Quant LetterNo. 66
161 items across 11 sections, as sent to readers on 18 September 2024. Paper titles open their ML-Quant page; ↗ goes to the source.
Quantitative-finance and ML-for-finance preprints from arXiv.
17 items
Research indicates that enhancing the training of Large Language Models (LLMs) can boost the efficiency of professional translators, particularly those with less skill, hinting at potential economic impacts.
69 shares11 citations todaySource ↗
The study questions the effectiveness of scientific deduction and causal inference in empirical finance and financial econometrics, highlighting potential issues with the concept of unidirectional causation.
21 shares4 citations todaySource ↗
The research expands on volatility dynamics analysis using range-based proxies, affirming that log-volatility acts like fractional Brownian motion and the rough fractional stochastic volatility model (RFSV) has better predictive power.
15 shares3 citations todaySource ↗
The study reveals that Fourier techniques often inaccurately approximate the Greeks Delta and Gamma of plain vanilla options in finance, recommending the use of finite differences instead.
12 shares2 citations todaySource ↗
The article outlines the scientific career and publications of Thomas Robert Hurd in the International Journal of Theoretical and Applied Finance.
11 sharesSource ↗
The study discusses the use of machine learning in pricing American options using Monte Carlo simulations, improving pricing accuracy and predictions.
10 sharesSource ↗
The paper introduces a method for estimating a linear relationship between multiple noisy variables without assuming any specific distribution, useful when variables are measured in different units.
9 shares1 citation todaySource ↗
The article suggests a multi-agent and self-adaptive framework for portfolio management, using reinforcement learning to balance returns and risks, with a market observer agent for feedback on market trends.
8 shares18 citations todaySource ↗
The review discusses how deep learning methods can be used to extract structured information from large, unstructured datasets, with potential applications in economics.
826 shares49 citations todaySource ↗
The article introduces a regime-switching investment strategy using a statistical jump model, which can reduce risk and increase returns compared to traditional strategies.
75 shares16 citations todaySource ↗
The study shows that increasing the training compute of Large Language Models can significantly boost productivity, particularly for less skilled workers, indicating potential economic impacts.
69 shares11 citations todaySource ↗
The paper criticizes the use of unidirectional causation in capital market studies, suggesting the need for alternative views of causation and acknowledging the limitations of current finance tools.
21 shares4 citations todaySource ↗
The research confirms that log-volatility behaves like fractional Brownian motion using range-based proxies, and the rough fractional stochastic volatility model performs better than other models in most cases.
15 shares3 citations todaySource ↗
The research reveals that Fourier methods are not effective in approximating the Gamma of plain vanilla options under certain market parameters, suggesting the use of finite differences instead.
12 shares2 citations todaySource ↗
The article presents a summary of Thomas Robert Hurd's scientific career and a list of his scientific publications.
11 sharesSource ↗
The study shows that combining machine learning with Monte Carlo simulations improves the accuracy and robustness of American option pricing, with the GRU model surpassing the LSTM model in all tested metrics.
10 sharesSource ↗
The article studies the impact of TV news coverage on U.S. clean energy firms' climate risks. It finds that while increased climate risk coverage lowers specific risk, it raises overall risk. Negative sentiments, however, increase specific risk and reduce overall risk.
2 sharesSource ↗
Working papers in finance and economics from SSRN.
26 items
A study found that Google's Gemini 1.5 Flash language model does not significantly outperform basic portfolios or the S&P 500 index in making investment decisions.
6 sharesSource ↗
High Frequency Trading (HFT) improves price discovery and efficiency in Borsa Istanbul by narrowing price spreads and correcting abnormal price differences quickly.
6 sharesSource ↗
A study proposes risk-neutral pricing and hedging formulas for liquidity tokens in the constant product market maker (CPMM), suggesting new Automated Market Maker (AMM) designs.
3 sharesSource ↗
A proposal to divide Decentralized Exchanges (DEXs) pool liquidity into buy and sell liquidity could turn the Rebalancing Loss into a gain, removing DEXs' disadvantage to Centralized Exchanges (CEXs).
