September 1st 2022

There is an interesting Cornell financial engineering conference coming up. ArXiv Quant papers of note include Learning Financial Networks with High-frequency Trade Data (link) and Asset Allocation: From Markowitz to Deep Reinforcement Learning (link).
The top general ML section graphed-based time series forecasting (GSA-Forecaster) might be interesting. An SSRN paper highlights an interesting ovenight EU to US drift phenomena and two old SRRN papers on short squeezes and activist investing has popped up again. (Note if you publish on SSRN make sure to publish under the C JEL tag for your paper to be picked up).
GitHub found a Differential Machine Learning repo that implements a paper featured on Risk.net paper, it also picked up a probabilistic gradient boosting model NGboost by Stanford researchers that I am quite fond of. Salesforce released a time series library DeepTIMe implemente in Pytorch.
There are some good volatility trading podcasts by Hari Krishnan and Harel Jacobson, and a high finance podcast with Bill Browder (probably read the book first). And on Linkedin Shannon created the Kelly criterion not Thorp, and C++ will be used for the next 5000-10000 years.
I am happy to say that since the last linkletter the readership have grown to over 3k readers per month, and the website sees over 9k visitors per month.

ArXiv Quant

Quantum Finance: a tutorial on quantum computing applied to the... (Score: 0.75) Askery Canabarro Taysa M. Mendonça, Ranieri Nery, George Moreno,  (2022-08-08) Previously only considered a frontier area of Physics, nowadays quantum computing is one of the fastest growing research field, precisely because of its technological applications in optimization prob... (2 posts; 2 tweeters)
Structured Macroeconomics: a self-deploying modeling and... (Score: 0.5) Martin Jaraiz (2022-08-28) This article presents an agent-based macroeconomics modeling framework that can read a Social Accounting Matrix (SAM) and build an economic system (active population, activity sectors acting as firms,... (2 posts; 2 tweeters)
Next-Year Bankruptcy Prediction from Textual Data: Benchmark and Baselines (Score: 0.5) Henri Arno, Klaas Mulier, Joke Baeck, Thomas Demeester (2022-08-24) Models for bankruptcy prediction are useful in several real-world scenarios, and multiple research contributions have been devoted to the task, based on structured (numerical) as well as unstructured ... (2 posts; 2 tweeters)
High-frequency financial market simulation and flash crash... (Score: 0.25) Kang Gao, Perukrishnen Vytelingum, Stephen Weston, Wayne Luk, Ce (2022-08-29) This paper describes simulations and analysis of flash crash scenarios in an agent-based modelling framework. We design, implement, and assess a novel high-frequency agent-based financial market simul... (1 posts; 1 tweeters)
Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing (Score: 0.25) Danial Saef, Yuanrong Wang, Tomaso Aste (2022-08-15) The increasing adoption of Digital Assets (DAs), such as Bitcoin (BTC), rises the need for accurate option pricing models. Yet, existing methodologies fail to cope with the volatile nature of the emer... (1 posts; 1 tweeters)
On Randomization of Affine Diffusion Processes with Application to... (Score: 0.25) Lech A. Grzelak (2022-08-26) The class of Affine (Jump) Diffusion (AD) has, due to its closed form characteristic function (ChF), gained tremendous popularity among practitioners and researchers. However, there is clear evidence ... (1 posts; 1 tweeters)
Exponential utility maximization in small/large financial markets (Score: 0.25) Miklós Rásonyi, Hasanjan Sayit (2022-08-13) Obtaining utility maximizing optimal portfolios in closed form is a challenging issue when the return vector follows a more general distribution than the normal one. In this note, we give closed form ... (1 posts; 1 tweeters)
Automated Market Making and Loss-Versus-Rebalancing (Score: 0.25) Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden, Anthony Lee (2022-08-11) We consider the market microstructure of automated market making and, specifically, constant function market makers (CFMMs), from the economic perspective of passive liquidity providers (LPs). In a fr... (1 posts; 1 tweeters)
