Deep Hedging Bermudan Swaptions
The article introduces a new method for Bermudan swaption hedging using the deep hedging framework, improving profit and loss management.
6 shares5 citations todaySource ↗
Quant LetterNo. 75
November 2024, Week 3
119 items across 9 sections, as sent to readers on 20 November 2024. Paper titles open their ML-Quant page; ↗ goes to the source.
- Items
- 119
- Papers
- 44
- Sections
- 9
- Issue
- No. 75
arXiv
Quantitative-finance and ML-for-finance preprints from arXiv.
5 items
Finance5
Risk Sensitive Contract-unified RL Approach
The paper proposes a risk-sensitive reinforcement learning approach for dynamic hedging of options, reducing tail risk using historical market data.
5 shares3 citations todaySource ↗
Risk Sharing and Diversification Effects
The research explores the negative impact of risk sharing in insurance models with infinite mean, particularly in distributions more skewed than a Cauchy distribution.
2 shares13 citations todaySource ↗
Vulnerability Conditional Risk Measures
The article introduces Vulnerability Conditional risk measures, a new systemic risk measure to assess tail risk during financial distress among market participants.
2 shares1 citation todaySource ↗
Asymptotics of Heavy-tailed Risks with Copulas
The research examines the tail asymptotics of the sum of two heavy-tailed random variables, using copulas with the tail order property for modeling dependence structure.
2 sharesSource ↗
RePEc
Economics working papers from RePEc's NEP field reports.
21 items
Finance5
Clustering for Portfolio Optimization
The article suggests a new investment strategy using clustering to reduce asset selection, potentially outperforming traditional equal weight portfolios.
21 sharesSource ↗
LowFrequency Trading Algorithm for S&P 500
A new algorithmic trading model incorporating volume data and other variables has been developed, yielding superior returns with a high hit ratio and low maximum drawdown.
19 sharesSource ↗
Peak Price Tracking for Online Portfolio Selection
The use of Online Gradient Update and Online Newton Update meta-algorithms can reduce risk in online portfolio selection and improve price prediction accuracy.
19 sharesSource ↗
Sustainable Portfolio Optimization
A new portfolio optimization approach incorporates environmental, social responsibility, and corporate governance factors into multi-index models, eliminating the need for large-scale covariance matrix estimation.
18 sharesSource ↗
Mutual Fund Characteristics in Portugal
The article analyzes the performance of Portuguese mutual funds, finding that fund age and total expense ratios significantly impact domestic equity fund performance.
13 sharesSource ↗
Statistical2
Machine Learning for Investor Sentiment
The first article suggests the use of machine learning to forecast stock market risk premium using online investor sentiment, enhancing portfolio performance.
22 sharesSource ↗
Stock Market Forecasting with DLWR-LSTM Model
The second article presents a DLWR-LSTM model for more accurate and consistent stock index forecasting, irrespective of time series fluctuations.
15 sharesSource ↗
Machine Learning10
Financial Stress in Banks
Machine learning was used to predict default risk in financial institutions, with bailout probability, market share, and market-to-book ratio being key variables.
24 sharesSource ↗
Volatility Forecasting Methods
A study found that simpler machine learning models without extra predictors are more effective in forecasting global stock market volatility.
22 sharesSource ↗
Data Prep for ML and AI
The similarities between data preparation for machine learning and data warehouses can help automate the data preparation process.
21 sharesSource ↗
Investor Risk Perception with ML
An unsupervised machine learning algorithm linked risk factors in corporate disclosures to investor pricing behavior, showing most risks decrease return volatility.
19 sharesSource ↗
Asset Pricing Uncertainty
A new economic uncertainty index created with machine learning effectively predicts stock market returns, especially during periods of high uncertainty and sentiment.
18 sharesSource ↗
Public Debt Analysis with ML
The research uses machine learning to determine that public debt changes most significantly affect welfare through income, and least through investment ratio.
17 sharesSource ↗
Stress Testing US Banks with ML
The paper highlights the use of machine learning models, Random Forest and Adaptive Lasso, in improving risk analysis during banking stress tests.
17 sharesSource ↗
Naïve Bayes for Spam Detection
The study uses the Naive Bayes Classifier algorithm to categorize emails as spam or not, with error tolerance determined by two Laplace values.