4 sharesSource ↗
The Tree-based GARCH-MIDAS model reveals that high economic policy uncertainty weakens the response of asset volatility to macroeconomic variables, improving volatility predictions over longer periods.
2 sharesSource ↗
The article explores the creation of advanced trading algorithms that replicate Limit Order Book data, with a focus on semi-Markov and Hawkes jump-diffusion models for high-frequency trading.
2 sharesSource ↗
The study suggests a novel method to optimize machine learning models by identifying the most effective data preprocessing strategy, based on the correlation between datasets' metafeatures and performance response variables.
2 sharesSource ↗
The paper investigates the Cauchy problem for the linear plate equation with mass term, discussing estimates for solutions and the global existence of solutions to the related semilinear problem with power nonlinearity.
3 sharesSource ↗
The research introduces a one-dimensional simulation method for quick and precise calculation of heat transfer parameters of propane condensing flow in the minichannel of a Liquefied Natural Gas vaporizer.
2 sharesSource ↗
The article introduces a model of capital size, investment timing, and financing for firms under a monopolistic framework, studying the impact of labor-enhancing and automation technologies on investment and financing decisions.
2 sharesSource ↗
The chapter discusses the role of econometrics in economic data analysis, highlighting its practical uses and key tools like regression analysis and time series forecasting.
3 sharesSource ↗
The paper examines the volatility of the top 50 cryptocurrencies, noting similarities with other financial returns and unique features like distinct volatility patterns and increasing correlation with the U.S. stock market.
2 sharesSource ↗
The study introduces a new hybrid ensemble model for accurate wind speed forecasting, utilizing signal decomposition, deep learning models, and metaheuristic optimization algorithms.
2 sharesSource ↗
Silicon Valley Bank, Signature Bank, and First Republic Bank experienced a loss of trust due to poor management of their liquidity, capital, and interest rate risk.
2 sharesSource ↗
The study uses high frequency payment systems data to predict Nigeria's GDP, finding the Mixed Frequency VAR model to be the most precise, with promising results also from the Mixed Data Sampling models combined with principal component analysis.
2 sharesSource ↗
The net asset value (NAV) price ratio is a key predictor of future returns for the LPX50 index in listed private equity, especially over long-term investments and excluding financial instability periods.
5 sharesSource ↗
Despite their fundamental differences, high-yield corporate and emerging market sovereign bonds have displayed similar risk-return patterns, default rates, and haircuts over the past two decades.
4 shares2 citations todaySource ↗
The use of deep learning for predicting conditional volatility can enhance the performance of long-short portfolios, with a negative risk-return relation accounting for the improved performance.
3 sharesSource ↗
Machine learning methods show that high-quality analyst questions during earnings calls lead to better stock liquidity and stability, particularly in firms with unclear information.
2 sharesSource ↗
Decreased Cost of Green Capital: Since the rise of sustainable investing post-2016, firms have seen a decrease in the cost of green capital, leading to a shift towards greener investments, especially in large energy and utility companies.
3 sharesSource ↗
A study found no clear link between market liquidity and prices in the Australian government bond market, despite a strong connection between basket status and market liquidity.
2 sharesSource ↗
A study reveals that the tick size in the Chicago Mercantile Exchange corn and soybean markets can affect pricing efficiency, with options being as informative as futures.
3 sharesSource ↗
Short selling bans in six European countries during the COVID-19 market stress in March 2020 resulted in decreased liquidity and trading volumes, reduced volatility, and had a lasting negative impact.
2 sharesSource ↗
A new method in a sequential portfolio optimization framework can lower turnover in frequently rebalanced investment strategies by categorizing assets based on their attractiveness and trading volume.
2 sharesSource ↗
The use of Enterprise Risk Management (ERM) enhances the likelihood and precision of management earnings forecasts by reducing fundamental volatility and improving managers' information assessment skills.
2 shares2 citations todaySource ↗
The COVID-19 pandemic has changed investment strategies in bond markets, with Malaysian government bonds showing equity-like traits and deviating from their usual safe-haven role, with gold prices being the key factor affecting bond yields.
2 sharesSource ↗
Economics working papers from RePEc's NEP field reports.