A mean-variance optimized portfolio constructed for investment in... (Score: 0.25) Sidharth Mallik (2022-08-08) We consider a reference security, understood to be an attractive investment, with the caveat that an investor is not willing to directly invest in the security, for presence of constraints, either inv... (1 posts; 1 tweeters)
Estimation of Historical volatility and Allocation strategies... (Score: 0.25) Lucio Fiorin (2022-08-05) In this memorie de fin d'etudes, we review some techniques to estimate historical volatility and to price Variance Swaps... (1 posts; 1 tweeters)
Few-shot Learning with Retrieval Augmented Language Model (Score: 46.85) Gautier Izacard, Patrick Lewis, Maria Lomeli, Lucas Hosseini, Fab (2022-08-05) Large language models have shown impressive few-shot results on a wide range of tasks. However, when knowledge is key for such results, as is the case for tasks such as question answering and fact che... (97 posts; 83 tweeters)
BlenderBot 3: a deployed conversational agent that continually... (Score: 42.20) Kurt Shuster, Jing Xu, Mojtaba Komeili, Da Ju, Eric Michael Smith (2022-08-05) We present BlenderBot 3, a 175B parameter dialogue model capable of open-domain conversation with access to the internet and a long-term memory, and having been trained on a large number of user defin... (90 posts; 77 tweeters)
Branch-Train-Merge: Embarrassingly Parallel Training of Expert... (Score: 39.40) Margaret Li, Suchin Gururangan, Tim Dettmers, Mike Lewis, Tim Alt (2022-08-05) We present Branch-Train-Merge (BTM), a communication-efficient algorithm for embarrassingly parallel training of large language models (LLMs). We show it is possible to independently train subparts of... (81 posts; 69 tweeters)
Regularizing Deep Neural Networks with Stochastic Estimators of... (Score: 16.45) Yucong Liu, Shixing Yu, Tong Lin (2022-08-11) In this paper we develop a novel regularization method for deep neural networks by penalizing the trace of Hessian. This regularizer is motivated by a recent guarantee bound of the generalization erro... (36 posts; 35 tweeters)
Open-Set Semi-Supervised Object Detection (Score: 11.49) Yen-Cheng Liu, Chih-Yao Ma, Xiaoliang Dai, Junjiao Tian, Peter Va (2022-08-29) Recent developments for Semi-Supervised Object Detection (SSOD) have shown the promise of leveraging unlabeled data to improve an object detector. However, thus far these methods have assumed that the... (25 posts; 25 tweeters)
Uncertainty-Aware Blob Detection with an Application to... (Score: 9.58) Prashin Jethwa, Fabian Parzer, Otmar Scherzer, Glenn van de Ven (2022-08-11) Context. Blob detection is a common problem in astronomy. One example is in stellar population modelling, where the distribution of stellar ages and metallicities in a galaxy is inferred from observat... (10 posts; 7 tweeters)
Frido: Feature Pyramid Diffusion for Complex Scene Image Synthesis (Score: 8.64) Wan-Cyuan Fan, Yen-Chun Chen, DongDong Chen, Yu Cheng, Lu Yuan, Y (2022-08-29) Diffusion models (DMs) have shown great potential for high-quality image synthesis. However, when it comes to producing images with complex scenes, how to properly describe both image global structure... (18 posts; 18 tweeters)
Learning New Skills after Deployment: Improving open-domain... (Score: 6.44) Jing Xu, Megan Ung, Mojtaba Komeili, Kushal Arora, Y-Lan Boureau, (2022-08-05) Frozen models trained to mimic static datasets can never improve their performance. Models that can employ internet-retrieval for up-to-date information and obtain feedback from humans during deployme... (18 posts; 17 tweeters)
Interactive Code Generation via Test-Driven User-Intent Formalization (Score: 4.95) Shuvendu K. Lahiri, Aaditya Naik, Georgios Sakkas, Piali Choudhur (2022-08-11) Pre-trained large language models (LLMs) such as OpenAI Codex have shown immense potential in automating significant aspects of coding by producing natural code from informal natural language (NL) int... (12 posts; 12 tweeters)
Speech Synthesis with Mixed Emotions (Score: 4.85) Kun Zhou, Berrak Sisman, Rajib Rana, B. W. Schuller, Haizhou Li (2022-08-11) Emotional speech synthesis aims to synthesize human voices with various emotional effects. The current studies are mostly focused on imitating an averaged style belonging to a specific emotion type. I... (15 posts; 12 tweeters)
Infrastructure as an Asset Class (pages: 36) Georg Inderst Georg Inderst Martin Lawrence Geofrey P. Stapledon (2011-06-11) Infrastructure as a new asset class is said to have several distinct and attractive investment characteristics. This article reviews concepts market developments and empirical evidence on the risk-ret... (2648 downloads; 7799 views)
