Quant LetterNo. 86
155 items across 9 sections, as sent to readers on 26 February 2025. Paper titles open their ML-Quant page; ↗ goes to the source.
Quantitative-finance and ML-for-finance preprints from arXiv.
26 items
The article suggests a new model for portfolio valuation adjustments that uses a deep BSDE approach to handle each layer separately, making it more computationally efficient and adaptable to complex portfolios.
20 shares3 citations todaySource ↗
The paper introduces a new method for predicting bond yields using Causal Generative Adversarial Networks and reinforcement learning, which improves forecasting performance by generating synthetic bond yield data.
15 shares2 citations todaySource ↗
The study analyzes the interdependence and sensitivity of US stock and commodity markets during the COVID-19 crash using Topological Data Analysis and Granger-causality.
14 sharesSource ↗
The research investigates how systemic risk in production networks can lead to financial systemic risk through supply chain contagion, and proposes a financial stress-testing framework that combines supply chain and interbank network layers.
14 shares3 citations todaySource ↗
The paper suggests a financial fraud detection system that uses an improved Random Forest and Gradient Boosting Machine model, offering an efficient and reliable solution for detecting financial fraud.
13 shares5 citations todaySource ↗
Research on the Japanese stock exchange indicates that trades primarily influence prices mechanically, challenging theories that stress the informational value of trades.
12 shares6 citations todaySource ↗
A study using advanced clustering techniques emphasizes the need for transparency and timely reporting in the financial performance of medical sector insurance companies.
12 shares1 citation todaySource ↗
An event-driven Limit Order Book model using a Neural Hawkes process is proposed to simulate high-frequency dynamics in financial markets, offering a more accurate depiction of trade execution.
12 shares2 citations todaySource ↗
The ContraSim algorithm is introduced as a tool to understand the correlation between daily financial headlines and market movements, enhancing the precision of financial forecasting.
11 shares2 citations todaySource ↗
A study comparing three loan behavior modeling techniques finds multinomial logistic regression to be the most effective, potentially improving loss reserve estimates in banking.
11 shares4 citations todaySource ↗
Research shows that Hong Kong companies with strong environmental, social, and governance (ESG) performance between 2018 and 2022 have better financial flexibility, especially in unstable economies.
14 shares4 citations todaySource ↗
A new concept, N-Bounded Foresight Equilibrium (N-BFE), simplifies the analysis of large dynamic economies by limiting agents' expectations about key economic variables to the next N periods.
14 sharesSource ↗
A study indicates that a secondary materials market cannot replace emissions taxes, suggesting the best policy is to subsidize secondary materials prices and tax uncontrolled emissions.
13 sharesSource ↗
Data from 1980 to 1990 shows that the creation of community banks boosts local household consumption by increasing income and reducing precautionary savings.
13 sharesSource ↗
A study reveals the spousal age gap in India fluctuates based on the wife's education level, with socio-economic factors playing a role, impacting the treatment of women in marriages.
13 sharesSource ↗
Research indicates Q-learning agents can adjust pricing strategies and form tacit collusion in response to market conditions, managing prices during demand fluctuations.
12 shares2 citations todaySource ↗
A global study finds most countries are resistant to immigration, with Western and Gulf countries increasing openness in the early 2000s, potentially impacting old-age dependency ratios and wage growth.
11 sharesSource ↗
A paper suggests tribalism is a fundamental aspect of democracy, with group identities prioritized over policy due to electoral competition, institutional rules, and digital networks, affecting democratic governance.
11 shares1 citation todaySource ↗
The study shows a two-way link between news narratives and financial market shocks, indicating that changes in public discourse can trigger economic shifts and vice versa, with factors like partisanship and unexpected events like COVID-19 affecting this relationship.
17 shares2 citations todaySource ↗
The paper introduces a system that uses large language models to create persuasive, personalized real estate marketing content, which was favored over human-written descriptions in tests, indicating potential for automated, fact-based targeted marketing.
16 shares10 citations todaySource ↗
The research presents a unique method for economic and public policy analysis using multiple large language models as artificial economic agents, simulating policy impacts across various groups, and suggesting a new way to utilize computational power and human-like reasoning in policy studies.
10 shares13 citations todaySource ↗
Moroccan companies are enhancing performance by adopting innovative financing solutions such as venture capital, green finance, crowdfunding, and blockchain technology to adapt to market and technological changes.