20 items
The study shows that hedge funds with higher costs are more effective at managing geopolitical risks, and global macro hedge funds excel at timing these risks.
16 sharesSource ↗
A new system of factor models, which considers both return and risk, has been introduced and has shown superior performance in predicting future investment prospects compared to standard policies.
15 sharesSource ↗
The chapter discusses the application of reinforcement machine learning and quadratic optimization in determining risk limits and investment portfolios, especially during the 2007-2009 financial crisis.
31 sharesSource ↗
The SHARV-MGJR model, which includes volatility leverage effects and current return data, is suggested for better prediction of cryptocurrency market volatility, surpassing GARCH-type models in tests.
22 sharesSource ↗
The article highlights the difficulties of using machine learning models in practical risk management in banking due to their opacity and lack of explainability, and introduces a framework for leading eXplainable AI methods.
20 sharesSource ↗
The research uses language models to predict freight rates in the shipping market, showing superior results compared to lexicon-based sentiment analysis methods.
19 sharesSource ↗
The book provides insights into the role of artificial intelligence and machine learning in finance, linking their development to the human aspiration for automation.
17 sharesSource ↗
The study uses a model to assess the influence of Chinese commodity futures on the Baltic Dry Index, highlighting the need to monitor China's futures market for shipping industry decisions.
17 sharesSource ↗
The study presents a model for identifying bot activities on Twitter, demonstrating high accuracy and the ability to predict the effect of bot tweets on stock market fluctuations.
15 sharesSource ↗
Sentiment Analysis is used in finance to predict market trends and investment opportunities using various algorithms and metrics.
31 sharesSource ↗
Machine learning models using technical indicators can effectively predict daily stock returns and improve portfolio selection.
30 sharesSource ↗
Machine learning models can enhance the forecasting of currency return, aiding in the hedging of foreign exchange risk.
30 sharesSource ↗
Despite limitations, reinforcement learning is transforming portfolio management in the finance sector.
29 sharesSource ↗
Reinforcement learning, particularly deep reinforcement learning algorithms, can solve complex portfolio problems by determining investment shares in assets.
25 sharesSource ↗
The article presents a model that uses machine learning and random effects to accurately predict commercial real estate values.
23 sharesSource ↗
The chapter examines the rise of Decentralized Finance (DeFi) and its potential impact on traditional finance systems.
18 sharesSource ↗
The paper discusses the use of deep transfer learning in analyzing large political texts, reducing the need for manual data annotation.
17 sharesSource ↗
The study reviews literature on detecting financial fraud using machine learning, highlighting a trend towards real datasets and credit card fraud models.
15 sharesSource ↗
The paper proposes a framework for managing virtual companies in smart cities, utilizing Sustainable Information Systems for improved efficiency and resilience.
14 sharesSource ↗
The article introduces a new method called quantitative probing for validating causal models. It shows its effectiveness through simulations and offers open-source Python packages for its use in causal analysis.
12 sharesSource ↗
The general machine-learning papers the letter carried in 2023-25.
20 items
Synthetic Data for LLMs: Source2Synth, a new method for teaching Large Language Models new skills without human annotations, has improved multi-hop and tabular question answering by 22.57% and 25.51% respectively.
89 shares33 citations todaySource ↗
3D Gaussian Splatting Segmentation: A new globally optimal solver for 3D Gaussian Splatting segmentation from 2D masks is introduced, which is 50 times faster and more robust against noises than existing methods.
29 shares78 citations todaySource ↗
Young Adult Factors: Machine learning research identifies risk and benefit perceptions, attitudes toward feasibility and usability, and prior experience as key factors influencing young adults' trust in Autonomous Vehicles.
7 shares11 citations todaySource ↗
A new approach learns robot manipulation from 3D hand-object interaction trajectories, enhancing adaptation to tasks and improving robustness and generalizability.
7 shares60 citations todaySource ↗
The paper presents Variable Priority (VarPro), a new model-independent method for variable selection in machine learning, which doesn't need artificial data or prediction error evaluation and consistently filters noise variables.
7 shares4 citations todaySource ↗
The article introduces VAE Explainer, a browser-based interactive tool that simplifies understanding of machine learning concepts through interactive model inputs and outputs.
