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Quant LetterNo. 105

July 2025, Week 2

136 items across 9 sections, as sent to readers on 10 July 2025. Paper titles open their ML-Quant page; ↗ goes to the source.

arXiv

Quantitative-finance and ML-for-finance preprints from arXiv.

25 items

Finance9

01

Insider Models for Options

The article proposes a solution for optimal stopping problems in pricing perpetual American standard and lookback put and call options, using the Black-Merton-Scholes model and Brownian filtrations.

12 sharesSource ↗

02

Overnight News Impact on Stocks

The study finds that most gains in the U.S. stock market over the past 30 years have been earned overnight, with intraday returns being negative or flat, largely due to intraday and overnight news.

11 sharesSource ↗

03

Beating Rebalancing Portfolio

The paper introduces a new learning algorithm for online portfolio optimization that uses the serial dependence of assets' returns to outperform the best constant rebalancing portfolio in a stochastic market.

10 sharesSource ↗

04

Dynamic Asset Pricing with α-MEU Model

The study investigates a dynamic asset pricing problem, showing that an agent's perceived ambiguity or ambiguity-aversion can lower the risk-free rate and increase the stock price.

9 sharesSource ↗

05

High Frequency Quoting Liquidity Constraints

The study introduces a method for choosing reference instruments in electronic trading, using predictive models and a Composite Liquidity Factor, which aligns closely with market-optimal quoting choices.

7 sharesSource ↗

06

FO Expiry Timing vs. First-Day SIPs

Research shows that Systematic Investment Plans in India's Nifty 50 index timed on Futures and Options expiry days perform better in the short to medium term than those on the first trading day of each month.

5 sharesSource ↗

08

Trade Execution Reinforcement Learning

The paper presents a reinforcement learning framework for optimal trade execution, using multivariate logistic-normal distributions, which outperforms traditional benchmark strategies.

3 shares4 citations todaySource ↗

09

Economic Policy Taxonomy Framework

The paper introduces a tree taxonomy framework for categorizing economic policies, aiming to provide a comprehensive list of actions for governing authorities to control an economy.

3 sharesSource ↗

Economics6

02

User Location Disclosure on Chinese Social Media

The introduction of a location disclosure policy on Sina Weibo led to less engagement on non-local issues and more regional discrimination, indicating that authoritarian regimes can use social divisions to suppress opposition.

62 shares1 citation todaySource ↗

03

Liquidity Flow Management with Navier-Stokes Model

A new mathematical model based on the Navier-Stokes equations accurately describes liquidity dynamics and systemic risk in economic systems, providing a strong framework for predicting crises and planning countercyclical policies.

14 shares4 citations todaySource ↗

04

Behavioral Probability Weighting

The article discusses a framework that combines behavioral distortions with rational portfolio optimization, highlighting the importance of return asymmetry and belief distortions in managing portfolio risk and capital allocation in high-risk situations.

11 sharesSource ↗

05

Social Media Network Effects

Research on social media users shows that 20-34% of a platform's value to users is due to local network effects, with the value of connections differing greatly across platforms, genders, races, and ages.

10 sharesSource ↗

06

JobBased Economic Complexity Assessment

The research introduces a job-based measure of economic complexity that is linked to higher wage levels and labor productivity growth, unlike the traditional measure that focuses on economic outputs.

8 sharesSource ↗

Miscellaneous4

01

Portfolio Optimization

The skfolio, a new open-source Python library, has been launched for portfolio construction and risk management, allowing machine learning workflows for portfolio optimization.

22 sharesSource ↗

02

Model Stability

The article highlights the significance of the population stability index (PSI) and the Kolmogorov-Smirnov statistic (KS) in maintaining model stability, stressing the need to account for scoring indicator errors in binary choice models.

8 sharesSource ↗

03

Heterogeneous Participation

The article investigates the effects of varied participation in Economics and Computation (EconCS) community systems, encouraging the community to decrease participation disparity and create mechanisms that offer quality service to everyone.

8 shares3 citations todaySource ↗

04

Strategic Alignment

A new visual mapping method has been introduced for evaluating strategic alignment in national artificial intelligence policies, identifying unique alignment archetypes across governance models and offering practical advice for policymakers.

6 shares2 citations todaySource ↗

Crypto & Blockchain3

01

MBS as DAOs

The article presents a new Darwinian Agent-Based Modeling method for macroeconomic forecasting, which uses evolutionary principles and simple rules to create realistic economic patterns efficiently.

8 sharesSource ↗

02

Exploring Feasibility of MBS-DAO

The article discusses a new Darwinian Agent-Based Modeling approach for macroeconomic forecasting, highlighting its ability to generate realistic economic patterns and maintain computational efficiency using evolutionary principles and simple rules.

