sentiment analysis and machine learning to predict exchange rates and commodity prices.

5 Jul 202331 sharesSource ↗

Risk Assessment in Post-Pandemic Household Cryptocurrency Investments

Research finds top machine learning algorithm for assessing risk in post-pandemic cryptocurrency investments.

5 Jul 202327 sharesSource ↗

European Stock Returns Predictability with Machine Learning

Machine learning has limited ability to predict European stock market returns.

5 Jul 202325 sharesSource ↗

Quantitative Finance Research Bibliometric Analysis

The article examines current research in quantitative finance and highlights important areas and new topics.

5 Jul 202325 sharesSource ↗

GMDH Neural Network Predicts US REIT Market Returns

The study compares the accuracy of GMDH neural network with traditional methods in predicting the US REIT market, finding GMDH to be highly accurate.

5 Jul 202320 sharesSource ↗

Biases and Volatility in Market Dealers

Forex traders' biases cause market volatility, study shows.

9 Dec 202225 sharesSource ↗

Sentiment and Volatility in Shanghai Stocks

Investor sentiment impacts stock volatility in China.

23 Feb 202122 sharesSource ↗

Volatility in Earnings and Stock Price Delay

Earnings volatility reduces stock price response to information.

17 Mar 202219 sharesSource ↗

Liquidity and Housing Prices in Global Market

Global liquidity boosts housing prices more in developing economies than advanced ones.

6 Sep 202217 sharesSource ↗

Revealing Credit Risk Analysis Black Box Models

A study evaluates interpretability techniques for understanding a neural network's use in credit risk management.

8 Nov 20222 sharesSource ↗

Chat Language Models with Instructional Conversations

Finetuning on instruction data is a good method for implementing chat language models.

5 Jul 20231,404 shares

StickyLand: Breaking Linear Presentation of Notebooks

Breaking Linear Presentation of Notebooks: StickyLand is a notebook extension that helps users organize their code in flexible ways.

5 Jul 2023401 shares

ChatLaw: Open-Source Legal Language Model with Knowledge Bases

Open-Source Legal Language Model with Knowledge Bases: A self-attention method is suggested to improve large models' problem-solving abilities and handle errors in reference data.

1 Jul 2023326 shares

Multiplex Cascade Framework for Unified Aspect-Based Sentiment Analysis

ABSA has seven subtasks, but their interactions have not been adequately studied.

5 Jul 2023206 shares

NN Voice Conversion

Anytoany voice conversion transforms speech into a different voice using a few examples.

5 Jul 2023158 shares

Remote Sensing Segmentation Prompting

The SAM model by Meta AI Research has impressive generalization and zero-shot capabilities with extensive training data.

5 Jul 202382 shares

Retrieval-Augmented Theorem Proving

ReProver is a prover that uses retrieval to select premises from a large math library.

30 Jun 202376 shares

Open Vocabulary Learning Survey

This article is the first comprehensive literature review of open vocabulary learning.

1 Jul 202364 shares

Unified Time Series ML Framework

Presents a framework for machine learning with time series data.

20 Dec 2022433 shares

Userfriendly Explainability for ML Models

Shapash is a user-friendly tool that improves the interpretability and reliability of machine learning models.

29 Apr 20202,346 shares

Transparent ML Model Explainability

Code for the process of preparing tables for machine learning tasks.

29 Apr 20202,346 shares

Prepping Tables for ML

Insights into the steps involved in preparing tables for machine learning applications are provided in this article.

12 Mar 2018755 shares

Paperswelove: CS Community Papers

CS Community Papers: Recommendations for computer science papers to read and discuss in the community.

24 Jan 20233,030 shares

Python Pandas Cookbook

Recipes for using Python's pandas library.

21 Dec 20136,193 shares

Quant Trading Revolutionized with Machine Learning

Machine learning is revolutionizing quantitative trading.

30 Jun 202314 shares

US Quants: Hesitation Hinders Success

Hesitation Hinders Success: The problems in the American quant market are analyzed.

4 Jul 20232 shares

AI Enhances Performance for Quant Firm in Tests

AI enhances the performance of a quant firm in experiments.

3 Jul 20232 shares

Detecting Financial Fraud: The Beneish MScore Examined

The Beneish MScore Examined: The Beneish M-Score is investigated as a means to identify financial fraud.

3 Jul 20232 shares

FinGPT: Empowering the Future of Finance with Cutting-Edge Tech

Empowering the Future of Finance with Cutting-Edge Tech: FinGPT, an advanced technology, is shaping the future of finance.

1 Jul 20232 shares

Is EPS Enough for Measuring Investment Success?

EPS is being questioned as the best measure for investment success: There are doubts about whether earnings per share (EPS) is the most reliable metric for determining investment success.