6 shares2 citations todaySource ↗
Robotic Manipulation Control: The article presents CLOVER, a robotics control framework that uses feedback mechanisms for improved adaptive control, demonstrating superior performance in real-world tasks and on the CALVIN benchmark.
6 shares76 citations todaySource ↗
Robotic Touch Sensing: The paper introduces AnySkin, a versatile and reusable tactile sensor that allows for easy integration and zero-shot generalization of models across different instances.
5 shares67 citations todaySource ↗
The article discusses the use of influence functions to validate and debug physics-informed neural networks, suggesting potential for further research in this area.
5 shares1 citation todaySource ↗
The authors propose a model of human hearing that combines traditional signal processing with deep-learning, resulting in an efficient and explainable model that performs well in audio processing tasks with limited training data.
5 sharesSource ↗
Scientists have created Neural Parametric Gaussian Avatars (NPGA), a new method for making high-quality, controllable avatars from multi-view videos, surpassing previous avatar technologies in self-reenactment tasks.
281 shares61 citations todaySource ↗
Researchers suggest using EntiGraph, a synthetic data augmentation algorithm, for synthetic continued pretraining to help language models answer questions and follow instructions related to source documents more effectively.
95 shares61 citations todaySource ↗
The Agent Workflow Memory (AWM) method has been developed to enhance the performance of language model-based agents in complex tasks by creating reusable workflows from past experiences to guide future actions.
33 shares287 citations todaySource ↗
A new lightweight network has been created that can identify groupings and boundaries in images, including curves, corners, and junctions, offering a detailed, non-rasterized representation of the geometric structure in every local area.
31 shares4 citations todaySource ↗
The PoSt-Prediction Adaptive inference (PSPA) method has been introduced to enable reliable and efficient inference based on machine learning-predicted data, ensuring dependable statistical inference regardless of the prediction's accuracy.
25 shares42 citations todaySource ↗
The research investigates a group of simple classifiers using random one-dimensional features, showing they can achieve optimal error rates under certain conditions and outperform linear classifiers in larger spaces.
24 shares2 citations todaySource ↗
A comprehensive study of AI models like GPT-3.5 Turbo and GPT-4 reveals linguistic bias, with these models defaulting to standard English and often displaying stereotyping and condescending responses towards non-standard English dialects.
19 shares102 citations todaySource ↗
A novel framework converts 2D videos into immersive 3D content using foundation models, providing a practical solution for creating high-quality 3D content for devices such as Apple Vision Pro.
17 shares37 citations todaySource ↗
GMISeg, a universal model for medical image segmentation, can handle new tasks involving unfamiliar anatomical structures or labels without extra training, simplifying the deployment of pre-trained AI models for new segmentation tasks.
12 shares3 citations todaySource ↗
The SUPER benchmark tests Large Language Models' ability to set up and execute tasks from research repositories, revealing that current models struggle with these tasks, suggesting a need for further advancements in this field.
11 shares54 citations todaySource ↗
Papers that shipped their code, from the Papers with Code feed (2023-25).
17 items
The article presents WarmupStableDecay (WSD), a new learning rate scheduler for data scaling and continuous training.
6,709 shares
The article introduces Activationaware Weight Quantization (AWQ), a method for low-bit weight-only quantization that is compatible with hardware.
1,895 shares
The article unveils gsplat, a new open-source library designed for the training and development of Gaussian Splatting methods.
1,846 shares
The article explores a new model built on the latest Llama3.18BInstruct model.
608 shares
The article talks about advancements in tasks that don't need fine-tuning, providing the code on GitHub.
477 shares
The article presents Docling, a GitHub-hosted open-source tool for converting PDF documents.
418 shares
The article details how Retrieval-Augmented Generation enhances large language models using external databases, sharing the code on GitHub.
274 shares
The article showcases a superior method for transforming scientific papers, websites, and CVs into graphs, with the code available on GitHub.
242 shares
LLMs Citations: The article explores the reliability concerns of large language models due to their inability to cite sources, potentially leading to misinformation.
