FinTMMBench
FinTMMBench is a new benchmark for assessing multi-modal Retrieval-Augmented Generation systems in finance, providing a multi-modal corpus, time-aware questions, and various financial analysis tasks.
17 shares6 citations todaySource ↗
Quant LetterNo. 88
March 2025, Week 2
112 items across 8 sections, as sent to readers on 12 March 2025. Paper titles open their ML-Quant page; ↗ goes to the source.
- Items
- 112
- Papers
- 53
- Sections
- 8
- Issue
- No. 88
arXiv
Quantitative-finance and ML-for-finance preprints from arXiv.
23 items
Finance9
Assessing Stock Return Uncertainty
A new deep learning model using a Gaussian mixture distribution is developed to understand the complex, changing nature of asset return distributions in the Chinese stock market, offering more precise volatility forecasts and unique risk insights.
13 sharesSource ↗
Liquidity Competition
A study shows that brokers in a multi-agent setting can speculate based on flow information by providing liquidity to informed traders, while also reducing inventory risk and trading costs.
12 shares4 citations todaySource ↗
Finance Pattern Identification
The article suggests a new framework that uses entropy to identify reliable short-term financial patterns, enhancing algorithmic trading strategies.
9 shares1 citation todaySource ↗
Optimal Portfolio Allocation
The study improves portfolio allocation methods by using utility theory and compound probability distributions to extend the maximum expected utility objective.
9 sharesSource ↗
NonMarkovian Zero Intelligence Model
The research presents a new model for small tick assets, predicting a concave price path during metaorder execution and price reversion afterwards.
9 sharesSource ↗
Dynamic Portfolios
The paper describes the optimal dynamic portfolio choice for the Monotone Mean-Variance utility in asset price models with independent returns, with minimal assumptions.
9 shares1 citation todaySource ↗
Managing Transition to ESTR
The study examines the transition from EONIA to ESTR's effect on financial instrument pricing, finding that the clean discounting approach has minimal impact on financial valuations.
9 shares4 citations todaySource ↗
Economics7
Airbnb Self-Preferencing
Research shows Airbnb's pricing algorithm, which favors overall platform profit over individual host earnings, decreases social welfare by 5.08%, highlighting the need for policy changes and transparency in platform operations.
14 sharesSource ↗
GATE: AI Automation Impacts
AI Automation Impacts: The GATE model is presented, a dynamic tool that simulates the economic impacts of AI automation, enabling users to examine the effects of AI under various parameters and policy actions.
13 shares14 citations todaySource ↗
VPP Power Plant Aggregation Model
A proposed model aims to combine distributed energy resources into virtual power plants to provide inertia and primary frequency response, with the goal of reducing social costs and taking into account the frequency response delay of participants.
12 shares40 citations todaySource ↗
ChatGPT Bias
Research indicates that ChatGPT, an AI system, shows a left-leaning bias in responses to political economy questions, emphasizing the need for AI transparency to avoid ideological influence.
12 shares4 citations todaySource ↗
Brazil Labor Challenges
A study combining labour market simulation with green transition scenarios reveals that productivity shocks could worsen inequality, particularly for agricultural workers, highlighting the need for targeted labour market policies.
12 shares3 citations todaySource ↗
Maine Forestry Forecast
Research predicts that Maine's forestry and logging industry's contribution may remain stable, but local communities could suffer from decreased employment and firms, and increased tariffs could cause further damage.
12 shares1 citation todaySource ↗
LLM Hallucination Standards
A study on large language models (LLMs) suggests that net welfare improves when the acceptable level of inaccuracies varies with the willingness to pay for reduced misinformation and the damage associated with it.
11 shares2 citations todaySource ↗
Miscellaneous4
Financial Sentiment Analysis with LLMs
The article investigates the use of large language models in financial sentiment analysis, showing their ability to learn and address related challenges.
24 shares8 citations todaySource ↗
Recovery from Manipulated Signals
The paper presents a model for obtaining unverifiable information in decentralized infrastructure networks, focusing on truthful signal reporting in location and bandwidth proving settings.
18 shares4 citations todaySource ↗
FinTSBridge: Financial Prediction Evaluation Suite
Financial Prediction Evaluation Suite: The research links time series forecasting models with financial asset pricing, through dataset construction, model validation, metric development, and performance assessment.