8 sharesSource ↗

03

Algorithmic Designs for MBS-DAOs

The article investigates the use of modern fintech tools such as asset tokenization, smart contracts, and decentralized autonomous organizations for structuring mortgage-backed security contracts, which could enable real-time ratings systems and enhance market efficiency.

7 shares2 citations todaySource ↗

Historical Trending3

01

Recession Detection Algorithm

The article presents a new algorithm that uses unemployment and vacancy data to detect US recessions in real time, achieving a 71% accuracy rate for May 2025 data.

31 shares3 citations todaySource ↗

02

AI Limitations in Coordination

The article argues that AI systems are incapable of performing key functions of economic coordination or creating norms, interpreting institutions, or taking responsibility, challenging the belief in AI's ability to maintain economic and epistemic order.

21 shares2 citations todaySource ↗

03

Economic Design for CAP Trade-off

The article introduces a new framework that reinterprets the CAP theorem as a constraint optimization problem, showing that availability and consistency can be maintained simultaneously within certain limits through formal economic control.

13 sharesSource ↗

SSRN

Working papers in finance and economics from SSRN.

30 items

Quantitative15

04

NonLinear Inflation Model

The paper presents a new inflation model that shows inflation reacts more to larger shocks due to nonlinear shock transmission.

64 shares4 citations todaySource ↗

08

NLP Axioms in Tamil Dialects

The study examines the challenges and opportunities in using Machine Learning for processing Classical Tamil language and its dialects, with a focus on linguistic and cultural aspects.

13 sharesSource ↗

09

Simulation Study for Port Flows

The research uses a simulation model and machine learning to analyze import container flows at the Port of New York-New Jersey, improving accuracy in commodity classification and container dwell times.

27 sharesSource ↗

10

AI in Tourism: Kerala Study

Kerala Study: The study introduces the SMART AI-Driven Tourism Marketing Framework to boost tourist engagement in Kerala, emphasizing the role of AI and ML in transforming the global tourism market.

14 sharesSource ↗

11

Racial Challenges of AI in Economics

The article claims that creating ethical and racially-just machine learning is currently unachievable due to reasons like racially biased training data and unclear algorithm design.

16 sharesSource ↗

12

Resilient Supply Chain Design

The research proposes a framework for building supply chain resilience during large-scale disruptions, based on an analysis of successful global brands and their supply chains.

42 sharesSource ↗

13

Stock Returns in Supply Chain Pressure

The study explores the effect of global supply chain pressures on U.S. stock market returns, providing insights for corporate managers on risk management and supply chain strategy.

20 sharesSource ↗

14

Unified Econometrics Discipline

The article talks about the fast transformation and growth of econometrics, highlighting major advances in the analysis of cross-sectional data, policy analysis, and time series econometric techniques.

23 sharesSource ↗

15

AI and Relationship Lending in Banking

The research studies the interaction between banks' use of AI in credit scoring and relationship lending, concluding that AI investments help lessen the countercyclical effects of relationship lending on firms' credit supply and decisions.

33 shares3 citations todaySource ↗

Financial15

09

Digital Asset Regulation

The U.S.'s solo approach to digital asset regulation could isolate its markets and weaken its monetary power, indicating a need for global collaboration.

62 sharesSource ↗

10

Bond Agio Premium

Bonds issued in varying interest rate climates offer different coupons and market prices, with higher priced bonds suggesting a greater default loss.

59 sharesSource ↗

11

Public Guaranteed Loans

During the pandemic, government-backed loans were more likely given to safer borrowers with liquidity constraints, who had fewer repayment issues.

25 shares1 citation todaySource ↗

12

Tax Losses

Capital-loss carryforwards can be assessed using an option-pricing perspective, providing a market-based method for determining when these strategies are economically beneficial.

67 sharesSource ↗

13

Returns to Scale

Fund managers can mitigate the adverse effects of competition on fund alpha by adjusting active management levels, particularly in response to competition from passive funds.

29 sharesSource ↗

14

Unit Roots

A study of 43 macroeconomic variables across G7 economies over two centuries shows mean reversion in the U.S., but more persistent dynamics in Italy and Japan.

37 sharesSource ↗

15

Inflation Risk

Companies with high fixed costs have negative exposure to inflation surprises, primarily due to variable costs, which are positively linked with inflation beta.

35 sharesSource ↗

RePEc

Economics working papers from RePEc's NEP field reports.

30 items

Finance6

01

Automated Trading System for EM Portfolios

The rise of algorithmic trading and passive investing has caused issues during market downturns, but a new Automated Adaptive Trading System could help stabilize emerging markets during such times.

27 sharesSource ↗

03

Dynamic Correlations Risk Parity Portfolio Optimization

Using expected shortfall as the risk measure in risk parity portfolio optimization reduces sensitivity to volatility shocks, decreases portfolio turnover during market turmoil, and enhances risk-adjusted returns considering fat-tailed returns.