Expected Stock Returns and Firm Characteristics: E-ENet Assessment and Implications (pages: 67) Yufeng Han Ai He David Rapach Guofu Zhou (2018-06-13) We develop new methods for constructing and analyzing cross-sectional stock return forecasts. We propose an E-ENet approach that blends the elastic net forecast combination and forecast encompassing t... (2362 downloads; 8765 views)
The Overnight Drift (pages: 98) Nina Boyarchenko Lars Christian Larsen Paul Whelan (2020-03-02) This paper documents that U.S. equity returns are large and positive during the opening hours of European markets. These returns are pervasive economically large and highly statistically significant. ... (2022 downloads; 7610 views)
Defining and Measuring Green Investments (pages: 54) Georg Inderst Christopher Kaminker Fiona Stewart (2016-03-07) This definitional stocktaking paper aims to provide a comprehensive review of the concepts and definitions related to "green" investments that are currently used in the market place. The purpose of th... (1249 downloads; 3319 views)
Short Squeezes (pages: 34) Zhiqian Jiang Baixiao Liu Andrew Schrowang Wei Xu (2012-03-15) Building upon the premises that short squeezes are most likely to occur following a large one-day price increase for stocks with short sale constraints and that they can be captured by the level of su... (1125 downloads; 5821 views)
Incorporating Environmental Social and Governance (ESG) Factors into Fixed Income Investment (pages: 76) Georg Inderst Fiona Stewart (2018-06-13) This research report is the result of a partnership between the World Bank Group (WBG) and Government Pension Investment Fund (GPIF) of Japan initiated by the World Bank Groups President Jim Yong Kim ... (979 downloads; 3687 views)
One Size Fits All? High Frequency Trading Tick Size Changes and the Implications for Exchanges: Market Quality and Market Structure Considerations (pages: ) Thanos Verousis Pietro Perotti Georgios Sermpinis (2017-03-20) This paper offers a systematic review of the empirical literature on the implications of tick size changes for exchanges. Our focus is twofold: first we are concerned with the market quality implicati... (797 downloads; views)
Social Infrastructure Finance and Institutional Investors. A Global Perspective (pages: 45) Georg Inderst (2020-03-18) Social infrastructure has endured a long period of neglect in most developed and emerging countries with chronic underinvestment exposed by the coronavirus crisis 2020. The financial crisis 2007/08 le... (577 downloads; 2903 views)
The Cyber Risk Premium (pages: 46) Hao Jiang Naveen Khanna Qian Yang Jiayu Zhou (2020-07-15) Cyber risk is an important but latent source of risk in the economy. To estimate its impact on the asset market we use machine learning techniques to develop a firm-level measure of cyber risk. The me... (503 downloads; 2226 views)
The Value of Activism: A Hedge Fund Investors Perspective (pages: 42) Felix Zhiyu Feng Chengdong Yin Caroline Zhu (2018-05-12) This paper examines the value of hedge fund activism from the perspective of activist hedge funds’ investors. Different from previous studies we compare the returns to an activist hedge fund’s holding... (365 downloads; 2076 views)
Predicting Risk-adjusted Returns using an Asset Independent Regime-switching Model Nicklas Werge Nicklas Werge: LPSM - Laboratoire de Probabili... Financial markets tend to switch between various market regimes over time making stationarity-based models unsustainable. We construct a regime-switching model independent of asset classes for risk-ad... Post-Print from HAL (0.49 score)
Variable Selection for Spatial Logistic Autoregressive Models Jiaxuan Liang Yi Cheng Yuqi Su Shuyue Xiao and Yunquan Song ... When the spatial response variables are discrete the spatial logistic autoregressive model adds an additional network structure to the ordinary logistic regression model to improve the classification ... Mathematics 2022 vol. 10 issue 17 1-16 (0.48 score)
A Hybrid Learning Framework for Imbalanced Classification Eric P. Jiang Eric P. Jiang: University of San Diego USA... Class imbalance is a well-known and challenging algorithmic research topic among the machine learning community as traditional classifiers generally perform poorly on imbalanced problems where data to... International Journal of Intelligent Information Technologies (IJIIT) 2022 vol. 18 issue 1 1-15 (0.47 score)
