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May 16th 2022 | Machine Learning & Quantitative Finance
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ArXiv Papers

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Emerging Manager Essays
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Employee at MIT endowment fund giving advice to aspiring managers
Articles
Quantitative Tightening Step-by-Step - Fed Guy
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Interesting Blog on how quantitative tightening might evolve
Articles
DLM-Masterclass-v2-talk.pdf - Dropbox
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Derivative pricing machine learning Savoine
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Twitter Trending

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Week
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Name
Published
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Favourite Count
2022/05/22
https://twitter.com/saeedamenfx/status/1528344932385050624
A Macroprudential Theory of Foreign Reserve Accumulation https://t.co/lcKM8ehV7D #QuantLinkADay https://t.co/dpxG1vi0ms
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carlcarrie
Open
2022/05/22
https://twitter.com/carlcarrie/status/1528162157313110017
Extend Pandas with Stumpy Matrix Profile for Time-Series https://t.co/OcD9fnFMJn
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carlcarrie
Open
2022/05/22
https://twitter.com/carlcarrie/status/1528160658809815042
Matrix Profiles for Financial Time-Series https://t.co/bahfRt04OS Paper: https://t.co/2AOnD1aQBK SCAMP: SCAlable Matrix Profile, Python GitHub: https://t.co/629zRqmQsA https://t.co/Gpi4JBXbKO
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saeedamenfx
Open
2022/05/21
https://twitter.com/saeedamenfx/status/1528135526729109507
Central Bank Digital Currency and Banks https://t.co/nE3iE7hXoz #QuantLinkADay https://t.co/EogVbgHAuL
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saeedamenfx
Open
2022/05/21
https://twitter.com/saeedamenfx/status/1528119405825204224
21May22 / #365APoem / A win for Albanese in Australia,
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carlcarrie
Open
2022/05/21
https://twitter.com/carlcarrie/status/1528028328598413319
FAMA 5 factor model vs CART variant with statsmodels and sklearn https://t.co/GEY0qvyUkR
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carlcarrie
Open
2022/05/21
https://twitter.com/carlcarrie/status/1528025383530110979
Bitcoin sentiment and volume features Paper: https://t.co/NbQdnIEwuY / https://t.co/JSethIIhjs Python GitHub with datasets: https://t.co/NPrTH5XLeH https://t.co/mKUralbV49 https://t.co/llYN6QuHjF
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carlcarrie
Open
2022/05/21
https://twitter.com/carlcarrie/status/1528023077417779202
Knowledge Graph applied to Twitter Sentiment Estimation - paper Knowledge Graphs supports the analysis of sentiment polarities, based on similarity measurements between the text’s graph and pre-determined polarity graphs. https://t.co/I74UklnlgV or https://t.co/wf97aRymYK https://t.co/3z42zkiLPo
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carlcarrie
Open
2022/05/21
https://twitter.com/carlcarrie/status/1528014546207899650
Micro-prices as better estimator of price dynamics in a limit order book #lob #obi and order book imbalance framework Python GitHub: https://t.co/UefIA2JpXu Original Paper: https://t.co/PVG74qIbDf https://t.co/hCOIij4Pir
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IBKR_QB
Open
2022/05/21
https://twitter.com/IBKR_QB/status/1528012739691560960
. @quantpedia reviews a paper on methods used for grading and merging #ESG scores from multiple providers: https://t.co/i8ovn1P9mu #SustainableInvesting https://t.co/BdgFEsWgyI
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LinkedIn Trending