16 sharesSource ↗
Support Vector for Gender Classification
The paper introduces a new stopping criterion for gender identification in biographical texts using support vector optimization algorithms, enabling real-time training.
13 sharesSource ↗
AI for Innovation Analysis
The study explores the impact of AI, machine learning, and big data on innovation, using bibliometric analyses to map the thematic structure of AI research from 1991 to 2021.
13 sharesSource ↗
Deep Learning2
DeepVol: Volatility Forecasting with Dilated Causal Convolutions
Volatility Forecasting with Dilated Causal Convolutions: The article presents DeepVol, a model using Dilated Causal Convolutions, which effectively forecasts day-ahead volatility using high-frequency data from intraday financial time-series.
27 sharesSource ↗
Index Tracking with Shapley Explanations
The paper suggests using a one-dimensional Pointwise Convolutional Autoencoder for index tracking, selecting stocks based on Shapley Additive Explanations feature importance ranking, and compares its performance with other stock selection strategies in various financial markets.
17 sharesSource ↗
Historical Trending2
EU News on Facebook
The EU's public communication deficit is tied to a lack of engagement, with negativity in news leading to more shares but fewer comments, and emotional content leading to more comments but fewer shares.
4 sharesSource ↗
Regulating Collusion
The regulation of collusion is explored in a comprehensive manner, highlighting the need for accurate modeling of the legal system to enhance regulation.
1 sharesSource ↗
Machine learning
The general machine-learning papers the letter carried in 2023-25.
18 items
Recently Published10
MagicQuill: Image Editing System
Image Editing System: MagicQuill is an image editing system that uses a large language model to predict editing intentions in real time, enabling quick and accurate image modifications.
235 shares47 citations todaySource ↗
NeuralDEM: Particulate Flow Simulation
Particulate Flow Simulation: NeuralDEM is a deep learning approach that replaces slow routines in the discrete element method (DEM), allowing for quicker and more efficient simulations of large fluid-mechanical and particulate systems.
230 shares13 citations todaySource ↗
LLaVA-o1: Vision Language Model
Vision Language Model: LLaVA-o1 is a new Vision-Language Model that performs autonomous multistage reasoning, enhancing precision in reasoning-intensive tasks and surpassing larger models in various multimodal reasoning benchmarks.
133 shares566 citations todaySource ↗
Squeezed Attention: LLM Inference
LLM Inference: Squeezed Attention is a proposed method to speed up Large Language Model applications by using K-means clustering to group similar keys in fixed context inputs, reducing computational costs and enhancing inference efficiency.
25 shares60 citations todaySource ↗
Adaptive Decoding: Preference Optimization
Preference Optimization: Adaptive Decoding is a technique that dynamically selects the sampling temperature during language model decoding, optimizing performance across various tasks that require different temperatures.
19 shares13 citations todaySource ↗
LLM Hallucination Reasoning
A new task called Hallucination Reasoning is introduced to better categorize text generated by Language Learning Models, enhancing the detection of unfaithful text generation.
13 shares3 citations todaySource ↗
Machine Learning Model Evolution
A large-scale study of Hugging Face models reveals patterns in commit and release activities, highlighting the continuous improvement in machine learning models.
12 shares9 citations todaySource ↗
Classification of ML Models for SE
A study classifies Pre-Trained Models and datasets on Hugging Face using a Software Engineering approach, indicating a need for more task coverage to better integrate machine learning in software engineering.
11 sharesSource ↗
Image Matching Filtering
A new non-deep learning method for image matching is introduced, showing superior or equivalent performance to recent state-of-the-art deep learning methods.
10 shares7 citations todaySource ↗
Foundation Model for Cardiac MRI Reconstruction
A new foundation model for cardiac magnetic resonance imaging is proposed, which improves image quality across various protocols and outperforms traditional machine learning methods.
10 shares3 citations todaySource ↗
Historical Trending8
LightGaussian Compression
LightGaussian is a novel technique that compresses 3D Gaussians for more efficient storage and enhanced real-time neural rendering performance.
515 shares660 citations todaySource ↗
SOLO Scalable Vision-Language Model
SOLO is a unified transformer for vision-language modeling, addressing scalability issues in large models and providing an open-source training blueprint.
