---
title: Quant Letter No. 29: December 2023, Week 2
url: https://www.ml-quant.com/issues/2023-12-13/
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: 2023-12-13
---


# Quant Letter No. 29: December 2023, Week 2

Sent 2023-12-13. 110 items.

## arXiv

### Quantitative

- __[Onflow: Portfolio Allocation Algorithm](https://arxiv.org/abs/2312.05169)__: Portfolio Allocation Algorithm: Onflow is a learning method that optimizes portfolio allocation online, yielding high returns and performing well in high transaction cost scenarios. (2023-12-08, shares: 9) · https://www.ml-quant.com/papers/arxiv/2312.05169/
- __[Physics-Informed NN for Option Pricing](https://arxiv.org/abs/2312.06711)__: The PINN method, a deep-learning technique, is used to accurately price American and European options using the Black-Scholes equation. (2023-12-10, shares: 5) · https://www.ml-quant.com/papers/arxiv/2312.06711/
- __[Predicting Toxic Trades with PULSE](https://arxiv.org/abs/2312.05827)__: PULSE, a quick online Bayesian method, is introduced for predicting toxic trades, outperforming standard methods and offering real-time implementation. (2023-12-10, shares: 3) · https://www.ml-quant.com/papers/arxiv/2312.05827/
- __[Optimal Pair Trade Solution](https://arxiv.org/abs/2312.06842)__: The research offers a straightforward solution to the consumption-investment problem pair trading, simplifying the HJB equation to a linear parabolic equation that can be directly solved. (2023-12-11, shares: 3) · https://www.ml-quant.com/papers/arxiv/2312.06842/
- __[Dealer Strategies in ABMs](https://arxiv.org/abs/2312.05943)__: The paper uses agent-based simulations to study market structures and optimal dealer strategies, concluding that risk-averse dealers usually perform better and the selection of quote sizes influences market dynamics. (2023-12-10, shares: 2) · https://www.ml-quant.com/papers/arxiv/2312.05943/

### Economics

- __[Unbiased Risk Estimator Adjustment](https://arxiv.org/abs/2312.05655)__: A novel risk assessment approach is introduced, providing robust capital reserve estimates and efficient risk scaling in small sample settings. (2023-12-09, shares: 3) · https://www.ml-quant.com/papers/arxiv/2312.05655/
- __[Partial Info & Systemic Risk](https://arxiv.org/abs/2312.04045)__: The article investigates how limited information affects investors' wealth and systemic risk, using a model where investors adjust their strategies based on their wealth compared to others. (2023-12-07, shares: 3) · https://www.ml-quant.com/papers/arxiv/2312.04045/
- __[Unified Repository for Climate Data Weighted by Economic Activity](https://arxiv.org/abs/2312.05971)__: Research offers a unified framework for processing and validating economic activity-weighted climate data, specific to countries and regions. (2023-12-10, shares: 3) · https://www.ml-quant.com/papers/arxiv/2312.05971/
- __[AI and Jobs: Evidence of Change](https://arxiv.org/abs/2312.04180)__: Evidence of Change: The paper explores the effect of artificial intelligence on jobs, offering a visual framework and an economic model, and presents evidence of AI's disruptive impact on translation and web development jobs. (2023-12-07, shares: 2) · https://www.ml-quant.com/papers/arxiv/2312.04180/

### Crypto & Blockchain

- __[NFT Deep Learning Valuation](https://arxiv.org/abs/2312.05346?utm_source=dlvr.it&utm_medium=twitter)__: The research suggests a deep learning model to predict non-fungible tokens (NFTs) prices using Ethereum blockchain and OpenSea data, which could be useful in decentralized finance (DeFi). (2023-12-08, shares: 6) · https://www.ml-quant.com/papers/arxiv/2312.05346/
- __[Smart Contract Centralization Risk](http://dx.doi.org/10.1109/brains59668.2023.10316813)__: The article highlights the unintended risk of centralization in smart contracts due to security mitigation efforts, and discusses its possible impact on different stakeholders. (2023-12-11, shares: 2) · https://www.ml-quant.com/papers/doi/10-1109-brains59668-2023-10316813/