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Week
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Name
Date
Link
Content
ML Score
Likes
Jonathan Regenstein
Open
2022/05/21
https://www.linkedin.com/feed/update/urn:li:activity:6933777022309588992
What a difference 40 years makes....Sudheer Chava and I are wrapping up our inflation chapter with a look at market conditions in different inflationary environments. In 2022 we find ourselves printing CPI YoY changes consistently over 7%. As of April, before the recent, massive market selloff, the SP500's cyclically adjusted P/E ratio (the CAPE ratio) was above 34. That's a high CAPE ratio in any environment, but in a 7% inflationary environment, it's outlier status jumps out of the boxplot (link to a great write up by Lyn Alden Schwartzer on the CAPE in the comments below).We also label CAPE ratios below 7 and this takes us back to 1982. The economy was mired in a recession at this time, Volker had raised interest rates to crush inflation and unemployment was high. Needless to say, today's CAPE could leg down significantly in the coming months. Good luck out there!#rstats #macroeconomics
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Charles-Albert Lehalle
Open
2022/05/20
https://www.linkedin.com/feed/update/urn:li:activity:6933433694275653634
venez échanger le mardi 31 mai à Paris sur les stratégies d'investissement systématiques avec Marcos Lopez de Prado, Gautier Marti, Marie Brière, Hugues Langlois, Jeroen VK Rombouts et votre serviteur à ce workshop organisé par l'ILB. Au programme: Open Problems in Quantitative Asset Management, Alternative Data et Machine Learning.
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Petter Kolm
Open
2022/05/20
https://www.linkedin.com/feed/update/urn:li:activity:6933461572040232961
I am looking forward to presenting at the Machine Learning and Quantitative Finance Workshop on June 1 at the Oxford-Man Institute of Quantitative Finance, University of Oxford. More info here:https://lnkd.in/gr9NhMBk#nyu #nyucourant #machinelearning #financialdatascience #trading
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Graham Giller
Open
2022/05/20
https://www.linkedin.com/feed/update/urn:li:activity:6933217486058250240
Is it wrong to be so happy about this? Leslie Lamport, inventor of LaTeX, recently gave an interview in which he hoped that computer scientists would think more about mathematics before writing code. (https://lnkd.in/gRsPmimV)Well ... now they can communicate those thoughts more easily because after 8 years of waiting, GitHub has introduced LaTeX rendering! All things come to those who wait. #mathematics #latex #github #datascience
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Peter Cotton, PhD
Open
2022/05/20
https://www.linkedin.com/feed/update/urn:li:activity:6933488983138082816
For those interested in portfolio optimization, here is the list of all Riskfolio-lib (1186 ️ on Github) examples with the name of the example (https://lnkd.in/d2vdGJZi). Thanks Peter Cotton, PhD for made this list.#investments #portfoliooptimization #quant #finance #assetmanagement #riskmanagement #assetmanagement
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Igor Halperin
Open
2022/05/20
https://www.linkedin.com/feed/update/urn:li:activity:6933383758725218304
“I was reading the number of the bus when the bus was arriving.” With a curiosity that can be compared to a child’s, physics laureate Giorgio Parisi tells us about how he started to read numbers at the age of 3. At an early age, he also started to read the Russian author Leo Tolstoy as his parents’ large library encouraged reading. In our newest podcast episode we follow Parisi’s life journey and how he ultimately decided to dedicate his life to physics as that topic made more sense to him than mathematics. In 2021 he was awarded the physics prize for his work on complex systems. Listen here: https://lnkd.in/e9K-bmZp
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Ariel Silahian
Open
2022/05/19
https://www.linkedin.com/feed/update/urn:li:activity:6932817352912769024
!
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Spyros Makridakis
Open
2022/05/19
https://www.linkedin.com/feed/update/urn:li:activity:6933055251461668864
In about 10 days the first quarter of the M6 competition is ending with the winners being awarded $42,000 in prize money. It is interesting the top four teams in the Global score are two experienced data scientists and two students, It seems that the pattern of the M5 competition is followed with a student winning the accuracy challenge and a team of two data scientists winning the uncertainty one, May be the time has come that students can master ML methods equally well than experienced data scientists! Maybe AI is bringing some big changes in the value of experience and expertise in all aspects of our work and lives.
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Jacques Joubert
Open
2022/05/18
https://www.linkedin.com/feed/update/urn:li:activity:6932772811241316352
*** Market Microstructure - Quantitative Research ***I am happy to share my last paper on market impact which completes the previous ones that I published on equity and options market during the last years (links in comments). This third paper completes the two previous ones and closes this market impact trilogy I started 6 years ago. In this paper, we propose a theory of the market impact of metaorders based on a coarse-grained approach where the microscopic details of supply and demand is replaced by a single parameter ρ ∈ [0, +∞] shaping the supply-demand equilibrium and the market impact process during the execution of the metaorder. Our model provides an unified explanation of most of the empirical observations that have been reported and establishes a strong connection between the excess volatility puzzle and the order-driven view of the markets through the square-root law.I would like to thank Marcos Lopez de Prado and Prof. Alexander Lipton for their comments on the preliminary version of this paper. I am also particularly grateful to Charles-Albert Lehalle for his careful reading, comments and the many interesting discussions we had about it.
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Wesley Gray, Ph.D.
Open
2022/05/18
https://www.linkedin.com/feed/update/urn:li:activity:6932683043845402624
Plenty of research shows that #insider buys contain value-relevant information while insider sales include little to no information. But what about the action of “not trading”?Are the trades of portfolio insiders informative about the stocks they choose not to trade, those they choose not to buy, and those they choose not to sell?To finish reading, article by Elisabetta B. is in comments field.
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Reddit Trending