16 sharesSource ↗

05

Novel Window Analysis for HFT

The study introduces a new method for assessing decision-making units' efficiency over time, using the Whale Optimization Algorithm to identify stable trading strategies and firms.

11 sharesSource ↗

06

Monitoring Poverty in Data-Deprived Lebanon

The paper uses a new data augmentation technique to analyze poverty in the Middle East and North Africa, highlighting the significance of using alternative data sources for poverty analysis.

10 sharesSource ↗

Statistical5

04

News Sentiment Impact on Risk Management

The study reassesses the impact of news sentiment on stock return volatility, demonstrating that accurately measured news sentiment significantly influences intraday stock return volatility.

16 sharesSource ↗

Machine Learning7

01

Machine Learning for M&A

A study reveals that machine learning models are more efficient in predicting Chinese corporate merger and acquisition activities than traditional methods.

28 sharesSource ↗

02

Tail Risk Management

New probabilistic deep learning frameworks have been proposed for better risk management in financial institutions, surpassing previous methods in backtesting.

27 sharesSource ↗

03

Bond Market Volatility in China

Machine learning methods have been found to accurately predict Chinese stock market volatility using the volatility of long-term treasury bond contracts.

24 sharesSource ↗

04

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 ↗

05

Dynamics in Chinese Markets

The paper introduces a new machine learning technique for decomposing and analyzing complex time series, providing a potential alternative to the Box-Jenkins method for financial modeling.

13 sharesSource ↗

06

Monetary Policy Frictions

The study uses machine learning to create a monetary policy frictions index from financial news, finding that these frictions significantly impact the nonperforming loans of Chinese commercial banks.

12 sharesSource ↗

07

Housing Market Connectedness

The research uses machine learning to study the global housing market, discovering that the US market is the main source of systematic shocks and its interest rate is a key factor in predicting spillover intensities.

10 sharesSource ↗

Deep Learning2

Historical Trending10

01

Predicting VIX Trends

The study uses machine learning to predict the CBOE Volatility Index, highlighting weekly jobless claim data as a significant factor.

23 sharesSource ↗

02

Stock Price Prediction

Traditional machine learning models outperform deep learning models in predicting Eurozone banking sector stock prices, according to the study.

13 sharesSource ↗

03

AI Capability Impact

The research indicates that AI capability directly affects firm performance, with a data-driven culture and AI infrastructure playing key roles.

5 sharesSource ↗

04

Climate Discussions

The study emphasizes the need for communication and a comprehensive approach to address climate change, using machine learning to analyze social media discussions on the subject.

4 sharesSource ↗

05

Dark Patterns in Retail

The research investigates the use of dark patterns in retail investment, suggesting the use of behavioral sciences and AI for improved regulation and investor protection.

2 sharesSource ↗

09

Bank Performance Determinants

The paper analyzes literature on factors affecting banks' performance, proposing new research areas in digital transformation, artificial intelligence, and the impact of COVID-19.

1 sharesSource ↗

Machine learning

The general machine-learning papers the letter carried in 2023-25.

10 items

Historical Trending10

01

Intermediate Language Agent Guidance

QLASS is a new method for training language agents that improves performance and efficiency through step-by-step guidance, even with limited supervision.

188 shares19 citations todaySource ↗

02

Large Language Models Reliability

Researchers suggest using platinum benchmarks, which are designed to reduce label errors, to more accurately assess the reliability of large language models.

55 shares54 citations todaySource ↗

04

Efficient Monocular Video Representation

NutWorld is a new framework that converts monocular videos into dynamic 3D Gaussian representations in one go, allowing for high-quality video reconstruction and real-time applications.

29 shares8 citations todaySource ↗

05

Conformal Prediction Decision Theory

The Risk-Averse Calibration (RAC) algorithm improves decision-making by considering prediction uncertainty, striking a balance between safety and utility in risk-sensitive areas like medicine.

20 shares46 citations todaySource ↗

06

ToddlerBot: ML Humanoid Platform

ML Humanoid Platform: ToddlerBot is an affordable, open-source robot designed for AI research, featuring a user-friendly interface and a digital twin for easy data collection and policy implementation.

19 shares21 citations todaySource ↗

07

NNetNav: Browser Agent Learning

Browser Agent Learning: NNetNav is an unsupervised method that creates synthetic demonstrations for training browser agents, making website interaction more manageable by using language instruction hierarchy.

15 shares57 citations todaySource ↗

08

LoRAX: Cross-Model Adaptation

Cross-Model Adaptation: LoRA-X is a new adapter that enables the transfer of LoRA parameters between models without the need for original or synthetic training data.

13 shares11 citations todaySource ↗

09

Particle Trajectory Learning

PoLAr-MAE is a self-supervised learning method that efficiently analyzes Liquid Argon Time Projection Chambers images by learning trajectory representations directly from data.