### Historical Trending

- __[RL for Combining Search Methods](https://arxiv.org/abs/2302.11835)__: The study suggests a new reinforcement learning method for calibrating agent-based models in economics and finance, which performs better than other tested methods. (2023-02-23, shares: 30) · https://www.ml-quant.com/papers/arxiv/2302.11835/
- __[SICR-Events for Impaired Loans](https://arxiv.org/abs/2303.03080)__: The paper presents a new framework for predicting credit deterioration using three parameters, validated using South African mortgage data. (2023-03-06, shares: 28) · https://www.ml-quant.com/papers/arxiv/2303.03080/
- __[GPT in Game Theory Experiments](https://arxiv.org/abs/2305.05516)__: The research shows that Generative Pre-trained Transformers (GPT) can mimic human responses in strategic games and can be influenced by fairness or selfishness traits. (2023-05-09, shares: 27) · https://www.ml-quant.com/papers/arxiv/2305.05516/
- __[Kernel Estimation of Spectral Risk Measures](https://arxiv.org/pdf/1903.03304.pdf)__: The paper introduces a kernel-based estimator for Spectral Risk Measures (SRMs), showing its consistency, asymptotic normality, and superior performance in a Monte Carlo simulation. (2019-03-08, shares: 18) · https://www.ml-quant.com/papers/arxiv/1903.03304/
- __[Equilibria in Recommender Systems](https://arxiv.org/abs/2206.13489)__: The research explores how recommendation algorithms like those used by Spotify and Netflix can lead to less competition by encouraging producers to specialize. (2022-06-27, shares: 13) · https://www.ml-quant.com/papers/arxiv/2206.13489/
- __[Martingale Sinkhorn Algorithm](https://arxiv.org/abs/2310.13797)__: The study connects the Bass martingale to semimartingale optimal transport and introduces a computational method, MPMS, to calculate the Bass martingale. (2023-10-20, shares: 8) · https://www.ml-quant.com/papers/arxiv/2310.13797/
- __[Sobolev Pruning](https://arxiv.org/abs/2312.03510)__: The article suggests a new method for creating surrogate models that reflect the sensitivities and uncertainties of original stochastic models. (2023-12-06, shares: 8) · https://www.ml-quant.com/papers/arxiv/2312.03510/
- __[Quantum-Enhanced Forecasting](https://arxiv.org/abs/2310.07427)__: The research presents Quantum Gramian Angular Field (QGAF), a new forecasting method combining quantum computing and deep learning, which enhances prediction accuracy in stock market data. (2023-10-11, shares: 7) · https://www.ml-quant.com/papers/arxiv/2310.07427/

## SSRN

### Quantitative

- __[Volatility Modeling with Covariates using Deep Learning](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4657189)__: The RECHX model, integrating exogenous variables into a recurrent neural network, is introduced for predicting volatility in financial assets. (2023-12-07, shares: 5) · https://www.ml-quant.com/papers/ssrn/4657189/
- __[Portfolio Asset Selection with Graph Based Representation Learning](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4659016)__: The Representation Portfolio Selection (RPS) method is introduced for portfolio optimization, showing that popular algorithms can benefit from this asset selection approach. (2023-12-09, shares: 2) · https://www.ml-quant.com/papers/ssrn/4659016/
- __[TimesNet for Volatility Forecasting](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4660025)__: The study shows that the TimesNet model is effective in predicting stock volatility, particularly during extreme market movements, making it a strong neural network benchmark in volatility research. (2023-12-10, shares: 3) · https://www.ml-quant.com/papers/ssrn/4660025/
- __[Comparative Analysis of LLMs for Financial Sentiment](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4658156)__: The use of Large Language Models, specifically the gpt3.5turbo model, in financial sentiment analysis is examined, highlighting the potential of in-context learning and fine-tuning on finance-specific datasets. (2023-12-08, shares: 4) · https://www.ml-quant.com/papers/ssrn/4658156/
- __[Optimal Attention Allocation for Portfolio Selection](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4660271)__: The paper demonstrates that the optimal attention strategy in portfolio selection with information capacity constraint should maximize the combined expected alpha and beta payoffs. (2023-12-11, shares: 2) · https://www.ml-quant.com/papers/ssrn/4660271/
- __[Functional Data Analysis for Optimal Entry and Exit Trading Points](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4658652)__: The study develops investment strategies using optimal trading points predicted by forecasting financial time series with intraday data on weekly data curves, showing superior performance in backtesting on three major US ETFs. (2023-12-08, shares: 2) · https://www.ml-quant.com/papers/ssrn/4658652/
- __[Beta Factors in Japanese Stocks](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4657065)__: Research indicates that the Japanese stock market struggles with managing multiple factors and error-in-variable bias, resulting in a negative alpha related to market beta. (2023-12-07, shares: 5) · https://www.ml-quant.com/papers/ssrn/4657065/
- __[Equity Return Prediction with Deep Learning & Ensemble Methods](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4660984)__: The article examines forecast combination methods in machine learning for predicting equity returns, suggesting a new performance measure for risk premium forecasts that provides more robust evaluations and economic interpretability. (2023-07-07, shares: 2) · https://www.ml-quant.com/papers/ssrn/4660984/
- __[Correcting Bias in Mutual Funds' Performance Evaluation](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4656496)__: The functional False Discovery Rate “plus” (fFDR) test, a new method for assessing mutual funds' performance, corrects data snooping bias and outperforms previous methods. (2021-01-11, shares: 2) · https://www.ml-quant.com/papers/ssrn/4656496/
- __[Bayesian Data Imputation for Risk Management](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4661384)__: The article highlights the role of Bayesian data imputation techniques in risk management, as they provide a deeper understanding of risk factors and assist in decision-making. (2023-11-07, shares: 2) · https://www.ml-quant.com/papers/ssrn/4661384/
- __[Option Price Decomposition Formula for Volatility Calibration](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4658060)__: A formula has been derived for option price in stochastic volatility models, breaking it down into a zero-correlation price and a correlation correction term. (2023-09-01, shares: 3) · https://www.ml-quant.com/papers/ssrn/4658060/