184 shares41 citations todaySource ↗
Diffusion Priors by EM
A new method using the expectation-maximization algorithm has been developed to train diffusion models from incomplete and noisy data, enhancing their effectiveness for subsequent tasks.
94 shares75 citations todaySource ↗
Verifiable Language Models
Quote-Tuning is a new approach that prompts large language models to directly quote from reliable sources, thereby improving their credibility and verifiability.
60 shares19 citations todaySource ↗
Vector Retrieval Optimization
The article presents a new method for vector retrieval in Large Language Models (LLMs) called VRSD, which ensures similarity and diversity constraints and performs better than the commonly used MMR method.
41 shares3 citations todaySource ↗
Dynamic Scene Reconstruction
The authors introduce a 4D Gaussian Splatting (4DGS) algorithm that enhances the synthesis of novel views from casually recorded monocular videos, improving image reconstruction quality.
31 shares32 citations todaySource ↗
SelfAlignment of Language Models
The paper presents a new tuning-free method called Dynamic Rewarding with Prompt Optimization (DRPO) for self-aligning Large Language Models (LLMs), improving alignment performance without extra training or human intervention.
27 shares20 citations todaySource ↗
Interpretable MLC in HVAC Systems
The study investigates the use of Interpretable Machine Learning (IML) in HVAC systems to enhance transparency and understanding, using Shapley values and Large Language Models (LLMs) to create a comprehensible narrative.
21 shares83 citations todaySource ↗
Papers with code
Papers that shipped their code, from the Papers with Code feed (2023-25).
14 items
Trending7
Composable Effects in NumPyro
NumPyro is a compact library that provides an alternative NumPy backend for the Pyro probabilistic programming language, keeping the same modeling interface language primitives and effect handling abstractions.
2,298 shares
JanusFlow: Autoregression and Rectified Flow
Autoregression and Rectified Flow: The performance of the unified model is improved by separating the understanding and generation encoders and synchronizing their representations during unified training.
1,033 shares
PyramidKV: Dynamic KV Cache Compression
Dynamic KV Cache Compression: PyramidKV achieves the same performance as models with a full KV cache but only retains 12% of the KV cache, thus significantly reducing memory usage, as shown by the LongBench benchmark.
682 shares
GUI Agent Claude 3.5
The Claude 3.5 Computer Use model is the first AI model to provide a graphical user interface agent for public beta testing.
365 shares
TestTime Training
TTT has greatly enhanced performance on ARC tasks, achieving six times the accuracy of base models.
127 shares
Lingma SWEGPT
Lingma SWEGPT 72B has successfully resolved over 30% of GitHub issues, marking a major advancement in automatic issue resolution.
123 shares
TCSinger
TCSinger is the first zero-shot SVS model introduced for style transfer across different languages and singing styles, offering multilevel style control.
113 shares
Rising7
Microsoft LLM2CLIP: Visual Representation
Visual Representation: The paper presents LLM2CLIP, a new technique that combines the advantages of LLMs and CLIPs for improved performance.
99 shares
Hanweikung Face Anonymization
The article highlights the flaws in existing face anonymization methods, which depend on possibly unreliable face recognition models.
87 shares
Apple: Large Language Models
Large Language Models: The article introduces a custom kernel that performs specific operations in flash memory, greatly decreasing global memory usage for crossentropy computation.
85 shares
TransformerRanker: Model Selection
Model Selection: Pretrained language models are usually chosen from a model hub and then fine-tuned for specific natural language processing tasks.
79 shares
Scaling Mesh Generation
A new mesh representation called Blocked and Patchified Tokenization (BPT) has been introduced to aid in the creation of meshes with more than 8k faces.
72 shares
SplatFormer: 3D Gaussian Splatting
3D Gaussian Splatting: For the first time, point transformers have been successfully applied directly to 3DGS sets, overcoming the constraints of previous multiscene training methods.
55 shares
Wavelet Latent Diffusion Model
The ineffectiveness of current representations, due to their lack of compactness, hinders the efficiency of generative model development.
33 shares
GitHub
Repositories the letter featured.
10 items
Finance5
Time Series Analysis in Python
The article presents a Python toolkit for performing time series analysis through machine learning.
2,911 shares
Shapley Interactions in ML
The piece investigates the application of Shapley Interactions to improve machine learning operations.