DSGE Models and Machine Learning: An Application to Monetary Policy in the Euro Area Daniel Stempel and Johannes Zahner Daniel Stempel: Universit... In the euro area monetary policy is conducted by a single central bank for 19 member countries. However countries are heterogeneous in their economic development including their inflation rates. This ... MAGKS Papers on Economics from Philipps-Universität Marburg Faculty of Business Administration and Economics Department of Economics (Volkswirtschaftliche Abteilung) (0.45 score)
FORECASTING STOCK MARKET CRASHES VIA REAL-TIME RECESSION PROBABILITIES: A QUANTUM COMPUTING APPROACH David Alaminos M. Belã‰n Salas and Manuel A. Fernã Ndez-Gã Mez ... A fast and precise prediction of stock market crashes is an important aspect of economic growth fiscal and monetary systems because it facilitates the government in the application of suitable policie... FRACTALS (fractals) 2022 vol. 30 issue 05 1-16 (0.43 score)
FinRL-Live-Trading (#1 ML-Quant) Deep Reinforcement Learning for Automated Stock Trading: An Ensemble Strategy. ICAIF 2020. Please star.... (0.32 score) Days Since Last Update: 43; Created: 2020-07-26; Stars: 1177
Made-With-ML (#2 ML-Quant) Learn how to responsibly deliver value with ML.... (0.26 score) Days Since Last Update: 58; Created: 2018-11-05; Stars: 30345
baselines (#3 ML-Quant) OpenAI Baselines: high-quality implementations of reinforcement learning algorithms... (0.23 score) Days Since Last Update: 58; Created: 2017-05-24; Stars: 12740
WallStreetBots (#4 ML-Quant) Boom or Bust... (0.19 score) Days Since Last Update: 40; Created: 2021-10-19; Stars: 17
cowrie (#5 ML-Quant) Cowrie SSH/Telnet Honeypot
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notebooks (#6 ML-Quant) Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation det... (0.17 score) Days Since Last Update: 11; Created: 2019-12-16; Stars: 92
server (#7 ML-Quant) The Etebase server (so you can run your own)... (0.17 score) Days Since Last Update: 56; Created: 2017-11-19; Stars: 1117
Data-Science-Cheatsheet (#8 ML-Quant) A helpful 5-page machine learning cheatsheet to assist with exam reviews, interview prep, and anything in-between.... (0.15 score) Days Since Last Update: 37; Created: 2021-02-05; Stars: 3695
ngboost (#9 ML-Quant) Natural Gradient Boosting for Probabilistic Prediction... (0.15 score) Days Since Last Update: 41; Created: 2018-06-21; Stars: 1269
sp500 (#10 ML-Quant) Current and Historical Lists of S&P 500 components since 1996... (0.13 score) Days Since Last Update: 39; Created: 2019-11-16; Stars: 129

Blogs Top

How to Develop a Pattern Recognition Neural Network for Trading (Danny Groves) A simple guide to harness the power of machine learning and make your first pattern recognition algorithm ... (wire.insiderfinance.io; 2022-08-29)
VentureBeat on Two Sigma’s Growing Data Pipeline Ecosystem (Two Sigma) A recent article highlights the evolution of Two Sigma’s data pipeline ecosystem, and how we use that ecosystem along every step of the investment process. ... (twosigma.com; 2022-08-26)
Webinar: Machine Learning Models of Financial Data (Two Sigma) Two Sigma’s Justin Sirignano discusses opportunities and open challenges for machine learning in finance. ... (twosigma.com; 2022-08-24)
Forecasting Market Indices Using Stacked Autoencoders & LSTM (QUANTITATIVE RESEARCH AND TRADING) Quality Research vs. Poor Research The stem paper for this post is: Bao W, Yue J, Rao Y (2017) A deep learning framework for financial time series usingstacked autoencoders and long-short term memory. ... (jonathankinlay.com; 2022-08-22)
Interpretation of Chu-Stinchcombe-White CUSUM Test results (Quantitative Finance Stack Exchange) Context: I am new to quant finance. I am doing some structural break analysis on a future price time series. I applied the Chu-Stinchcombe-White CUSUM Test from Chap 17 (Advances in Financial Mach... ... (quant.stackexchange.com; 2022-08-18)

YouTube Top

Enterprise Python Lecture 3: ODM and ORM (CompatibL) An online course on Enterprise Software Development in Python by Alexander Sokol. Learn enterprise software development best practices for engineering quality software with Python. Lecture 3: ODM and ... (2022-08-25; Views: 15)