### Financial

- __[Rethinking Investment's Q Theory](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4657536)__: The paper challenges the traditional Q theory of investment, examining how investment supply shocks affect investment dynamics and Q. (2023-12-07, shares: 6) · https://www.ml-quant.com/papers/ssrn/4657536/
- __[Investment Period Optimization for Private Equity Portfolios](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4657147)__: The Sequential Investment Allocation Model (SIAM) is introduced to manage Private Equity fund portfolio investment periods, aiming to shorten investment period length while considering payoff and strategies. (2023-12-07, shares: 3) · https://www.ml-quant.com/papers/ssrn/4657147/
- __[Estimating Prices and Yields for Equity Term Structures](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4657486)__: The study estimates equity yields using a detailed model of equity prices and dividends, expanding equity term-structure data over time and across different portfolios, offering new empirical data for asset pricing models. (2023-12-07, shares: 1502) · https://www.ml-quant.com/papers/ssrn/4657486/
- __[Capital Markets of Large Banks: Internal and External](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4660712)__: Internal and External: The research shows that large U.S. bank holding companies raise more capital internally than externally due to higher frictions in external capital, resulting in partial capital segmentation. (2023-12-11, shares: 5) · https://www.ml-quant.com/papers/ssrn/4660712/
- __[Adapting U.S. ETFs to UCITS ETFs: Bridging Portfolio Strategies](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4663082)__: Bridging Portfolio Strategies: The paper investigates the use of U.S. ETF-based strategies in the European investment context using UCITS ETFs, assessing their feasibility and potential for similar or improved portfolio performance within European regulations. (2023-12-13, shares: 6) · https://www.ml-quant.com/papers/ssrn/4663082/
- __[Dealer-Hedge Fund Relations and Liquidity Provision](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4662272)__: The research indicates that dealers' prime brokerage relationships with certain hedge funds enhance their liquidity provision in a one-sided market, as observed during the March 2020 liquidity crisis. (2023-12-12, shares: 3) · https://www.ml-quant.com/papers/ssrn/4662272/
- __[The Risk of Interest Rate Derivatives in Fixed Income Funds: Hidden Duration](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4662054)__: Hidden Duration: The research uncovers significant hidden duration risk in fixed income funds due to their use of interest rate derivatives for speculation rather than hedging, leading to poor performance during interest rate increases. (2023-12-12, shares: 2) · https://www.ml-quant.com/papers/ssrn/4662054/
- __[OTC Liquidity](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4657599)__: The article presents a model of a multi-asset over-the-counter market, showing how liquidity measures are influenced by general equilibrium effects. (2023-09-25, shares: 308) · https://www.ml-quant.com/papers/ssrn/4657599/
- __[Quantifying Market Psyche](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4662241)__: The paper establishes a link between qualitative information and its quantitative market effects, suggesting that significant news can cause larger movements in smaller stock indexes, with the PE ratio potentially amplifying or mitigating this effect. (2023-09-12, shares: 76) · https://www.ml-quant.com/papers/ssrn/4662241/
- __[Fed Info & Equity Structure](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4657704)__: The study suggests that investors view central bank rate decisions as indicators of the economy's health, with short-term asset returns predicting macroeconomic growth. (2021-04-29, shares: 283) · https://www.ml-quant.com/papers/ssrn/4657704/
- __[Mutual Funds & ETFs](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4660708)__: Mutual funds are shown to invest in ETFs instead of underlying securities to lower portfolio volatility, using them as a hedging tool. (2023-04-28, shares: 2) · https://www.ml-quant.com/papers/ssrn/4660708/
- __[ESG Investments as Luxury](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4662146)__: The article suggests that responsible investments are seen as luxury goods by investors, with unexpected wealth increasing the likelihood of investing in green stocks and responsible mutual funds. (2023-11-10, shares: 102) · https://www.ml-quant.com/papers/ssrn/4662146/
- __[VC Portfolio Optimization Model](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4660000)__: The article introduces a model for improving venture capital investment portfolios, taking into account high risk and uncertain future values, using bootstrapping and mixed-integer linear programming. (2022-04-01, shares: 2) · https://www.ml-quant.com/papers/ssrn/4660000/
- __[Euro Area Corporate Bond Service Flows](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4656963)__: The article examines the euro area corporate bond market, showing variations in convenience yields across sectors, with the highest yield in the ECB's portfolio after corporate quantitative easing. (2023-09-19, shares: 6) · https://www.ml-quant.com/papers/ssrn/4656963/
- __[Changing VVIX Characteristics in US Stock Market](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4657588)__: The research explores the features of Cboe’s volatility-of-volatility index, showing strong mean reversion, distinct jumps, and a significant upward trend due to higher VIX variation and vol-of-vol risk premium. (2023-03-12, shares: 3) · https://www.ml-quant.com/papers/ssrn/4657588/
- __[Master Equations for Non-Markovian Jump Processes](https://arxiv.org/abs/2312.05475)__: The article introduces a standard form of equations for one-dimensional non-Markovian jump processes, showcasing the Generalized Langevin Equation as a universal model. (2023-12-09, shares: 27) · https://www.ml-quant.com/papers/arxiv/2312.05475/