30 Jun 20232 shares

BofA Singapore IT Head Joins 206bn Tech Firm

A prominent tech manager in Singapore is leaving the finance industry: A well-known technology manager in Singapore is stepping away from the finance sector.

29 Jun 20232 shares

Remembering Economist Harry Markowitz (1927-2023)

The Financial Times provides news and analysis on global business: The Financial Times is a trusted source for news and analysis on international business matters.

1 Jul 20230 shares

Does Implied Volatility Still Matter?

Will McBride and Dmitry Pargaminik discuss implied volatility and option pricing.

29 Jun 20239 shares

Navigating the Energy Market with Judd Arnold

Judd Arnold shares his skeptical investment strategy in the energy market.

3 Jul 20238 shares

Hedge Funds and Inflation Opportunities with Sean McGould

Sean McGould talks about the hedge fund industry's evolution and the importance of accounting knowledge in investing.

30 Jun 20237 shares

Olivia Voznenko: Wall Street to Social Media Transitions

Wall Street to Social Media Transitions: Olivia Voznenko discusses her flexible trading approach, gender in the industry, and the impact of social media on trading strategies.

1 Jul 20236 shares

AI Investing: What You Need to Know

What You Need to Know: AI is impacting the stock market, article explains how.

29 Jun 20236 shares

Thematic Trading vs. Stock Picking: Pros & Cons

Pros & Cons: CEO of TOGGLE AI talks about AI's influence on thematic trading and stock picking.

29 Jun 20236 shares

War for Talent at Hedge Funds: Insights from Ilana Weinstein

Insights from Ilana Weinstein: Interview with executive search firm founder on market trends and hedge funds.

30 Jun 20234 shares

Challenging Assumptions in Investing: Shattering Overconfidence

Shattering Overconfidence: Article questions investing assumptions and discusses randomness and data.

30 Jun 20234 shares

Generative AI in Quantitative Investment: Exploring Applications

Exploring Applications: Author explores using Generative AI, like ChatGPT, in investment processes.

29 Jun 20234 shares

Clustering Forex Market

Exploring connections between different currencies in the Forex market.

5 Jul 20232 shares

Equity Trend Following & Macro Headwinds

Article discusses how macroeconomic factors affect equity trend following strategies.

1 Jul 20234 shares

Secrets of Profitable Crypto Arbitrage

Guide on implementing and testing profitable cryptocurrency arbitrage strategy.

30 Jun 20234 shares

Fedus Ex Machina: Fed Reserve & Debt Ceiling

Fed Reserve & Debt Ceiling: Examining the Federal Reserve's role in managing the debt ceiling.

30 Jun 20233 shares

Climate Stress Testing & Investment Portfolios

Introducing a comprehensive approach to measure climate-related risks on investment portfolios.

4 Jul 20232 shares

QDC Info Session July 2023

The QDC is a professional certificate for quantitative finance.

4 Jul 20231 shares

MLI Info Session June 2023

The MLI program enhances knowledge and careers in machine learning.

29 Jun 20231 shares

Statistical Arbitrage and Alternative Data Evolution

The tweet talks about how statistical arbitrage has evolved with the use of alternative data and shorter holding periods.

29 Jun 20235 shares

Currency Risk Premia Academic Review

This tweet reviews academic research on currency risk premia, looking at multihorizon results and the bond-currency relationship.

30 Jun 20234 shares

Low Volatility Investing Dive

The tweet explores low volatility investing, discussing selection vs allocation effects, pandemic performance, and currency in global low vol portfolios.

3 Jul 20233 shares

AI Predicting PE Fund Performance

A paper suggests that machine learning can predict private equity fund performance by analyzing fundraising prospectuses and comparing limited partners to unlimited machines.

30 Jun 20232 shares

MAPE: The Worst Metric

The Worst Metric: MAPE is not a good metric for forecasting, use other metrics instead.

3 Jul 20231 shares

Trading Alternative Markets

Florin Court's markets have more independent bets than traditional CTA universes.

30 Jun 20231 shares

Inflation Expectations Drop

University of Michigan survey shows lower inflation expectations in June.

3 Jul 20230 shares

ML-Based Strategy for ETF Returns

ML predicts sector ETF returns by combining price and economic data.

2 Jul 20230 shares

Feature Clustering: Dimensionality Reduction Technique

Dimensionality Reduction Technique: Feature clustering is a new technique for reducing dimensions in datasets.

29 Jun 20230 shares

Junior risk quant needs help

2 Jul 202342 shares

Python for FRED: Economic data exploration

1 Jul 202326 shares

Noise filtering for volatility curve fitting

2 Jul 20238 shares

Help needed for learning quant finance

29 Jun 20233 shares

Akuna Layoffs in APAC

30 Jun 202385 shares

Recommended Quant Blogs

29 Jun 202372 shares

Transitioning from Pricing Quant to Trader

30 Jun 202312 shares

ML Analysis of Trading Results

1 Jul 202311 shares