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Enterprise Python Lecture 1: Development Tools and Project Configuration (CompatibL) An online course on Enterprise Software Development in Python by Alexander Sokol. Learn enterprise software development best practices for engineering quality software with Python. Lecture 1: Developm... (2022-08-25; Views: 28)
Importance of Python in the future of Trading (Quantra) Is Python the Future? Why is learning Python important? Python is a programming language with many advantages not just for developing applications but also for traders. It is versatile and can be used... (2022-08-24; Views: 4)
Visualize Financial Data (Quantra) Making decisions or deciding your next move in the stock market is all based on data visualization and analysis. In this tutorial, we explain what Data Visualization is, why we use Data Visualization,... (2022-08-24; Views: 7)
Importing Financial Data (Quantra) One of the essential steps in automating your trades is to import or download the time series data. In addition to showing how an asset, security, or economic variable has changed over time, it can al... (2022-08-24; Views: 6)
Application of Python in Trading (Quantra) Traders can automate their trading by programming specific rules for both entry and exit rules, which are automatically executed by computers once programmed. One of the most preferred programming lan... (2022-08-24; Views: 8)
Posted by jean-philippe bouchaud (Comments: 7) How much of the recent market rally is explained by (trend following) quant funds? A recent FT article suggests their contribution is substantial, seehttps://lnkd.in/ef4ah4xy The order-driven theory o... (2022-08-23; Score: 7; Likes: 222)
Posted by Peter Cotton, PhD (Comments: 11) Is Claude Shannon the true creator of the Kelly criterion? The attached article by Graham Giller begins with this most intriguing possibility: namely that Shannon wished to publish work related to opt... (2022-08-06; Score: 7; Likes: 104)
Posted by Lars Tyge Nielsen (Comments: 4) Featured MAFN Faculty. Harvey Stein, Adjunct Professor, will be teaching Financial Risk Management and Regulation in Columbia University’s Mathematics of Finance MA (MAFN) program this coming fall – a... (2022-08-18; Score: 6; Likes: 42)
Posted by jean-philippe bouchaud (Comments: 9) Managing the risk of large portfolios requires the knowledge of equally large covariance matrices, describing the whole array of pairwise cross-correlation between the assets included in the portfolio... (2022-08-11; Score: 6; Likes: 156)
Liked by Saeed Amen (Comments: 0) Two of the most famous #quants in the world will join Cornell Financial Engineering Manhattan's Future of Finance Conference next month! Petter Kolm & Matthew Dixon we couldn't be more thankful for th... (2022-08-26; Score: 5; Likes: 64)
Liked by Thomas Schmelzer (Comments: 3) This summer I had the privilege of being a quantitative researcher and developer at Abu Dhabi Investment Authority (ADIA). To say that the past two months have been an incredible time is underwhelming... (2022-08-12; Score: 5; Likes: 25)
Posted by Charles-Albert Lehalle (Comments: 2) very happy that "Learning a functional control for high-frequency finance", a paper I co-authored with Laura Simonsen Leal and @Mathieu Laurière, is now published in Quantitative Finance.In this paper... (2022-08-23; Score: 4; Likes: 115)
Posted by Dr Miquel Noguer i Alonso (Comments: 0) Today 02.00 pm EST, AIFI - Artificial Intelligence Finance Institute offers a complimentary session by Igor Halperin, "How insights from reinforcement learning and physics can help quantitative financ... (2022-08-13; Score: 4; Likes: 22)
Posted by Artur Sepp (Comments: 1) Introducing new paper co-authored with Parviz Rakhmonov "Stochastic Volatility Model with Quadratic Drift: Applications to Assets with Positive Return-Volatility Correlation and to Inverse Martingale ... (2022-08-10; Score: 4; Likes: 73)
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Posted by Ariel Silahian (Comments: 13) C++ will be used for the next 50-100 years in financial services. If you're toying with the idea of learning C++ for a job in financial services, drawn by the promise of huge pay but put off by the awar... (2022-08-28; Score: 3; Likes: 182)