## RePEc

### Fixed-Income

- __[Performance analysis](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.worldscientific.com%2Fdoi%2Fpdf%2F10.1142%2F9789811272578_0011%3Bh%3Drepec%3Awsi%3Awschap%3A9789811272578_0011)__: The chapter reviews the performance analysis of global bond portfolios, stressing the need for precise return calculations and adherence to the Global Investment Performance Standards for presenting performance results. (2023-12-13, shares: 18) · https://www.ml-quant.com/papers/repec/wsi-wschap-9789811272578-0011/
- __[Bond Portfolios: Markets and Benchmarks](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.worldscientific.com%2Fdoi%2Fpdf%2F10.1142%2F9789811272578_0002%3Bh%3Drepec%3Awsi%3Awschap%3A9789811272578_0002)__: Markets and Benchmarks: Global bond portfolios invest in various markets, considering risks such as currency, liquidity, political, and macroeconomic, with a focus on either developed or emerging markets. (2023-12-13, shares: 17) · https://www.ml-quant.com/papers/repec/wsi-wschap-9789811272578-0002/
- __[Factor Models for Bond Analysis](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.worldscientific.com%2Fdoi%2Fpdf%2F10.1142%2F9789811272578_0010%3Bh%3Drepec%3Awsi%3Awschap%3A9789811272578_0010)__: Factor models are used by global bond portfolio managers to comprehend portfolio behavior and explain risk and return, emphasizing model specification. (2023-12-13, shares: 16) · https://www.ml-quant.com/papers/repec/wsi-wschap-9789811272578-0010/
- __[Yield Curve Attribution for Bonds](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.worldscientific.com%2Fdoi%2Fpdf%2F10.1142%2F9789811272578_0012%3Bh%3Drepec%3Awsi%3Awschap%3A9789811272578_0012)__: Yield curve-based approach is used in investment management for performance attribution to assess skill, measure returns, identify risk sources, and compare portfolios to benchmarks. (2023-12-13, shares: 16) · https://www.ml-quant.com/papers/repec/wsi-wschap-9789811272578-0012/
- __[Bond selection](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.worldscientific.com%2Fdoi%2Fpdf%2F10.1142%2F9789811272578_0007%3Bh%3Drepec%3Awsi%3Awschap%3A9789811272578_0007)__: The chapter explains the bond selection process in portfolio construction, emphasizing the need to evaluate individual bond risk and expected returns using a bottom-up approach. (2023-12-13, shares: 20) · https://www.ml-quant.com/papers/repec/wsi-wschap-9789811272578-0007/