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Date Posted
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Subreddit
A social life of a quant
Open
2022/05/19
https://www.reddit.com/r/quant/comments/usqhys/a_social_life_of_a_quant/
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quant
Market risk interview: Greeks for swap?
Open
2022/05/18
https://www.reddit.com/r/quant/comments/urz8ve/market_risk_interview_greeks_for_swap/
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quant
Maths relevant for Quant Trading
Open
2022/05/18
https://www.reddit.com/r/quant/comments/usiq66/maths_relevant_for_quant_trading/
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quant
Do you use unsupervised learning?
Open
2022/05/18
https://www.reddit.com/r/mltraders/comments/us6hpr/do_you_use_unsupervised_learning/
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mltraders
Option algotrading
Open
2022/05/18
https://www.reddit.com/r/algotrading/comments/usem18/option_algotrading/
30
algotrading
How do HFT Algos make money when there are so many fees?
Open
2022/05/18
https://www.reddit.com/r/algotrading/comments/usksnk/how_do_hft_algos_make_money_when_there_are_so/
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algotrading
Supervised Clustering: How to Use SHAP Values for Better Cluster Analysis (r/DataScience)
Open
2022/05/17
https://www.reddit.com/r/datascienceproject/comments/uraskx/supervised_clustering_how_to_use_shap_values_for/
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datascienceproject
Are multi-asset options still sold in market?
Open
2022/05/17
https://www.reddit.com/r/quant/comments/urtowi/are_multiasset_options_still_sold_in_market/
8
quant
Good readings for quants working with cryptos?
Open
2022/05/17
https://www.reddit.com/r/quant/comments/ur9bj3/good_readings_for_quants_working_with_cryptos/
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quant
Brooklyn Quant Experience Lecture Series: Sasha Stoikov
Open
2022/05/17
https://www.reddit.com/r/quant/comments/urxzul/brooklyn_quant_experience_lecture_series_sasha/
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quant
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ML Trending

Weekly
Title
URL
Author
Score
Date Published
Category
Tweeters
Readers
Posts
CANINE: Pre-training an Efficient Tokenization-Free Encoder for...
Open
http://arxiv.org/abs/2103.06874
Jonathan H. Clark, Dan Garrette, Iulia Turc, John Wieting
130.12999999999988
2021/03/11
cs.CL
172
148
206
Building Machine Translation Systems for the Next Thousand Languages
Open
https://arxiv.org/abs/2205.03983
Ankur Bapna, Isaac Caswell, Julia Kreutzer, Orhan Firat, Daan van Esch, Aditya Siddhant, Mengmeng Niu, Pallavi Baljekar, Xavier Garcia, Wolfgang Macherey, Theresa Breiner, Vera Axelrod, Jason Riesa, Yuan Cao, Mia Xu Chen, Klaus Macherey, Maxim Krikun, Pidong Wang, Alexander Gutkin, Apurva Shah, Yanping Huang, Zhifeng Chen, Yonghui Wu, Macduff Hughes
93.16000000000003
2022/05/09
cs.CL
107
0
121
Counterfactual harm
Open
http://arxiv.org/abs/2204.12993v1
Jonathan G. Richens, Rory Beard, Daniel H. Thompson
33.10000000000001
2022/04/27
cs.AI
58
8
63
APPL: Adaptive Planner Parameter Learning
Open
https://arxiv.org/abs/2105.07620
Xuesu Xiao, Zizhao Wang, Zifan Xu, Bo Liu, Garrett Warnell, Gauraang Dhamankar, Anirudh Nair, Peter Stone
15.52
2021/05/17
cs.RO
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Deep Spectral Methods: A Surprisingly Strong Baseline for...
Open
https://arxiv.org/abs/2205.07839
Luke Melas-Kyriazi, Christian Rupprecht, Iro Laina, Andrea Vedaldi
12.7
2022/05/16
cs.CV
25
0
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Guess What Moves: Unsupervised Video and Image Segmentation by...
Open
https://arxiv.org/abs/2205.07844
Subhabrata Choudhury, Laurynas Karazija, Iro Laina, Andrea Vedaldi, Christian Rupprecht
9.45
2022/05/16
cs.CV
17
0
17
DIVeR: Real-time and Accurate Neural Radiance Fields with...
Open
https://arxiv.org/abs/2111.10427
Liwen Wu, Jae Yong Lee, Anand Bhattad, Yuxiong Wang, David Forsyth
8.7
2021/11/19
cs.CV
18
24
18
Multilingual Document-Level Translation Enables Zero-Shot Transfer...
Open
https://arxiv.org/abs/2109.10341
Biao Zhang, Ankur Bapna, Melvin Johnson, Ali Dabirmoghaddam, Naveen Arivazhagan, Orhan Firat
8.649999999999999
2021/09/21
cs.CL
20
8
21
Tight Last-Iterate Convergence of the Extragradient and the...
Open
https://arxiv.org/abs/2204.09228
Yang Cai, Argyris Oikonomou, Weiqiang Zheng
7.999999999999999
2022/04/20
math.OC
16
0
26
AvatarCLIP: Zero-Shot Text-Driven Generation and Animation of 3D Avatars
Open
https://arxiv.org/abs/2205.08535
Fangzhou Hong, Mingyuan Zhang, Liang Pan, Zhongang Cai, Lei Yang, Ziwei Liu
6.85
2022/05/17
cs.CV
14
0
16
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