Tim Pickering, Auspice – Commodities, CTAs & The LME Scandal (Meb Faber) Today’s guest is Tim Pickering, founder and CIO of Auspice Capital. In today’s episode, we talk all about trend-following and commodities. Tim shares why trend-following can serve as a great diversifi (2022-08-29)
Rob Arnott & Campbell Harvey on Why They Believe Inflation Hasn’t Peaked (Meb Faber) Today’s guests are Rob Arnott, founder and Chairman of the board of Research Affiliates, and Campbell Harvey, Head of Research at Research Affiliates and Professor of Finance at the Fuqua School of Bu (2022-08-29)
Kevin Cole - Systematic Multi-Strategy from 100+ Models (S5E12) (Corey) In this episode I speak with Kevin Cole, CEO and CIO of Campbell & Company.   In the first half of the conversation, we discuss Campbell’s flagship systematic multi-strategy program.  We cover top (2022-08-29)
Rob Arnott & Campbell Harvey on Why They Believe Inflation Hasn’t Peaked (Meb Faber) Today’s guests are Rob Arnott, founder and Chairman of the board of Research Affiliates, and Campbell Harvey, Head of Research at Research Affiliates and Professor of Finance at the Fuqua School of Bu (2022-08-27)
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Becky O'Connor, "The ESG Investing Handbook: Insights and Developments in Environmental, Social and Governance Investment" (Harriman House, 2022) (Various) As global governments and regulators set an agenda for net zero carbon emissions, the focus on Environmental, Social and Governance (ESG) criteria among investors, from pension scheme members to insti (2022-08-25)
Joachim Klement – Stocks in the long run… are still risky (The Best Investment Writing Volume 6) (Meb Faber) Today’s episode features Joachim Klement reading his piece, Stocks in the long run… are still risky.  Joachim is a trustee of the CFA Institute Research Foundation and offers regular commentary at Kl (2022-08-24)
Brett Scott, "Cloudmoney: Cash, Cards, Crypto, and the War for Our Wallets" (Harper Business, 2022) (Various) In Cloudmoney: Cash, Cards, Crypto, and the War for Our Wallets (Harper Business, 2022), Brett Scott tells an urgent and revelatory story about how the fusion of Big Finance and Big Tech requires “clo (2022-08-24)
Ad Targeting in Amazon Smart Speakers (Data Skeptic) While we give attention to textual data on the web, many do not know the unique power of echo interactions with smart devices for ad targeting. Today, our guest, Umar Iqbal joins us to discuss his stu (2022-08-22)
Bill Browder on High Finance, Murder and Justice (Podcast) (Bloomberg) Bloomberg Radio host Barry Ritholtz speaks with Bill Browder, who is head of the Global Magnitsky Justice Campaign and author of the recently released “Freezing Order: A True Story of Money Laundering (2022-08-20)
Tim Alcorn, Baillie Gifford – Lessons from Bessembinder (The Best Investment Writing Volume 6) (Meb Faber) Today’s episode features Tim Alcorn reading his piece, Lessons from Bessembinder. Tim is the Head of Investment Risk for Baillie Gifford. The Best Investment Writing series features top research piece (2022-08-19)
Episode #88: Dan Gunsberg: Chicago Board of Trade Floor Trader Turned Crypto CEO (Market Maker) Co-founder & CEO of Hxro & Hxro network; a decentralized derivatives protocol built on top of the Solana blockchain. Prior to Hxro, he had close to 30 year career in traditional finance as a t (2022-08-18)
KC Joyner, The Football Scientist: A Buffett/Munger Approach to Fantasy Football (CFA Society) Our guest today is KC Joyner, a fantasy football guru and pioneer of the football analytics revolution, featured on ESPN and The Athletic. He is Founder of the Football Scientist, a data analytics sub (2022-08-18)
Edward Chancellor – Interest, Capitalism, & The Curse of Easy Money (Meb Faber) Today’s guest is Edward Chancellor, financial historian, author of Devil Take the Hindmost, and previously part of GMO’s Asset Allocation team. He’s out with a new book yesterday called The Price of T (2022-08-17)
Samuel Evan Milner, "Robbing Peter to Pay Paul: Power, Profits, and Productivity in Modern America" (Yale UP, 2021) (Various) Concentrated market power and the weakened sway of corporate stakeholders over management have emerged as leading concerns of American political economy.  In his book Robbing Peter to Pay Paul: Power, (2022-08-17)
Eswar S. Prasad, "The Future of Money: How the Digital Revolution Is Transforming Currencies and Finance" (Harvard UP, 2021) (Various) The Future of Money: How the Digital Revolution is Transforming Currencies and Finance (The Belknap Press of Harvard University Press, 2021) provides a cutting-edge look at how accelerating financial (2022-08-16)