10 shares3 citations todaySource ↗
FinTSBridge: Financial Prediction Evaluation Suite
Financial Prediction Evaluation Suite: The study reiterates the connection between time series forecasting models and financial asset pricing, involving dataset creation, model validation, new metric development, and performance evaluation.
10 shares3 citations todaySource ↗
Historical Trending3
XVA Model Analysis
The article explores the impact of XVA on derivatives pricing, emphasizing its model risk and computational effort, and offers a guide for creating a strong model for collateralized exposure and XVA.
312 shares4 citations todaySource ↗
TimeVarying Volatility in Option Pricing
The paper presents a pricing kernel with fluctuating volatility risk aversion to account for changes in the pricing kernel's shape, showing reduced pricing errors in an empirical application to the S&P 500 index, the CBOE VIX, and option prices.
51 shares4 citations todaySource ↗
Forecasting Financial Risk with Quantile Series
The study introduces a method for estimating Value-at-Risk (VaR) and Expected Shortfall (ES) models using quantile-based, semi-parametric historical simulation, and assesses its sample properties and accuracy in forecasting.
14 sharesSource ↗
RePEc
Economics working papers from RePEc's NEP field reports.
30 items
Finance6
Enhanced Emerging Market Portfolio Performance
A new Automated Adaptive Trading System may help stabilize emerging markets during downturns, countering challenges posed by algorithmic trading and passive investing.
27 sharesSource ↗
Efficient Volatile KSE-30 Equity Identification
Machine learning has been utilized to identify assets causing downward trends in the Pakistan Stock Exchange, suggesting a portfolio optimization scheme for effective asset allocation.
25 sharesSource ↗
Risk Parity Optimization
Accounting for fat-tailed returns in risk parity portfolio optimization can lessen sensitivity to volatility shocks, decrease portfolio turnover during market turmoil, and enhance risk-adjusted returns.
16 sharesSource ↗
Adaptive Market Hypothesis & Sharpe Ratio Strategies
The research finds that trading strategies based on the Sharpe Ratio are more profitable than the buy-and-hold strategy in global markets, supporting the Adaptive Market Hypothesis.
15 sharesSource ↗
Novel Window Analysis for HFT
The study introduces a new window analysis method using the Whale Optimization Algorithm for assessing decision-making units' efficiency, proving its effectiveness in evaluating forex investment strategies and utility companies.
11 sharesSource ↗
Monitoring Poverty in Data-Deprived Lebanon
The paper uses a new data augmentation technique to study poverty in the Middle East and North Africa, specifically Lebanon, utilizing alternative data sources when traditional income data is scarce or unavailable.
10 sharesSource ↗
Statistical6
BRM Method for Predictions
The blockwise reduced modeling (BRM) method is a new approach for analyzing incomplete data, which uses pretraining models to reduce data imputation and has proven to be more effective than existing methods.
20 sharesSource ↗
New Momentum Indicator Strategy
The momentum-determined indicator-switching (N-MDIS) strategy is a new machine learning technique for improving equity premium prediction, outperforming both MDIS and N-MDIS strategies with logistic regression.
19 sharesSource ↗
Product Market Competition and Zero-Leverage Policies
A study reveals that firms are more likely to adopt zero-leverage policies as product market competition increases, especially those with higher earnings volatility, emphasizing the impact of earnings volatility on the relationship between competition and financial behavior.
18 sharesSource ↗
Estimating Convex Production Technologies
The article presents a new adaptation of Stochastic Gradient Boosting for estimating production possibility sets in Data Envelopment Analysis, which reduces overfitting and meets shape constraints, as proven by simulations and an empirical example using PISA data.
16 sharesSource ↗
News Sentiment and Investment Risk
The research reassesses the influence of news sentiment on stock return volatility, revealing that both negative and positive firm-specific and macroeconomic news significantly impact intraday stock return volatility, with GPT-4 potentially outperforming RavenPack in classification accuracy.
16 sharesSource ↗
Improved xG Model for Football
The paper focuses on enhancing the expected goal model in football analytics by integrating various data sources and using a supervised machine learning method, with results indicating significant improvements in sensitivity, F1 metrics, and AUC metric compared to the standard.