11 shares4 citations todaySource ↗
The Diamond-Mortensen-Pissarides model indicates that blockchain technology can enhance job-matching efficiency, decrease unemployment, and government policies on tax and wages can speed up blockchain innovation and boost employment growth.
8 shares1 citation todaySource ↗
China is developing a carbon financial system to support green and low-carbon investments, but faces challenges such as an unbalanced economy and lack of market infrastructure, necessitating economic and legal improvements.
18 shares1 citation todaySource ↗
A study on the effects of fiscal policies on household consumption and income during COVID-19 in Croatia, Slovakia, and Poland found Slovakia's policies most effective, while Poland's led to reduced consumption and income, indicating the need for custom fiscal measures.
16 sharesSource ↗
A new hybrid model combining long-short-term memory networks and Graph Neural Networks enhances the accuracy of stock market predictions by capturing temporal patterns and complex inter-stock relationships, surpassing traditional and advanced benchmarks.
13 shares22 citations todaySource ↗
Working papers in finance and economics from SSRN.
32 items
The study analyzes state-level data since 2001 to understand how changes in electricity prices impact demand and how economic shocks, such as recessions, affect electricity consumption.
13 shares11 citations todaySource ↗
The study examines the evolution of portfolio management over 70 years, focusing on the challenges and performance of thematic model grouping and alpha signal optimization.
253 sharesSource ↗
The research presents a predictive network among corporate bond issuers to aid proactive portfolio management and provide insights for credit research.
229 sharesSource ↗
The study finds that Ridge Regression is the most effective machine learning method for forecasting Brazilian stock returns, considering transaction costs.
30 sharesSource ↗
The research shows that voluntary news disclosure by private firms increases the investment sensitivities of public peer firms, especially in volatile industries with less local news coverage.
87 sharesSource ↗
The paper discusses common time series models used in finance for asset price prediction, risk management, and portfolio optimization, and outlines future research challenges.
14 sharesSource ↗
The study highlights the importance of data governance practices in maintaining fairness in machine learning and AI technologies, and proposes measures to reduce bias.
43 sharesSource ↗
The research reveals a U-shaped relationship between corporate financial asset allocation and audit fees, influenced by financing constraints and moderated by ownership concentration.
26 sharesSource ↗
The study finds that equity options trading and investor sentiment increase stock price volatility, particularly for larger companies.
22 sharesSource ↗
The paper uses a machine learning approach to estimate credit risk and classify bond price risk based on financial metric fluctuations.
22 sharesSource ↗
The research suggests treating data as a rival good due to privacy and statistical validity concerns, indicating a need for revised data management.
14 sharesSource ↗
The study emphasizes the need to address bias in data processing and decision-making when implementing data governance frameworks.
37 sharesSource ↗
The paper finds that tail risk premium (TRP) is more significant and informative for predicting crude oil futures returns than variance risk premium (VRP).
83 sharesSource ↗
The research shows a positive correlation between the Presidential Economic Approval Rating (PEAR) and firms' asset liquidity strategies.
20 sharesSource ↗
The study finds that hybrid models, combining ensemble residual machine learning and conventional models, improve oil production forecasting.
14 sharesSource ↗
The paper introduces a new approach to large language models (LLMs) that enhances accuracy on difficult questions and allows controllable test-time scaling.
286 sharesSource ↗
The article explores how to price and hedge counterparty credit risk and funding when there's no option to hedge the default risk of the bank or the counterparty. It uses local risk minimization to determine the best strategy.
107 sharesSource ↗
The article criticizes the 4% withdrawal rule by William Bengen, pointing out its past failures and the need for more adaptable withdrawal strategies.
301 sharesSource ↗
The study indicates that firm embeddings from US corporate bond holdings can offer more precise and timely data than credit ratings in fixed income markets.
40 sharesSource ↗
The research examines the link between liquidity and volatility in cryptocurrency markets, using a model to evaluate how market volatility affects liquidity.
35 sharesSource ↗
The study presents a comprehensive framework for portfolio optimization that combines Mean-Variance analysis with additional risk constraints, providing a useful tool for creating robust, risk-aware investment strategies.
108 sharesSource ↗
The paper introduces a new framework that combines sparse synthetic control with copula-based dependence modeling to improve adaptability and risk management in pairs trading strategies.
123 sharesSource ↗
The study criticizes the prevalence of risk theory in asset pricing literature and suggests a new fear-based model for returns, focusing on investor behavior instead of objective risk measures.
244 sharesSource ↗
The research explores the impact of intertrade duration on short-term price dynamics, finding that longer trade durations decrease the chance of reversals and enhance momentum predictability.