#436 – Kevin Van Trump – Here’s What's Going on With Ag Commodities (Meb Faber) Today’s guest is Kevin Van Trump, the founder of Farm Direction and the Van Trump Report, which shares proprietary research for investors and ag professionals. In today’s episode, Kevin walks us throu (2022-08-15)
Kenneth Tropin on Quantitative Hedge Fund Strategies (Bloomberg) Bloomberg Radio host Barry Ritholtz speaks with Kenneth G. Tropin, who is the chairman and the founder of Graham Capital Management, a multi-strategy quantitative hedge fund with $18 billion in assets (2022-08-13)
Hari Krishnan - Market Tremors & Tail Hedging (S5E11) (Corey) Today I am joined by Hari Krishnan, Head of Volatility Strategies at SCT Capital and author of the books Second Leg Down and Market Tremors. We begin with a discussion of Hari’s newest book, Market Tr (2022-08-08)
Marc Henrard 22/08/02 (Quantcast) Marc Henrard 22/08/02 by Quantcast – a Risk.net Cutting Edge podcast (2022-08-08)
Michael Mauboussin, Counterpoint Global – Everything Is a DCF Model (The Best Investment Writing Volume 6) (Meb Faber) Today’s episode features Michael Mauboussin reading his piece, Everything Is a DCF Model. Michael is Head of Consilient Research on Counterpoint Global at Morgan Stanley Investment Management. He jo (2022-08-05)
GestaltU with Claudia Sahm on Macroeconomics for Individuals and Families (Invest Resolve) Today’s guest is Claudia Sahm, who is the founder of Stay-At-Home Macro Consulting. She also writes a Substack of the same name, stayathomemacro.substack.com. She is a former Federal Reserve analyst, (2022-08-05)
#376: Pydantic v2 (Michael Kennedy ) Pydantic has become a core building block for many Python projects. After 5 years, it's time for a remake. With version 2, the plan is to rebuild the internals (with benchmarks already showing a 17x p (2022-08-05)
#433 – Dwight Anderson, Ospraie – A Tiger Cub’s Take on The Chaotic Commodity Markets (Meb Faber) Today’s guest is Dwight Anderson, founder of Ospraie Management, a firm that actively invests in commodity markets and basic industries worldwide. Dwight previously worked at famed shops like Tudor an (2022-08-03)
Harel Jacobson - Trading FX Volatility (S5E10) (Corey) In this episode I speak with Harel Jacobson, an FX volatility trader. There is a lot that makes the FX volatility market unique.  For starters, the end users are more focused on hedging cash-flow and (2022-08-01)

Reddit Top

Arbitraging FX Spot manually - circa 2005 (Upvotes: 109) Algotrading; 2022-08-13 (Upvote Ratio: 0.98)
Resume for quant/swe internships (Upvotes: 26) Quant; 2022-08-29 (Upvote Ratio: 0.97)
Comprehensive Overview on Types of Quants (Upvotes: 71) Quant; 2022-08-25 (Upvote Ratio: 0.97)
Blacklist (Upvotes: 21) Quant; 2022-08-21 (Upvote Ratio: 0.97)
BlackRock (Upvotes: 24) Quant; 2022-08-19 (Upvote Ratio: 0.96)

Twitter Top Links

"Volatility timing...based on high-dimensional models mostly yields higher Sharpe ratios compared with the market...The least absolute shrinkage and selection operator (LASSO) generates the most accurate forecasts, leading to outstanding performance." https://t.co/m9eH2gwUKd https://t.co/BCmepCD3ot - Direct link (tweet) - macro_srsv (35.0; 2022-08-08)
finally got round to open-sourcing BinancePremiums -- it's a little streamlit dashboard to track crypto spot-fut premiums. Nothing special, but might be a nice demonstration of how to use streamlit for finance https://t.co/TPEveZnKhN - Direct link (tweet) - robertmartin88 (26.0; 2022-08-29)
What a pleasant surprise! My article published in @hackernoon got me nominated for the #Noonies2022 awards in 4 categories: machine learning, deep learning, computer vision, and debugging https://t.co/oznTjjm0N9 - Direct link (tweet) - erykml1 (2.0; 2022-08-17)
Python script to automatically post pnl screenshot on telegram are shared at this link. https://t.co/pzuC0q5Sgg. We are using same script to post our pnl in our telegram channel. - Direct link (tweet) - JigneshTrade (22.0; 2022-08-05)
Today's reading list: 1. https://t.co/xMqrnOX4k8 2. https://t.co/0G4TuUwU5c 3. https://t.co/oi19yra8pP 4. https://t.co/f1Y4xTS3o1 5. https://t.co/g3PDOb8DyJ 6. https://t.co/fVjgCHtIC1 https://t.co/zMJGQYg2PF - Direct link (tweet) - QuantSymplectic (22.0; 2022-08-14)