10 sharesSource ↗
Machine Learning7
Machine Learning for M&A
A study reveals that machine learning models are more effective than traditional methods in predicting Chinese corporate merger and acquisition activities.
28 sharesSource ↗
Tail Risk Management
New probabilistic deep learning frameworks have been proposed for estimating financial risk measures, outperforming existing methods and aiding in more effective capital allocation.
27 sharesSource ↗
Bond Market Volatility Forecasting
Machine learning methods can more accurately predict Chinese stock market volatility using the volatility of long-term treasury bond contracts, a study finds.
24 sharesSource ↗
Lot Streaming and Scheduling
The article proposes a new algorithm and machine learning model for the Lot Streaming and Scheduling Problem (LSSP) with unpredictable product arrival times, aiming to increase efficiency and accuracy.
16 sharesSource ↗
Dynamics in Chinese Financial Markets
The paper introduces a new machine learning method for decomposing and analyzing complex time series, providing a potential alternative to the Box-Jenkins method, as shown in COVID-19 financial data.
13 sharesSource ↗
Monetary Policy Frictions and Nonperforming Loans
The study uses machine learning to create a monetary policy frictions index from financial news, revealing that these frictions significantly impact the nonperforming loans of Chinese commercial banks.
12 sharesSource ↗
Housing Market Quantile Connectedness
The research uses machine learning to study the global housing market's interconnectedness, identifying the US market as the primary source of systematic shocks, with its interest rate being the most influential factor.
10 sharesSource ↗
Deep Learning1
Oil Price Forecasting: Machine Learning vs Deep Learning
Machine Learning vs Deep Learning: The study reveals that Long Short-Term Memory, a deep learning method, is more effective than Support Vector Machine, a machine learning method, in predicting oil prices, especially during crises.
31 sharesSource ↗
Historical Trending10
Predicting VIX Trends
The study uses machine learning to forecast the CBOE Volatility Index, highlighting weekly jobless claim data as a significant factor affecting market volatility.
23 sharesSource ↗
Stock Price Prediction
The research indicates that traditional machine learning models outperform deep learning models in predicting stock price trends in the Eurozone banking sector.
13 sharesSource ↗
AI Capability Impact
The paper suggests that AI capability directly influences firm performance, with a data-driven culture and AI infrastructure playing crucial roles.
5 sharesSource ↗
Climate Social Media Talks
The study uses machine learning to examine social media discussions on climate change, advocating for a comprehensive approach and varied policies to reach net-zero targets.
4 sharesSource ↗
EGovernance Citizen Involvement
The review investigates the link between e-governance initiatives and citizen participation, pinpointing technological infrastructure, digital literacy, and trust in government as vital for success.
2 sharesSource ↗
AI Techniques for Cloud Management
The paper explores the use of artificial intelligence to improve resource management and efficiency in cloud-based DevOps workflows.
2 sharesSource ↗
Dark Patterns in Retail
The article investigates the problem of dark patterns in retail investment, suggesting the use of behavioral sciences and AI to improve regulation.
2 sharesSource ↗
Young Informal Workers
The study profiles young informal workers in the EU27, aiming to understand the impact of Covid-19 on youth informality in the labour market.
2 sharesSource ↗
Determinants of Bank Performance
The paper discusses the factors influencing banks' performance, highlighting the potential for further debate in the context of digital transformation, AI, and FinTechs.
1 sharesSource ↗
WNSS in Gig Work
The study looks at the relevance of the Work Need Satisfaction Scale for online gig workers, suggesting modifications to better reflect the specifics of online platform work.
1 sharesSource ↗
Papers with code
Papers that shipped their code, from the Papers with Code feed (2023-25).
6 items
Trending3
Efficient Text-to-Speech Model
Recent advancements in large language models have greatly improved the ability to synthesize speech without prior training.
3,274 shares
Zeroshot Voice Conversion
Zero-shot voice conversion aims to modify a source speech to imitate the voice of an unfamiliar speaker.
1,650 shares
Visual FineTuning
Reinforcement FineTuning in Large Reasoning Models like OpenAI o1 is useful in scenarios where there is a scarcity of data for fine-tuning.
1,044 shares
Rising3
DeepRetrieval: Query Generation
Query Generation: The article emphasizes the role of information retrieval systems in managing and accessing large document collections.