91 sharesSource ↗
The BKMN model is a new method for financial institutions to conduct climate stress tests, linking temperature and CO2 changes to financial impacts.
116 sharesSource ↗
A five-factor model effectively prices corporate bonds by considering short maturity, bond value, equity momentum, and accruals, even after transaction costs.
66 shares3 citations todaySource ↗
The combination of normalizing flows and traditional portfolio optimization methods allows for effective risk management and scalability while accounting for nonlinear asset relationships.
51 sharesSource ↗
An analysis of currency volatility shows the Swiss franc and Japanese yen as the best tools for managing currency risk.
25 sharesSource ↗
The financial and operational implications of US state governments investing in cryptocurrencies like Bitcoin are explored.
32 sharesSource ↗
The paper suggests using daily data to measure the variances of simple returns, emphasizing the differences between log returns and simple returns.
21 sharesSource ↗
The risks of investing in meme coins are highlighted through a case study of the TRUMP token, focusing on transparency issues, market manipulation, and insider advantages.
48 sharesSource ↗
The paper discusses how cognitive biases lead to systematic mispricing in financial markets and how these biases can be incorporated into asset pricing models.
20 sharesSource ↗
Economics working papers from RePEc's NEP field reports.
30 items
The article explores the effects of algorithmic trading and passive investing on emerging markets, suggesting a new Automated Adaptive Trading System to reduce risks.
27 sharesSource ↗
The study uses machine learning to evaluate the yearly equity returns of the Pakistan Stock Exchange, proposing a portfolio optimization scheme.
25 sharesSource ↗
The paper introduces a new factor model for country equity risk premia using instrumented principal component analysis, identifying key return predictors in global markets.
21 sharesSource ↗
The study investigates the interpretation of feature influence in financial Machine Learning models, warning that certain techniques can be misleading in linear models.
18 sharesSource ↗
The research studies the potential of top US tech stocks as diversification assets for cryptocurrency investors, suggesting these stocks can be safe havens during volatile periods.
16 sharesSource ↗
The study presents a new method for calculating non-Gaussian risk parity weights in portfolio optimization, reducing portfolio turnover during market instability.
16 sharesSource ↗
The paper shows that using Value-at-Risk in portfolio choice problems increases losses, while Expected Shortfall reduces losses in market downturns.
14 sharesSource ↗
The research introduces a portfolio optimization framework that considers both systemic and individual risk, highlighting potential inefficiencies in current portfolio structures.
14 sharesSource ↗
The study suggests an optimal shrinkage intensity selection for covariance estimators, improving global minimum-variance portfolios, particularly with many assets.
12 sharesSource ↗
The article presents a new method for calculating option Greeks using the Mellin transform, offering insights into option trading risks and tools for risk mitigation.
11 sharesSource ↗
The blockwise reduced modeling (BRM) method is introduced to analyze incomplete data, using ensemble models to reduce data imputation and enhance predictive performance.
20 sharesSource ↗
Research shows that a combined approach greatly enhances the predictability of cryptocurrency volatility, aiding investors in optimizing risk management strategies.
19 sharesSource ↗
A new strategy, combining momentum-determined indicator-switching and machine learning, is proposed to improve the accuracy of equity premium prediction, yielding significant results.
19 sharesSource ↗
A study reveals that increased product market competition leads firms, particularly those with high earnings volatility, to adopt zero-leverage policies, shedding light on the relationship between market competition, financial decisions, and firm risk.
18 sharesSource ↗
Research shows that the fluctuation of long-term treasury bond contracts can predict the Chinese stock market's volatility, with machine learning enhancing these predictions.
24 sharesSource ↗
The article presents a probabilistic version of the LSSP with unpredictable product arrival times, suggesting a new algorithm and machine learning model for better efficiency and accuracy.
16 sharesSource ↗
A new statistical machine learning method for breaking down and analyzing complex time series is introduced, providing an alternative to the Box-Jenkins approach.
13 sharesSource ↗
The study uses new metrics and machine learning algorithms to predict table tennis game outcomes, offering insights into player interactions.
13 sharesSource ↗
A new machine learning estimator, Ordered Forest, is developed for ordered choice models, performing well in situations with nonlinearities and high covariate correlation.
13 sharesSource ↗
The article discusses a deep learning algorithm designed to detect financial asset bubbles through the analysis of observed call option prices. This algorithm was tested on tech stock market data and under different models.