213 shares
Macrosynergy Quant Research
The article reviews Macrosynergy's research in quantitative analysis.
102 shares
Workflow Orchestration with Prefect
The article presents Prefect, a Python framework for building reliable data pipelines.
17,436 shares
Unofficial Yahoo Finance API
The piece details a Python wrapper for interacting with an unofficial Yahoo Finance API.
787 shares
Trending5
DearPyGui
Dear PyGui is a fast and reliable GUI toolkit for Python with few dependencies.
13,270 shares
AIHawkFOSS
AIHawk's AutoJobsApplierAIAgent is an AI tool that automates the process of applying for multiple jobs at once.
22,246 shares
PygmalionAI
Largescale LLM inference engine examines a large-scale inference engine for language models.
1,122 shares
News
Industry news: funds, hiring, markets and regulation.
20 items
Quantitative10
SPX Capital hires PM
Robert Kim, ex-CIO of AllianceBernstein’s AB Arya Partners, has been appointed as a portfolio manager at Brazilian hedge fund, SPX Capital.
8 shares
SSC reports gains
Hedge funds saw a 0.25% return in October and the SS&C GlobeOp Capital Movement Index recorded 1.02% net inflows in November, showing ongoing investor confidence.
5 shares
Syz Capital appoints specialist
Ursula Nitschke has been named the new Head of Business Development and Investor Relations at Syz Capital, overseeing capital raising and communications.
5 shares
Polymer Capital hires trader
Chiga Murayama, a former senior portfolio manager at BlueCrest Capital Management, has been hired by Polymer Capital Management after significant losses in yen rates trading in August.
4 shares
Arcesium unveils solution
Arcesium has introduced a new automated Regulatory Reporting solution to aid in managing regulatory compliance in the global investment industry.
3 shares
Quincy Data's Time Sync Service
Quincy Data has launched a time synchronisation service for US financial exchanges, providing subnanosecond accuracy.
3 shares
Hedge Funds Benefit Bond Market
Hedge funds are having a growing impact on Europe's bond markets, particularly in Italy, where they are said to enhance liquidity and market efficiency.
3 shares
Customisation Drives Quant Surge
The surge in quant investing is due to the demand for customisation for the year 2025 and beyond, says Investment Magazine.
3 shares
Verition's Support Head from Hedge Fund
Hedge funds are increasingly hiring staff from other hedge funds.
3 shares
Activist Jana Cuts Frontier Stake
Jana Partners, an activist hedge fund, has significantly restructured its portfolio, reducing its Frontier Communications stake by 59% and fully exiting its positions in QuidelOrtho and BlackLine Systems.
2 shares
Miscellaneous10
Two Sigma Hires Bridgewater HR Head
Sarah Moore Fass, former Chief Human Resources Officer at Bridgewater Associates, has been appointed as the new Chief People Officer at Two Sigma Investments.
2 shares
Bridgewater Partners with State Street
Bridgewater Associates is partnering with State Street Global Advisors to offer its investment strategies to retail investors, a significant shift in its market strategy.
2 shares
Arini's European Bond Hedge Fund Rises
The Arini Credit Master Fund has seen a 23.4% increase through October, profiting from bets against European manufacturers impacted by US-China tensions.
2 shares
Liquidnet Introduces Liquidity Algorithm
Liquidnet has launched SmartDark, a new algorithm for its equities platform, designed to enhance institutional traders' trade execution.
2 shares
Quebec's CDPQ Bets on Quant Strategies
Quebec's CDPQ is investing in quant strategies and is looking to expand further, as reported by BNN Bloomberg.
2 shares
Tiger Funds Q3 Bets
Tiger Management-associated hedge funds, including Discovery Capital Management, disclosed significant new investments in Q3.
2 shares
Citadel Boss: Hedge Fund Boom Over
Hedge Fund Boom Over: Citadel's Ken Griffin stated that the rapid growth of multistrategy hedge funds has ceased.
2 shares
Hedge Funds Reduce Turkish Lira
The Turkish lira weakened as state banks scaled back currency defense, prompting hedge funds and traders to unwind carry trades.
2 shares
EU Emerging Manager Awards Winners
The Hedgeweek European Emerging Manager Awards, honoring top emerging hedge fund managers and service providers, were announced in London.