### Statistical

- __[Sports Performance Analysis with ML and Statistical Models](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Feconomice.ulbsibiu.ro%2Frevista.economica%2Farchive%2F75203cojocariu.pdf%3Bh%3Drepec%3Ablg%3Areveco%3Av%3A75%3Ay%3A2023%3Ai%3A2%3Ap%3A34-39)__: Machine learning can be used in sports prediction, especially in football, to develop strategies for maximizing revenue, with a paper outlining the required steps in data processing and analysis. (2023-12-13, shares: 15) · https://www.ml-quant.com/papers/repec/blg-reveco-v-75-y-2023-i-2-p-34-39/
- __[ML Panel Data Regressions for Heavy-Tailed Data](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS0304407622001282%3Bh%3Drepec%3Aeee%3Aeconom%3Av%3A237%3Ay%3A2023%3Ai%3A2%3As0304407622001282)__: A study presents structured machine learning regressions for heavy-tailed dependent panel data, using a new concentration inequality for such data. (2023-12-13, shares: 19) · https://www.ml-quant.com/papers/repec/eee-econom-v-237-y-2023-i-2-s0304407622001282/
- __[ML Survival Models for Startup Failures](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.anserpress.org%2Fjournal%2Fjes%2F1%2F3%2F14%2Fpdf%3Bh%3Drepec%3Abba%3Aj00005%3Av%3A1%3Ay%3A2023%3Ai%3A3%3Ap%3A1-15%3Ad%3A264)__: A research assesses the effectiveness of machine learning survival models in predicting startup failures, showing that advanced models are more accurate than standard ones. (2023-12-13, shares: 16) · https://www.ml-quant.com/papers/repec/bba-j00005-v-1-y-2023-i-3-p-1-15-d-264/
- __[Bitcoin Futures Price Forecasting with ML](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs10479-021-04205-x%3Bh%3Drepec%3Aspr%3Aannopr%3Av%3A330%3Ay%3A2023%3Ai%3A1%3Ad%3A10.1007_s10479-021-04205-x)__: Machine learning algorithms have proven more effective than traditional models in predicting Bitcoin futures prices, maintaining an average accuracy rate above 50%. (2023-12-13, shares: 18) · https://www.ml-quant.com/papers/repec/spr-annopr-v-330-y-2023-i-1-d-10-1007-s10479-021-04205-x/
- __[Political Clustering in Vietnam Stock Exchange](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.worldscientific.com%2Fdoi%2Fabs%2F10.1142%2FS1793993323500242%3Bh%3Drepec%3Awsi%3Ajicepx%3Av%3A14%3Ay%3A2023%3Ai%3A03%3An%3As1793993323500242)__: Machine learning is used in a study to group politically affiliated businesses, suggesting it can replace traditional methods and moderately political businesses perform better. (2023-12-13, shares: 22) · https://www.ml-quant.com/papers/repec/wsi-jicepx-v-14-y-2023-i-03-n-s1793993323500242/

### Historical Trending

- __[Housing as inflation hedge](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.emerald.com%2Finsight%2Fcontent%2Fdoi%2F10.1108%2FIJHMA-06-2022-0084%2Ffull%2Fhtml%3Futm_source%3Drepec%26utm_medium%3Dfeed%26utm_campaign%3Drepec%3Bh%3Drepec%3Aeme%3Aijhmap%3Aijhma-06-2022-0084)__: The research uses advanced AI techniques to show that real estate investments can protect against inflation in Japan and the US, with a risk-reward balance in Japan but not in the US. (2022-07-20, shares: 12) · https://www.ml-quant.com/papers/repec/eme-ijhmap-ijhma-06-2022-0084/
- __[Constrained index tracking optimization models](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs10479-021-04173-2%3Bh%3Drepec%3Aspr%3Aannopr%3Av%3A330%3Ay%3A2023%3Ai%3A1%3Ad%3A10.1007_s10479-021-04173-2)__: The research investigates two methods of including liquidity constraints in index tracking portfolio optimization, finding that these constraints increase liquidity and tracking errors. (2023-12-13, shares: 34) · https://www.ml-quant.com/papers/repec/spr-annopr-v-330-y-2023-i-1-d-10-1007-s10479-021-04173-2/
- __[Forecasting Parameters in SABR Model](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.anserpress.org%2Fjournal%2Fjea%2F1%2F1%2F6%2Fpdf%3Bh%3Drepec%3Abba%3Aj00001%3Av%3A1%3Ay%3A2022%3Ai%3A1%3Ap%3A66-78%3Ad%3A13)__: The research introduces two methods for forecasting parameters in the SABR model, both of which show accurate predictions for out-of-sample dates. (2022-03-09, shares: 15) · https://www.ml-quant.com/papers/repec/bba-j00001-v-1-y-2022-i-1-p-66-78-d-13/

## Machine learning

### Recently Published

- __[Adversarial Learning for Feature Shift Detection and Correction](https://arxiv.org/abs/2312.04546)__: The study investigates the use of adversarial learning to identify and correct feature shifts in datasets, demonstrating that it can outperform current statistical and neural network-based methods when combined with mainstream supervised classifiers. (2023-12-07, shares: 18) · https://www.ml-quant.com/papers/arxiv/2312.04546/
- __[Scaling Laws of Synthetic Images for Training Models](https://arxiv.org/abs/2312.04567)__: The study investigates the scaling laws of synthetic images used in training supervised models, identifying factors that influence scaling behavior and situations where scaling synthetic data is most effective. (2023-12-07, shares: 112) · https://www.ml-quant.com/papers/arxiv/2312.04567/
- __[GLAT: Efficient Training of Gated Linear Attention Transformers](https://arxiv.org/abs/2312.06635)__: Efficient Training of Gated Linear Attention Transformers: The research introduces a more hardware-efficient version of gated linear attention Transformers that performs well against other models, especially in training on longer sequences. (2023-12-11, shares: 150) · https://www.ml-quant.com/papers/arxiv/2312.06635/
- __[LLMM: Impact and Potential for Mathematicians](https://arxiv.org/abs/2312.04556)__: Impact and Potential for Mathematicians: The article explores how large language models like ChatGPT can assist professional mathematicians, discussing their mathematical capabilities, best practices, and potential issues. (2023-12-07, shares: 134) · https://www.ml-quant.com/papers/arxiv/2312.04556/
- __[Efficient Accelerated 3D Gaussians with Lightweight Encoding](https://arxiv.org/pdf/2312.04564.pdf)__: The paper introduces a technique that uses quantized embeddings and a coarse-to-fine training strategy to optimize 3D Gaussian splatting, reducing memory storage and speeding up novel-view scene synthesis. (2023-12-07, shares: 28) · https://www.ml-quant.com/papers/arxiv/2312.04564/