15 sharesSource ↗
The study uses machine learning to predict the CBOE Volatility Index, highlighting the importance of weekly jobless claim data in improving trading strategies.
23 sharesSource ↗
The research uses machine learning to predict sales on Jumia, finding that gradient boosting machine performs best and that pricing, promotions, and seasonality drive sales.
17 sharesSource ↗
The paper finds traditional machine learning models more effective than deep learning models in predicting stock price movements in the European banking sector.
13 sharesSource ↗
The article provides an in-depth analysis of money market trading in the Swiss banking sector, outlining strategies and risks for traders.
8 sharesSource ↗
The study enhances inflation forecasting by incorporating machine learning methods, demonstrating that this approach reduces errors and increases short-term reliability.
7 sharesSource ↗
The research finds that time-variable parameters in the Five-Factor Model affect asset pricing and are influenced by industry specifics and macroeconomic shocks.
4 sharesSource ↗
The study uses machine learning to analyze social media discussions on climate change, emphasizing the importance of communication and diverse policies for achieving net-zero goals.
4 sharesSource ↗
MsT vs. HT: The research compares Microsoft and Human Translation of ancient Tamil literature, noting that both methods result in changes in the translated text.
3 sharesSource ↗
The article suggests a framework for AI governance in Moldova to meet EU standards, highlighting the potential of responsible AI governance and regulatory flexibility to drive innovation and support EU integration.
2 sharesSource ↗
A Review: The review explores the link between e-governance initiatives and citizen participation, identifying success factors and emphasizing the need for interdisciplinary research to assess their effectiveness.
2 sharesSource ↗
Papers that shipped their code, from the Papers with Code feed (2023-25).
12 items
The possibility of enhancing test-time computation for Large Language Models in code generation is promising but needs more research, despite extensive studies in mathematics.
2,907 shares
The StepEvalAudio360 benchmark reveals that StepAudio performs exceptionally well in human evaluations, especially in instruction following.
2,740 shares
Enhancing the effective context length is vital for the progress of Large Language Models towards achieving Artificial General Intelligence.
1,341 shares
RealWorld Freelance Software Engineering: The article introduces SWELancer, a benchmark comprising over 1,400 freelance software engineering tasks from Upwork, valued at 1 million USD.
1,026 shares
Multimodal AI Agents Foundation Model: The article introduces Magma, a foundational model designed for multimodal AI tasks in both digital and physical environments.
435 shares
Web Crawling for LLM Pretraining: The article reveals that a majority of web pages crawled for pretraining large language models are discarded due to substandard data quality.
394 shares
The article introduces a novel approach to modularization by simplifying generative models into basic generative modules.
368 shares
Text-to-Song Transformer: The authors aim to share their model weights, training code, annotated data, and preprocessing pipeline to promote community involvement and additional research.
110 shares
Speech Model on One GPU: The research demonstrates that their training method efficiently scales with enhanced computing power, delivering results similar to top SLMs but at a reduced computational expense.
99 shares
The article presents a novel trading agent that combines reinforcement learning with large language models to manage risk-sensitive trading.
90 shares
The paper discusses how Llama27B's KV cache size was reduced by 92.19%, with only a slight 0.5% drop in LongBench performance.
80 shares
The piece introduces LLMSelector, a system for choosing models in compound systems, utilizing insights about end-to-end and per-module performance estimated by a large language model.
43 shares
Repositories the letter featured.
10 items
The article shares coding examples for various quantitative finance concepts.
47 shares
The article talks about an open-source trading bot for Solana that supports automated and copy trading.
159 shares
The article presents a Python toolkit designed for machine learning and data mining on incomplete time series data.
1,261 shares
The article teaches how to use options data to predict future prices of publicly traded securities.
106 shares
The article introduces an open-source tool as an alternative to Carbon.ai for creating robust RAG applications.
497 shares
The NextGen Algorithmic Trading Framework 🚀 Early Beta introduces the preliminary beta version of a novel algorithmic trading system.
214 shares
JAX A curated list of resources httpsgithub is a collection of valuable JAX-related resources on GitHub.
1,705 shares
Verilog UART discusses the Universal Asynchronous Receiver Transmitter (UART) in the Verilog language.
445 shares
A realtime passive radar delves into the idea and usage of a real-time passive radar system.
309 shares
Industry news: funds, hiring, markets and regulation.
20 items
RBC BlueBay Asset Management's report shows a rise in global institutional investors putting money into fixed income hedge funds, with 63% expecting over 10% annual returns.