125 shares
Draft Thinking Chain
The article examines the effectiveness of Large Language Models in solving complex tasks through ChainofThought prompting.
109 shares
MultiAgentBench: LLM Agent Evaluation
LLM Agent Evaluation: The article points out the shortcomings of current benchmarks in evaluating the performance of Large Language Models in multiagent coordination and competition.
68 shares
GitHub
Repositories the letter featured.
10 items
Finance5
Top Papers for Stock Prediction
The article compiles top research papers on predicting stock prices using quantitative trading from prestigious conferences and journals.
274 shares
HighFrequency Trading in Order Book
The article explores the concept of high-frequency trading within the framework of a limit order book.
58 shares
Preswald: Interactive Data Apps with Python
Interactive Data Apps with Python: The article introduces Preswald, a Python-based framework for creating and deploying interactive data applications, tools, and dashboards.
1,676 shares
Deep CNNs for Order Books
The article provides a jupyter notebook demonstration on building a Deep Convolutional Neural Network for Limit Order Books using the FI2010 dataset.
441 shares
Trading Indicators for Platforms
The article presents a collection of trading indicators and algorithms for Tradingview Pinescript and Amibroker.
41 shares
Trending5
OWL Task Automation
OWL Optimized Workforce Learning is a tool that improves task automation by enhancing multi-agent assistance.
6,411 shares
OpenManus: Open Ground
Open Ground: OpenManus is a revolutionary new platform for open ground fortresses.
10,687 shares
Pydoll: Automating Browsers
Automating Browsers: Pydoll is a Python library that boosts performance by automating chromium-based browsers without a WebDriver.
862 shares
FastRTC: Realtime Communication Library
Realtime Communication Library: The article presents a Python library specifically designed for real-time communication.
2,495 shares
Windmill: Developer Platform
Developer Platform: The article explores an open-source developer platform that enhances infrastructure, transforms scripts into webhooks, workflows, and UIs, and offers a quicker alternative to Airflow, Retool, and Temporal.
12,425 shares
News
Industry news: funds, hiring, markets and regulation.
20 items
Quantitative10
BAM Targets Digital Assets Alpha
Block Asset Management has introduced a new hedge fund focused on profiting from digital assets markets while providing protection against losses.
8 shares
Mixed Performance Amid Trade Tariff Volatility
Hedge funds had varied results in February due to market instability and new trade policies, with notable drops in growth and technology sectors.
7 shares
Future Fund Adds Effissimo to Japan Strategy
Australia's Future Fund has included Effissimo Capital Management in its roster of active equity managers, alongside MapleBrown Abbott and Wellington Investment Management.
7 shares
Investment Managers Expand Alt Data Budgets
Investment managers are predicted to raise their budgets for alternative data this year, continuing the strong growth seen in the previous two years.
7 shares
Macro Hedge Funds Shift Focus in Options Trades
Macro hedge funds are increasingly using non-US dollar currency option trades to manage market instability driven by worries about the US economy.
6 shares
Acadian Asset Management Women's Day Celebration
Kelly Young, CEO of Acadian Asset Management, discussed her strategies for promoting gender diversity in finance on International Women's Day with Hedgeweek.
6 shares
BlueCrest Surges in Volatile Market
BlueCrest Capital Management, led by Michael Platt, reported nearly 15% gains in 2025, outperforming several other hedge funds, as per the Financial Times.
5 shares
Hedge Fund Investors Reallocation Concerns
Reuters reported that 25% of institutional investors are considering changing hedge funds due to concerns about risk management, underperformance, and fund size.
4 shares
SEC Dismisses Silver Point Lawsuit
The US Securities and Exchange Commission has moved to dismiss its lawsuit against Silver Point Capital over alleged failure to prevent confidential information sharing, Bloomberg reports.
4 shares
Market Turbulence Impacts Hedge Fund Performance
Bloomberg reports that market volatility in February negatively affected several major hedge funds, including Millennium Management, Citadel, and Jain Global, due to crowded trades and unexpected macro shifts.
4 shares
Miscellaneous10
Millennium invests in Lane42
Millennium Management has invested $2bn in Lane42 Investment Partners, a new firm founded by ex-Ares Management Executive Scott Graves.