### Historical Trending

- __[Hyperparameter Transfer in Residual Networks](https://arxiv.org/abs/2309.16620)__: A new method for hyperparameter tuning in deep learning has been proposed, using residual networks and a specific parameterization for optimal hyperparameter transfer across network width and depth. (2023-09-28, shares: 106) · https://www.ml-quant.com/papers/arxiv/2309.16620/
- __[Agent-Based Modeling with Concordia](https://arxiv.org/abs/2312.03664)__: Concordia is a library designed to help build and operate Generative Agent-Based Models (GABMs), using Large Language Models (LLMs) to simulate physical or digital environments. (2023-12-06, shares: 83) · https://www.ml-quant.com/papers/arxiv/2312.03664/
- __[Pre-Trained Models for E2E Speech Recognition](https://arxiv.org/abs/2312.03668)__: The study investigates the integration of a pre-trained speech representation model with a large language model for automatic speech recognition, achieving performance similar to modern models. (2023-12-06, shares: 41) · https://www.ml-quant.com/papers/arxiv/2312.03668/

## Papers with code

### Trending

- __[Production RL Agent](https://github.com/facebookresearch/pearl)__: The article discusses how Reinforcement Learning (RL) offers a flexible framework for achieving long-term goals. (2023-12-09, shares: 601)
- __[Parallel Function Calling Compiler](https://github.com/squeezeailab/llmcompiler)__: The piece introduces LLMCompiler, a tool that enhances function call orchestration and is compatible with open-source models such as LLaMA2. (2023-12-10, shares: 263)
- __[LLMs & Simple Rules](https://github.com/normster/llm_rules)__: The article emphasizes the need to define and limit the actions of Large Language Models as they become more involved in real-world tasks. (2023-12-10, shares: 138)
- __[Controlled Text Gen. with Language Models](https://github.com/eth-sri/language-model-arithmetic)__: The piece presents a framework that offers better control over text generation than previous methods and direct prompting. (2023-12-11, shares: 105)
- __[Stopping Hallucination in LLM Chatbots](https://github.com/stanford-oval/wikichat)__: The article presents WikiChat, a tool that uses an LLM to create factual and interesting responses by merging grounded facts with extra information from a corpus. (2023-12-13, shares: 64)
- __[Generative Agent-based Modeling w/ Concordia](https://github.com/google-deepmind/concordia)__: The article gives a summary of agent-based modeling, a technique widely used in social and natural sciences for many years. (2023-12-09, shares: 59)

## GitHub

### Finance

- __[Text to Knowledge Graph](https://github.com/rahulnyk/knowledge_graph)__: The repo explores a tool that converts text into a knowledge graph for easier understanding. (2023-10-22, shares: 289)
- __[Pearl: RL AI Agent Library](https://github.com/facebookresearch/Pearl)__: RL AI Agent Library: Meta's Applied Reinforcement Learning team has created an AI agent library using reinforcement learning. (2023-04-07, shares: 582)
- __[Blockchain Data Extraction with cryo](https://github.com/paradigmxyz/cryo)__: Cryo is a tool that aids in converting blockchain data into different formats. (2023-06-27, shares: 791)
- __[Portfolioapp: Visualizing & Forecasting Portfolio Value](https://github.com/andreariba/Portfolio_app)__: Visualizing & Forecasting Portfolio Value: The repo presents a dashboard for visualizing and predicting the future value of your investments. (2022-02-10, shares: 3)
- __[NeurIPS2023OneFitsAll: Power Time Series Analysis](https://github.com/DAMO-DI-ML/NeurIPS2023-One-Fits-All)__: Power Time Series Analysis: The repo shares the official code for a general time series analysis method featured at NeurIPS 2023. (2023-09-22, shares: 140)
- __[Quant Finance & Algorithmic Trading](https://github.com/paulperry/quant)__: The repo explores the relationship between quantitative finance and algorithmic trading. (2015-04-15, shares: 273)
- __[Magicoder: Source Code Only](https://github.com/ise-uiuc/magicoder)__: Source Code Only: The repo discusses Magicoder, a complete solution for source code management. (2023-11-10, shares: 609)