183 shares
The paper introduces rStar, a method that improves the reasoning abilities of small language models without the need for fine-tuning or superior models.
152 shares
The article discusses the potential of large language models in speeding up scientific discovery by independently generating and validating new concepts.
144 shares
Better, Faster: The study criticizes the use of a single Exponential Moving Average for accumulating past gradients, showing its limitations in balancing weight between recent and older gradients.
127 shares
The article discusses the difficulties faced by current language model-based agents in performing complex tasks like web navigation.
120 shares
The article introduces Navi, a new multimodal agent, demonstrating the capabilities of Windows Agent Arena.
120 shares
The piece explores the challenges and potential future research areas in aligning large language models with human preferences.
108 shares
Scientific Discovery Automation: The article highlights the challenge of creating AI systems that can advance scientific understanding by exploring new domains and identifying complex patterns.
106 shares
The article showcases a method that can generate handwriting scripts in multiple languages with just one sample reference, surpassing previous methods.
101 shares
Repositories the letter featured.
10 items
The Python web mining module offers tools for data scraping, machine learning, network analysis, and visualization in natural language processing.
8,718 shares
Binance API collaborates with Backtrader to enable backtesting, live trading, and easy strategy creation for all cryptocurrencies, including Bitcoin and Ethereum.
127 shares
The AlphaCodium paper's official implementation emphasizes the shift from prompt engineering to flow engineering in code generation.
3,391 shares
The Temporal and Heterogeneous Graph Neural Network is developed for predicting financial time series.
54 shares
Python AutoML is utilized for developing trading systems and sports betting strategies.
1,129 shares
AutoDiff for AI: The article introduces AutoDiff, a new feature designed to enhance AI systems and LLM agents.
254 shares
Open Language Models: The piece delves into the OLMoE Open MixtureofExperts Language Models and their applications.
350 shares
System Monitoring in Python: The article details a cross-platform library that enables process and system monitoring in Python.
10,186 shares
Resume Builder: The piece reviews a privacy-focused resume builder that offers customization, portability, and free usage.
22,759 shares
FFmpeg Repository Mirror: The article discusses a mirror site of the https://git.ffmpeg.org/ffmpeg website.
44,951 shares
Industry news: funds, hiring, markets and regulation.
20 items
Cboe Global Markets is launching its new Cboe S&P 500 Variance Futures for trading on the Cboe Futures Exchange on September 23.
7 shares
Steve Cohen, founder of Point72 Asset Management, is shifting his focus from trading to managing the firm and participating in investment decisions.
6 shares
Rokos Capital Management faced a significant monthly decline in August due to global market volatility and fears of a potential US recession.
6 shares
Hedge funds saw a 0.75 increase in August and a 0.39 advance in September, as per the SS&C GlobeOp Hedge Fund Performance and Capital Movement Index.
6 shares
State Street Global Advisors has introduced the State Street Global Alternative Beta Fund, which aims to mimic the returns of hedge funds as a broad asset class.
5 shares
Hedge funds have turned bearish on Brent crude for the first time due to fears of potential oversupply affecting oil futures prices, according to Bloomberg.
5 shares
Andre Laport, co-founder of Vinland Capital, has resigned from the hedge fund for personal reasons, leaving James Oliveira in control.
4 shares
The KLS Scopia Market Neutral Equity Fund has increased its AUM to $63m and achieved a 12-month net return of 9.8% since its inception on the KLS Funds platform.
3 shares
Tidan Capital, a hedge fund firm based in Stockholm, has named Serge Houles as its new CEO; the firm was established in 2020 by Brummer & Partners alumni.
3 shares
Southwest Airlines is making significant changes to its board, including the exit of executive chairman Gary Kelly, due to pressure from Elliott Investment Management, a hedge fund pushing for extensive reforms.
2 shares
Despite a slight drop in revenue, Elliott Advisors increased its directors' pay significantly last year.
2 shares
Qubes is set to expand by integrating hardware experts from High-Frequency Trading (HFT).
2 shares
The 2024 QuantInsti's Algo Trading Conference will host global financial experts.