13 shares9 citations todaySource ↗

10

Learning RoPEs: Position Encodings with STRING

Position Encodings with STRING: STRING is a position encoding method that provides exact translation invariance and low computational footprint, useful in robotics for efficient 3D token representation.

13 shares20 citations todaySource ↗

GitHub

Repositories the letter featured.

10 items

Finance5

01

Data Testing Library

The article introduces a new library for efficient and flexible statistical data testing.

3,895 shares

02

Backtest to Live Trading

The article outlines the fastest way to move from backtesting to live trading.

37 shares

05

Time Series Trend Labeling

The article explores an unofficial implementation of a trend labeling method for financial time series prediction.

44 shares

Trending5

01

GitHub Extractor

The article provides a method to simplify a codebase on GitHub by replacing 'hub' with 'ingest' in the URL.

10,798 shares

02

Realtime Monitor

The article discusses a system for tracking Claude Code usage with predictive analytics and warning alerts.

2,359 shares

03

Python Polygon Client

The article announces the availability of the official Python client library for the Polygon REST and WebSocket API.

1,053 shares

04

Self-Hosted Rom Manager

The article reviews a self-hosted ROM manager and player that is aesthetically pleasing and highly functional.

5,408 shares

News

Industry news: funds, hiring, markets and regulation.

15 items

Quantitative7

03

Arkea's Nobile Focuses on Hedge Fund Strategies

Olivier Nobile from Arkea Asset Management recommends active equity managers adopt hedge fund strategies to remain competitive amid a shift towards low-cost passive investments.

4 shares

05

TCI Surpasses Markets at 21% YTD

The Children’s Investment Fund, led by Chris Hohn, has seen a 21% return this year, surpassing the S&P 500.

3 shares

06

Lone Pine, D1 Capital Lead Tiger Cubs

Steve Mandel’s Lone Pine Capital, a Tiger Cub hedge fund, has outperformed several multistrategy giants in the first half of the year.

3 shares

Miscellaneous8

01

Quant Basics

The article gives key insights into the concept of quantitative investing.

3 shares

02

Kind Firm Pays 500k

The article explores the alleged decline of a once top-rated finance company.

2 shares

04

Activists Alert

The article predicts a rise in activist hedge funds' public campaigns due to a boost in global M&A activity in late 2025.

1 shares

06

Jane Street Hires Muppets

The article covers the incident of Alex Gerko blocking the author or a certain organization.

0 shares

Podcasts

Episodes on markets, quant methods and economics.

10 items

Quantitative5

01

Dan Rasmussen & D.A. on Biotech

In a podcast, Dan Rasmussen and D.A. Wallach discuss the influence of AI on healthcare, the current state of biotech, and the transformative power of innovative treatments.

11 shares

02

Midyear Global Outlook

A podcast episode provides a midyear global outlook, discussing tariff-related volatility, policy uncertainty, and the future of private market assets.

10 shares

03

International Student Networking

Zimbabwean master’s student Edson Bope shares his experiences and challenges in the U.S. job market for quantitative finance roles in a podcast episode.

9 shares

04

Techs Dumbest Mistake

A podcast episode explores the potential repercussions of replacing programmers with AI, based on a viral article warning against such a move.

8 shares

05

Quant Community

The eighth season of Talking Tuesdays with Fancy Quant will feature guest speakers from the quantitative finance community discussing various topics and sharing their life stories.

7 shares

Related5

01

International Alpha Opportunities

Emerging markets like Taiwan, South Korea, and China are becoming attractive investment destinations, especially in the tech sector.

6 shares

02

Navigating Market Uncertainty

Seth Cogswell believes the current investment climate resembles the 2000 bubble, and suggests mid-cap companies as stable investment opportunities with growth potential.

5 shares

03

Spotting Patterns in Earnings Season

Dmitry Pargamanik advises traders to use historical options data to predict and manage volatility during earnings announcements.

4 shares

04

Alternative Investments

Henry Yoshida's Rocket Dollar platform enables investors to diversify their retirement accounts with alternative investments like private equity, real estate, and cryptocurrency.

3 shares

05

The Benefits of Diversification

Riddler Road Rally is a citywide car-based scavenger hunt happening in eleven cities across Utah and Idaho, providing a unique and entertaining experience.

2 shares

X / Twitter

Posts from quant researchers on X.

4 items

Quantitative2

Miscellaneous2

01

Skfolio Update

The article explores a new paper about the skfolio library.

0 shares

02

Nagel Challenges Prediction Complexity

The article examines Nagel's new paper that questions the efficiency of intricate models in predicting returns, suggesting they are essentially volatility-timed momentum.

0 shares

Reddit

Threads from r/quant, r/algotrading and friends.

2 items

Quantitative1

Rising1

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