## News

### Quantitative

- __[BMLL expands China equity data](https://www.hedgeweek.com/bmll-adds-shanghai-to-china-equity-data-offering/)__: Data provider BMLL has broadened its China data coverage to include Shanghai, alongside Shenzhen and Hong Kong. (2023-12-08, shares: 7)
- __[Trade bodies contest SEC rules](https://www.hedgeweek.com/trade-bodies-challenge-sec-securities-lending-and-short-position-reporting-rules/)__: Two SEC rules mandating public disclosure of securities loans and short selling activity are being challenged in court by three financial associations. (2023-12-13, shares: 6)
- __[23: Year of the Quants](https://news.google.com/rss/articles/CBMiSGh0dHBzOi8vbWVkaXVtLmNvbS9AcXVhbnQtZ2Fsb3JlLzIwMjMtYS15ZWFyLWZvci10aGUtcXVhbnRzLWJkOGFhMzBhYTUzONIBAA?oc=5)__: Year of the Quants: Quant predicts that 2023 will be a significant year for quantitative analysts. (2023-12-10, shares: 6)
- __[CME Group to launch FX Spot](https://www.hedgeweek.com/cme-group-to-launch-fx-spot-to-connect-otc-and-futures-liquidity/)__: CME Group is set to introduce a new foreign exchange marketplace, CME FX Spot, with client testing scheduled for the second half of 2024. (2023-12-08, shares: 6)
- __[Man Group partners with Columbia Center on Sustainable Investment: Man Group partners with Columbia Center on Sustainable Investment.](https://www.hedgeweek.com/man-group-forms-research-partnership-with-columbia-center-on-sustainable-investment/)__: Man Group partners with Columbia Center on Sustainable Investment.: Man Group is partnering with the Columbia Center on Sustainable Investment to research climate impact measurement in fixed income and equity portfolios. (2023-12-07, shares: 5)
- __[AI hedgefund to launch in Australia: AI hedgefund to launch in Australia.](https://www.hedgeweek.com/new-ai-hedgefund-to-launch-in-australia/)__: AI hedgefund to launch in Australia.: Thomas Rice and Armina Rosenberg have launched Minotaur Capital Management, a Sydney-based global equity investment manager. (2023-12-12, shares: 5)
- __[Former intern shares experience at HRT and SIG: Former intern shares experience at HRT and SIG.](https://news.google.com/rss/articles/CBMiVWh0dHBzOi8vd3d3LmJ1c2luZXNzaW5zaWRlci5jb20vcXVhbnQtdHJhZGluZy1pbnRlcm4td2hhdC1pdC13YXMtbGlrZS1ocnQtc2lnLTIwMjMtMTLSAVlodHRwczovL3d3dy5idXNpbmVzc2luc2lkZXIuY29tL3F1YW50LXRyYWRpbmctaW50ZXJuLXdoYXQtaXQtd2FzLWxpa2UtaHJ0LXNpZy0yMDIzLTEyP2FtcA?oc=5)__: Former intern shares experience at HRT and SIG.: A former intern at HRT and SIG Business Insider shares their experience working in quant trading. (2023-12-12, shares: 4)

### Miscellaneous

- __[France's Hedge Fund Attraction Plan for Paris](https://www.hedgeweek.com/france-planning-push-to-attract-more-hedge-funds-to-paris/)__: France aims to attract more hedge funds and banks to Paris to boost its status as a European Union finance hub. (2023-12-08, shares: 3)
- __[Point72 Expands Macro Trading Teams](https://www.hedgeweek.com/point72-bulks-up-macro-trading-teams/)__: Point72, a hedge fund owned by billionaire Steve Cohen, is said to be growing its macro trading team. (2023-12-12, shares: 3)
- __[Man Technologists Doubt AI's Alpha Generation](https://www.hedgeweek.com/man-technologists-cautious-on-ais-ability-to-generate-alpha/)__: Man Group CEO, Robyn Grew, has noted the frequent mention of AI in client talks, emphasizing its potential and constraints in their operations. (2023-12-08, shares: 2)

## Podcasts

### Quantitative

- __[Navigating the Market](https://pdcn.co/e/www.buzzsprout.com/2034153/14128132-navigating-the-terrain-of-trend-following-a-deep-dive-into-portfolio-management-with-larry-tentarelli.mp3)__: Larry Tentarelli shares his market trend spotting strategies, discusses current market trends, and provides insights on the US dollar and gold in an interview featured in the article. (2023-12-11, shares: 9)
- __[SigTech Backtesting Engine](https://www.flirtingwithmodels.com/2023/12/11/s7e2-text2quant/)__: The article features a discussion with SigTech's founder, Bin Ren, about the development of a backtesting engine and the incorporation of large language models into their process. (2023-12-11, shares: 7)
- __[Introduction to Blockchain and Bitcoin](https://www.cqfinstitute.org/content/blockchain-and-bitcoin-mathematical-introduction-bitcoin)__: The presentation delves into the mathematical aspects of blockchain technology and Bitcoin, referencing the book Some Fundamentals of Mathematics of Blockchain and the speaker's extensive research. (2023-12-12, shares: 7)