4 shares
Hedge funds sell China equity
Global hedge funds are selling off China equity for the fourth week, as interest in Chinese tech stocks, particularly AI startup DeepSeek, decreases.
4 shares
Palliser pressures Rio Tinto
Palliser Capital is intensifying its campaign for Rio Tinto to unify its dual-listed structure, urging the board to take decisive action.
3 shares
Hedge fund deleveraging impacts European traders
Hedge fund deleveraging increased last week, impacting European stock markets and hedge fund returns, with the effects expected to continue this week.
3 shares
Digital assets funds experience outflows
Digital asset investment products saw their fourth consecutive week of outflows, totalling $876m and bringing total outflows to $4.75bn, as per CoinShares report.
3 shares
Record Growth in Hedge Funds
In 2024, the South African hedge fund industry experienced a 34% increase in assets under management, totaling ZAR185.1bn.
3 shares
Quant Trading Superstars
A path few have walked is an article with an unknown subject matter.
2 shares
Millennium Welcomes Quant Trading Head
The topic of the article New sector new role is not specified.
2 shares
Dymon Asia Partner Relocates to Dubai
Cyril Brudy, a Senior Portfolio Manager at Dymon Asia, is moving from Singapore to Dubai to bolster the firm's operations.
2 shares
Digital Asset Fund Manager Sentiment Analysis
Despite Bitcoin's rise, most hedge funds are still wary of crypto, but a third of fund managers aim to boost their digital asset allocation in 2025.
2 shares
Podcasts
Episodes on markets, quant methods and economics.
10 items
Quantitative5
Market Volatility
Jay Hatfield stresses the value of human intelligence over algorithmic trading, remaining optimistic about bonds and stocks long-term despite possible growth slowdown from strict Fed policy.
18 shares
US Rates Update
Teresa Ho and PJ Vohra discuss the expansion of the ABCP market, driven by changes in equity financing markets.
9 shares
Trading Noise
In Young Cho talks about the difficulties of machine learning in environments with little data and high noise, and the transition from simple linear models to deep neural networks.
7 shares
Private Credit Insights
Randy Schwimmer discusses how macro factors affect private credit, deal activity, M&A, and LBOs in a podcast.
6 shares
Gold Mining Opportunities
A podcast episode discusses the growing interest in gold as an investment due to market uncertainties, the performance of gold mining stocks, and the influence of macroeconomic trends on gold prices.
6 shares
Related5
Global FX & EM Themes
The podcast analyzes the effects of German fiscal policy changes and US tariffs on foreign exchange markets.
5 shares
Investing in UK Real Estate
The podcast investigates potential investment opportunities in UK real estate, considering the current macroeconomic situation.
5 shares
Navigating North American Equities
The article offers guidance on managing volatility and global politics in North American stock markets.
4 shares
Investing with ISAs
The podcast details how Interactive Brokers' ISAs can aid in tax-free wealth growth, discussing investment options and costs.
3 shares
Global Commodities Pain Trade
The podcast discusses the recent drop in oil prices, forecasting an average price of $73 for Brent oil this year, with potential stability from a depreciating US dollar.
3 shares
X / Twitter
Posts from quant researchers on X.
7 items
Quantitative3
Lowvolatility Update
The latest update reveals that the paradox in low volatility data continues even after a decade.
2 shares
Sharpe Portfolios
ManGroup introduces a novel approach to portfolio construction in their article, Cooking up Sharpe.
2 shares
Investing Research Roundup
Recent investment research discusses a variety of topics including crypto derivatives, FX return predictions, economic regimes, factor timing, leveraged ETFs, etc.
2 shares
Miscellaneous4
Handbook of Sustainable Finance
Thierry Roncalli has expanded the Handbook of Sustainable Finance to 1200 pages.
1 shares
Large Language Models
Simon Willison provides insights on using large language models and vibe coding in a new article.
0 shares
Inflation Surveys vs. Truflation
Recent inflation surveys show an increase, while Truflation experiences a significant decrease.
0 shares
Threads from r/quant, r/algotrading and friends.
6 items
Quantitative5
Money Strategies
141 shares
Research Basics
124 shares
Causal Discovery
74 shares
Signal Processing Gems
43 shares
Exiting Without IP
170 shares
Rising1
ML Transparency in Alpha Research
105 shares