1 shares
DE Shaw's Bayer Short Bet
DE Shaw hedge fund has taken a €102m short position against Bayer, as per a German regulatory filing.
1 shares
Podcasts
Episodes on markets, quant methods and economics.
10 items
Quantitative5
Leveraged ETF Strategies
Matt Markiewicz explains the complexities of leveraged and inverse ETFs, highlighting their short-term amplified returns and unsuitability for long-term investments.
12 shares
Innovative Leveraged ETFs
Russell Tencer discusses the potential of calendar reset leveraged ETFs to provide sustained leverage over longer periods, revolutionizing investment strategies.
11 shares
AI in Parenting & Finance
Kris Abdelmessih and Adam Butler discuss the importance of education, parenting, and understanding the options market in a podcast episode.
11 shares
EM Asset Class Evolution
A webinar reviews a J.P. Morgan report on the evolution and diversification of the EM as an Asset Class series, focusing on post-pandemic stabilization of sovereign debt levels and credit ratings.
9 shares
Fama Factors & Women in Finance
Marlena Lee discusses her academic journey, the factors driving US market performance, and the history of Dimensional Fund Advisors in a podcast episode.
8 shares
Related5
Investing in Sports
Apollo Co-Founder Josh Harris and Goldman Sachs' Nicole Pullen Ross highlight the growing investment opportunities in the sports industry due to relaxed private equity ownership rules and increased media rights deals.
8 shares
Aswath Damodaran on Sugar Daddies
NYU Professor Aswath Damodaran discusses the intricacies of investing, company lifecycles, AI's role in finance, and critiques ESG investing in a podcast.
8 shares
Ep with Alberto Gallo
Alberto Gallo of Andromeda Capital Management discusses the impact of Trump's policies on markets, the Fed's future actions, and US growth and credit expansion in a podcast.
5 shares
Global FX: Trade risks
Trade risks: Meera Chandan and Arindam Sandilya discuss the expected behavior of FX markets following the US elections and anticipate more changes in a podcast.
5 shares
US Rates Strategy: Core CPI
Core CPI: US Rates Strategist Phoebe White discusses the October CPI report, the future of US rates and inflation markets, and the limited potential for further yield increases in a podcast.
3 shares
X / Twitter
Posts from quant researchers on X.
11 items
Quantitative5
Algorithmic Trading Python
The article explores the application of the Python programming language in algorithmic trading.
5 shares
Cryptocurrency Pairs Trading
This piece delves into the strategy of pairs trading within the cryptocurrency market.
1 shares
Latest Research Recap
The article summarizes recent studies on topics such as asset allocation, cryptocurrency, and stock return predictability.
1 shares
BlackLitterman Model Risk Factors
The article reviews a recent study that uses the Black-Litterman model to analyze risk factors.
1 shares
Overnight Return Momentum Study
The article investigates the correlation between previous overnight returns and the ratio of opening to closing volume on single name overnight returns.
1 shares
Miscellaneous6
LLM Agents with Memory and Reasoning
The article discusses how causal methods are used to match tabular data with natural language by a causal agent.
1 shares
Online Prediction and Segmentation Methods
The review paper explores techniques for online prediction and segmentation amidst nonstationarity, addressing both slow and abrupt changes.
0 shares
LLM Effects on Physicians' Diagnostic Reasoning Study
The study reveals that an LLM outperformed physician groups in diagnostic reasoning in a double-blind experiment.
0 shares
The Mutability of HTML Notebooks
The article explores the adaptability and impact of Reactive HTML Notebooks.
0 shares
AgentOPS Model Validation Paper
The article reviews the AgentOPS paper, emphasizing on model validation, observability, artifact tool tracking, and VectorDBs interfacing.
0 shares
Open Source Analysis Tool
The article investigates the use of open source tools for interactive and visual data analysis.
0 shares
Threads from r/quant, r/algotrading and friends.
10 items
Quantitative5
Discussion Rule Update
48 shares
Portfolio Optimization
73 shares
MetaTrader5 Tutorial Series
152 shares
Alternative to ADF in Pairs Trading
59 shares
Stock Dividends in Return Swaps
30 shares
Rising5
Zetamac
89 shares
Puzzles in Quant Interviews
35 shares
Quant Secrecy vs Tech Sharing
183 shares
DIY Backtesting vs Public Software
28 shares
Conflict
52 shares