### Related

- __[Geopolitics' Investment Implications Globally](https://macrovoices.podbean.com/e/macrovoices%c2%a0405-marko-papic-investment-implications-of-geopolitics-around-the-globe/)__: Erik Townsend and Patrick Ceresna of MacroVoices discuss the influence of global geopolitical events on financial markets with Clocktower Group's Marko Papic. (2023-12-07, shares: 6)
- __[Invested: Stock Market Advice's Impact on Money Markets](https://traffic.megaphone.fm/NBNK1919230175.mp3?updated=1702134198)__: Stock Market Advice's Impact on Money Markets: The book Invested scrutinizes the effectiveness and allure of investment advice in the UK and US, emphasizing its offer of insider knowledge to outsiders. (2023-12-10, shares: 5)
- __[Joel Tillinghast: Fidelity Investments Manager](https://omny.fm/shows/masters-in-business/joel-tillinghast-on-fidelity-investments)__: Fidelity Investments Manager: Barry Ritholtz converses with Joel Tillinghast of Fidelity Investments about his career trajectory and investment strategies. (2023-12-08, shares: 4)

## Blogs

- __[024 MFE Rankings Released](https://quantnet.com/threads/2024-quantnet-rankings-of-financial-engineering-mfe-programs.56527/)__: The 024 QuantNet MFE ranking is set to be released soon, featuring new programs that were not included in the 2023 ranking. (2023-12-12, shares: 1)
- __[Sharper Image: Review by Shyam Sunder](https://stockviz.substack.com/p/sharper-image)__: Review by Shyam Sunder: Sharper Image is a piece of work created by Shyam Sunder. (2023-12-10, shares: 0)
- __[WILMOTT Magazine Jan. 2024](https://wilmott.com/wilmott-magazine-january-2024-issue/)__: The 129th edition of Wilmott magazine in 2024 includes exclusive articles from renowned columnists and researchers, featuring a work by D. Tudball. (2023-12-08, shares: 0)

## Videos

### Quantitative

- __[Decision Tree Number Space Analysis](https://www.youtube.com/watch?v=S1Yyn9Vs5Tk)__: The article highlights the significance of data density, range, and domain in creating decision tree models, warning about the risk of overfitting. (2023-12-10, shares: 4)
- __[Money's Role in Quant Finance](https://www.youtube.com/watch?v=P4_iexMuhKg)__: The article criticizes students who cite a love for money as their motivation for excelling in quantitative finance, advocating for a deeper understanding of economics. (2023-12-12, shares: 23)
- __[ChatGPT4's Stock Price Forecasting Potential](https://www.youtube.com/watch?v=IiAiTxlCZrM)__: The article explores the potential of ChatGPT4 in predicting stock market trends, comparing it with older models and showcasing live sentiment analysis. (2023-12-12, shares: 5)
- __[Number Space Considerations in Decision Tree Models](https://www.youtube.com/watch?v=TM_gSy4rZ2g)__: The article underscores the need to consider number space in model development, especially decision trees, and the difficulty in assessing the suitability of sample data. (2023-12-10, shares: 3)
- __[Rene Aid's Lecture at Peter Carr BQE Series](https://www.youtube.com/watch?v=aWUdci7T-Ig)__: The article refers to a lecture given by Economics Professor Rene Aid at the Peter Carr BQE Lecture Series from Paris-Dauphine University. (2023-12-07, shares: 0)

## Reddit

### Quantitative

- __[Smallcap Stocks Market on NASDAQ](https://www.reddit.com/r/quant/comments/18dj1re/how_can_you_make_a_market_on_a_stock_with_no/)__:  (2023-12-08, shares: 37)
- __[Top Dataset for US Equity Options](https://www.reddit.com/r/quant/comments/18f7zzx/best_us_equity_options_dataset/)__:  (2023-12-10, shares: 7)
- __[Easy Daily Risk-Free Rate Data](https://www.reddit.com/r/quant/comments/18euv19/easy_place_to_get_daily_risk_free_rate_data/)__:  (2023-12-10, shares: 6)
- __[TRS Spread for Risk Premia Strategies](https://www.reddit.com/r/quant/comments/18eb74w/spread_on_trs_for_alternative_risk_premia/)__:  (2023-12-09, shares: 5)
- __[Quants Networking in London: Opportunities and Events](https://www.reddit.com/r/quant/comments/18csex3/how_do_i_network_with_other_quants_in_london/)__:  (2023-12-07, shares: 22)
- __[Jane Street's Election Loss](https://www.reddit.com/r/quant/comments/18frrge/jane_street_lost_300_million_trading_the_2016/)__:  (2023-12-11, shares: 99)