---
title: Quant Letter No. 18: October 2023, Week 1
url: https://www.ml-quant.com/issues/2023-10-04/
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: 2023-10-04
---


# Quant Letter No. 18: October 2023, Week 1

Sent 2023-10-04. 10 items.

## SSRN

### Quantitative

- __[ML and Kalman Filter for Pair Trading](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4590815)__: The research uses machine learning and Kalman filtering to improve pair trading strategies, leading to better returns. (2023-10-03, shares: 4) · https://www.ml-quant.com/papers/ssrn/4590815/
- __[CEO Effect Revisited with ML](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4591114)__: The study suggests that the influence of CEOs on their companies' performance, or the CEO effect, is not significant, based on machine learning and predictive analytics. (2023-10-03, shares: 3) · https://www.ml-quant.com/papers/ssrn/4591114/
- __[ML for Designing Bcc High Entropy Alloys](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4586905)__: The research discovers eight new alloys for hydrogen storage, one of which can store more hydrogen at room temperature than existing options. (2023-09-29, shares: 5) · https://www.ml-quant.com/papers/ssrn/4586905/
- __[Multi-period Static Hedging of Options](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4587517)__: The paper explores hedging European options over multiple short maturities, comparing the Black-Scholes and Merton Jump Diffusion models. (2023-09-29, shares: 2) · https://www.ml-quant.com/papers/ssrn/4587517/
- __[Dynamic Volatility Regulation of Financial Institutions](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4589660)__: The study presents a model that dynamically updates asset risk for financial institutions, revealing different credit risk dynamics for regulated and unregulated firms. (2023-10-02, shares: 2) · https://www.ml-quant.com/papers/ssrn/4589660/
- __[Global Evidence on Law Firm Expertise and Venture Capital Investments](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4588632)__: Top law firms' involvement in venture capital deals leads to lower failure rates, more investment capital, higher valuations, and a greater chance of successful exits via IPOs or acquisitions. (2023-09-30, shares: 3) · https://www.ml-quant.com/papers/ssrn/4588632/
- __[Local-Currency Bond Markets in Emerging Economies and Foreign Investors](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4586788)__: When global risk aversion rises, foreign mutual funds increase net sales of Indonesian Rupiah bonds, causing the IDR to depreciate against the US dollar and increasing bond market volatility. (2023-09-28, shares: 3) · https://www.ml-quant.com/papers/ssrn/4586788/
- __[Multidimensional Time Series Data: Automated Regime Detection](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4587877)__: Automated Regime Detection: The Wasserstein k-means clustering algorithm effectively identifies regimes in synthetic one-dimensional time series data, and its use in multidimensional data is proposed via the sliced Wasserstein k-means method. (2023-09-29, shares: 2) · https://www.ml-quant.com/papers/ssrn/4587877/
- __[Tax Volatility and Advance Tax Payment](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4589052)__: Using the current year as the estimation base and increasing the frequency of advance corporate income tax payments can decrease tax volatility and reduce outstanding tax liability. (2023-09-30, shares: 2) · https://www.ml-quant.com/papers/ssrn/4589052/
- __[Univariate vs Multivariate Models for Forecasting Crude Oil Basis Volatility](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4590792)__: Simple univariate models are more effective than multivariate models in predicting the volatility of oil futures basis, resulting in higher Sharpe ratios and better forecasting accuracy. (2023-10-03, shares: 2) · https://www.ml-quant.com/papers/ssrn/4590792/