7 shares
After selling its Tabula ETF business to Janus Henderson, London's Tabula Capital has changed its name to TabCap Investment Management.
6 shares
Due to a 150% increase in assets under management, Nickel Digital Asset Management has implemented a soft close on its Diversified Alpha Fund.
6 shares
The article highlights the benefits of being a manager.
6 shares
Tybourne Capital Management plans to return external capital in its long-only funds after shutting down its US technology hedge fund earlier this year, according to Bloomberg.
5 shares
Equity Data Science has launched Nexus, a unified interface for risk and portfolio management.
5 shares
The article explores the career shift from banking to technology roles in hedge funds and private equity.
5 shares
According to Citco's report, hedge funds started the year strongly with an average 4% return in January.
4 shares
The article delves into the complexities of H1B visas in quantitative finance.
4 shares
Aecus Partners has appointed experienced investor Fan Ye as Global Portfolio Manager for its Global Equity Strategy.
4 shares
Devexperts has launched DXtrade Institutional, a customizable platform for financial institutions to improve their frontend systems.
3 shares
Millennium Management's CEO, Izzy Englander, was the top-earning hedge fund founder in 2024, earning around $4bn.
3 shares
D Capital Partners has rebounded from its 2022 tech losses by investing in undervalued European corporate turnarounds.
3 shares
Point72 founder, Steve Cohen, is leading a $75m investment in legal AI firm Luminance.
2 shares
Activist hedge fund firm ValueAct Holdings has bought a significant stake in Amazon.com Inc, worth about $119m.
2 shares
Asian stocks have seen a surge in investments from hedge funds, reaching the highest level since 2016, with China and Hong Kong making up almost half of these investments.
2 shares
Palliser Capital, a London-based hedge fund firm, is pushing for Rio Tinto to allow its Australian shareholders to vote on a proposed independent review of the company's dual-listed structure.
2 shares
Lawyers Jean Bao and Aidan ORegan have been promoted to Of Counsel in the Asia Dispute Resolution & Insolvency and Funds & Investment Management practices at Maples and Calder in Hong Kong.
2 shares
The UK's Financial Conduct Authority has concluded its investigation into the cumex dividend tax fraud, issuing its final fine to Mako Financial Markets.
2 shares
Emmanuel Dray has been appointed as the EMEA Head of Investor Coverage at BNP Paribas, a role that focuses on rapidly growing asset managers and hedge funds.
2 shares
Episodes on markets, quant methods and economics.
10 items
The article explores the potential of High Income PassThrough Securities (HIPS) as a strong investment strategy during high inflation, emphasizing their resilience during the 2020 pandemic and tax benefits.
13 shares
The article reviews fixed income cross-asset, discussing market structural shifts and providing expert insights.
10 shares
The podcast discusses the factors influencing Eurex futures roll and provides a forecast for Mar25Jun25 Eurex bond futures rollover.
8 shares
The podcast explores the rising spending needs for defense and Ukraine reconstruction, European policy responses, and their impact on sovereign issuance and markets.
8 shares
The podcast analyzes the results of the German elections, its fiscal response implications, and effects on currency markets.
5 shares
Sandilya, Tanase, and Nelligan explore the future of foreign exchange considering factors like tariff risk premium, European peace optimism, and changes in the Japanese yen.
5 shares
The upcoming expiration of the JCPOA agreement sparks debate on whether to revive the 2015 vision or create a new nuclear deal, with both the US and Iran open to negotiations.
4 shares
Clough Capital's CIO, Chuck Clough, compares the current stock market to the dotcom bubble and discusses the influence of AI on different sectors.
4 shares
Patnaik and Lueth discuss the development of the emerging market debt universe, its portfolio applications, and the role of emerging markets in a multipolar world.
4 shares
Barry and White discuss the Treasury and TIPS market considering the January FOMC meeting minutes, comments from Treasury Secretary Bessent, tariff news, and increasing inflation expectations.
3 shares
Posts from quant researchers on X.
5 items
Data analysis up to 2024 confirms the continued effectiveness of the preFOMC announcement drift strategy.
1 shares
The rise in near-term interest rates may be caused by AI-driven automation shifting labor income towards those controlling AI systems.
1 shares
Morgan Stanley's report highlights the progress and potential of humanoid robotics.
0 shares
Rising economic policy uncertainty may adversely affect stock returns and economic growth.
0 shares
The article discusses how artificial intelligence is revolutionizing user interface and user experience design.
0 shares
Threads from r/quant, r/algotrading and friends.
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