2 shares
South Korea is contesting a UK court's rejection of its lawsuit against a tribunal's order to pay $100m to US hedge fund Elliott Investment Management.
2 shares
As China's support for the yuan weakens, data indicates that a strategy popular with foreign investors lost steam in August.
2 shares
Hedge fund manager Bridgewater Associates is opening a new office in New York.
1 shares
Digital asset custodian Zodia Custody has partnered with Solana stake automation platform Marinade.
1 shares
The article does not contain any detailed information regarding Goldman Sachs.
1 shares
The article profiles a JPMorgan MD who initially wanted to be an acoustician.
1 shares
Episodes on markets, quant methods and economics.
10 items
Srini Ramaswamy and Ipek Ozil discuss the US interest rate derivatives markets ahead of the FOMC meeting.
8 shares
The podcast explores the reasons behind the recent 'flash crash', the reversal of the US treasury yield curve, and future interest rates in the US, Europe, and the UK.
6 shares
John Roque emphasizes the importance of simplicity in investment strategies, the link between oil prices, inflation expectations, and bond yields, and investing in China in a podcast episode.
6 shares
The podcast examines the potential of the soybean market in biofuel production, the influence of global events and natural phenomena on agricultural prices, and the impact of political decisions on agricultural trade.
5 shares
The podcast analyzes the potential effects of the upcoming FOMC and other G10 central bank meetings on the foreign exchange market.
5 shares
David Shimko, a valuations expert, is teaching a financial valuations course at NYU Tandon and developing Wall Street Scholars, a company that provides solutions for complex financial issues.
4 shares
Andrew Wilkinson and Neil Azous analyze recent economic changes, including expected interest rate reductions and global market responses, in anticipation of the FOMC meeting.
3 shares
Tom Morgan, a Wall Street professional, discusses his transition from finance to holistic wellbeing, highlighting the societal disconnection due to overemphasis on left-brain thinking and the significance of right-brain skills in the AI era.
3 shares
Professor Zoro and Garrettt DeSimone will discuss the Option environment, including OptionMetrics and the Vix, on August 5th, 2024.
2 shares
Tim Baker talks about a court case involving the CUSIP identifier and his recent purchase of the IEX Cloud platform, outlining his future plans for the platform.
2 shares
Posts from quant and economics blogs and newsletters.
7 items
A group of US trend-following ETFs, managing about $5 billion, have significantly underperformed compared to their benchmarks over nearly a decade.
6 shares
The article suggests that trend-following strategies should offer low-drawdown, decent returns that can be leveraged to a target volatility, and should only be funded if the post-tax returns are reasonable.
6 shares
The article analyzes the performance of various markets, including country ETFs, fixed income, currencies, and commodities.
6 shares
A group of US trend-following ETFs, managing $5 billion, have underperformed their benchmarks over the past decade.
6 shares
US-based trend-following ETFs, with a portfolio of $5 billion, have significantly underperformed compared to their benchmarks.
6 shares
Trend-following ETFs in the US, managing around $5 billion, have not met their benchmarks in nearly a decade.
6 shares
A decade-old suite of trend-following ETFs in the US, managing $5 billion, have significantly underperformed their benchmarks.
6 shares
Posts from quant researchers on X.
8 items
Recent studies in quantitative investing explore areas like cryptocurrency, equity return predictability, machine learning, and portfolio optimization.
7 shares
Firms with high brand recognition yield substantial alpha due to underestimation of their future earnings by investors and analysts.
2 shares
DataCraft's article on HuggingFace focuses on the creation and handling of synthetic data sets.
1 shares
A.W. Jones transformed the investment world in 1949 by initiating the first modern hedge fund, introducing long/short strategies and performance fees.
1 shares
Lehnherr et al.'s research demonstrates enhanced Sharpe ratios in factor timing after accounting for costs.
0 shares
A SciFi short in MIT Technology Review offers a glimpse into a future dominated by AI Overlords in 2149.
0 shares
A scholarly article explores the broad economic implications of AI.
0 shares
ManGroup's piece highlights the advantages of adopting active extension strategies beyond traditional long-only investing.
0 shares
Threads from r/quant, r/algotrading and friends.
6 items
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