Today's reading list: 1. https://t.co/3gSYOq5YIn 2. https://t.co/b9KCYfGCpG 3. https://t.co/DZOE8aZCV9 4. https://t.co/LZlLPBopZ7 5. https://t.co/YrTffGVvdF 6. https://t.co/JYgtRcg2Dk 7. https://t.co/3qMqI2jtOn https://t.co/1TPfWV3x4j - Direct link (tweet) - QuantSymplectic (21.0; 2022-08-03)
Introduction and python application of a "log-normal stochastic volatility model with applications to assets with positive implied volatility skews, such as VIX index, short index ETFs, cryptocurrencies, and some commodities." https://t.co/EXojqUkIts https://t.co/umJeHeJyzM - Direct link (tweet) - macro_srsv (14.0; 2022-08-15)
My new paper “Stochastic Volatility Model with Quadratic Drift” on modelling implied vol surfaces for assets with positive return-volatility correlation (not trivial mathematically) With applications to arbitrage-free vol surfaces for cryptos #BTC #ETH https://t.co/pKjcShtsRX - Direct link (tweet) - ArturSepp (9.0; 2022-08-10)
Time Series Problems Simply Explained as Fast Food Combo Meals by @helloiamleonie in @TDataScience https://t.co/KANpQJ4Upl - Direct link (tweet) - erykml1 (1.0; 2022-08-29)
Salesforce open sources DeepTIMe - DeepTIMe, a deep time-index based model trained via a meta-learning formulation yielding an efficient and accurate forecasting model using PyTorch Paper: https://t.co/06Xxfv4XxO Python GitHub: https://t.co/4YeWqdV1Vk https://t.co/WZF7hOkpVZ - Direct link (tweet) - carlcarrie (13.0; 2022-08-10)
Book and Code for Kalman Filters This library provides many forms of Kalman filtering and smoothing and various related optimizations. Python GitHub: https://t.co/dUuOuwD6u2 eBook: https://t.co/YccxelwkNG - Direct link (tweet) - carlcarrie (13.0; 2022-08-16)
from the basics all the way up to advanced methods of setting the parameters using machine learning. More materials can be found at the GitHub link on the title slide. Link: https://t.co/luAHZfiTAU - Direct link (tweet) - RichmanRonald (2.0; 2022-08-26)
. @quantargo demonstrates how to run a Shiny dashboard in AWS Fargate behind an Application Load Balancer in less than 60 lines of CDK code: https://t.co/PMzIwTyXJ1 #rstats #DataScience #MachineLearning https://t.co/JAfG8ekgai - Direct link (tweet) - IBKR_QB (2.0; 2022-08-24)
Asset Allocation: From Markowitz to Deep Reinforcement Learning https://t.co/t5NIlNm4n4 #QuantLinkADay https://t.co/1HMWRahudR - Direct link (tweet) - saeedamenfx (7.0; 2022-08-20)
“Sometimes we can become so focused in our research that we might be surprised by our failure to communicate with others using familiar terms.” Marcos Costa Santos Carreria, PhD Candidate explores modelling volatility in our eMagazine >> https://t.co/Fq5T8syyRK #QuantMinds https://t.co/XQicp6U91X - Direct link (tweet) - QuantMinds (4.0; 2022-08-08)
Learning Financial Networks with High-frequency Trade Data https://t.co/a6u4pgCbAf #QuantLinkADay https://t.co/rz3dYLfCXn - Direct link (tweet) - saeedamenfx (6.0; 2022-08-11)
We brought together leading researchers in quantitative finance to discuss option pricing, trading and volatility! Among the topics covered were AI, applying advanced technologies, hedging bitcoin options, modelling implied volatilities and best practice>> https://t.co/4a59prit5A - Direct link (tweet) - QuantMinds (3.0; 2022-08-23)
added script to calculate pivot point for #nifty and #banknifty in python at below link from my archives. https://t.co/2BBakgZwrW - Direct link (tweet) - JigneshTrade (5.0; 2022-08-13)
This @QuantInsti tutorial offers practical tips on using R for #AlgoTrading: https://t.co/DAuItOfFjV #rstats #DataScience - Direct link (tweet) - IBKR_QB (1.0; 2022-08-30)
Python Weekly - Issue 563 https://t.co/xfxt4e9q1M #python #django #fastapi #machinelearning #datascience #jupyter #pytorch #deeplearning #docker #pypi #neuralnetworks #reactjs #openai #gpt3 #pygame #matplotlib #ml #ocr #artificialintelligence https://t.co/Cy1kP0xwRO - Direct link (tweet) - PythonWeekly (15.0; 2022-08-18)
Python Weekly - Issue 562 https://t.co/mRovg4aQsr #python #django #fastapi #machinelearning #jupyter #deeplearning #pytorch #aws #microservices #devops #matplotlib #seaborn #plotly #dash #datascience #scipy #terraform #docker #streamlit #vscode #postgresql https://t.co/JuXQ1TIYba - Direct link (tweet) - PythonWeekly (12.0; 2022-08-11)
Redis explained https://t.co/BhkikWjhnH https://t.co/D7RiRK5kM2 - Direct link (tweet) - fullstackpython (17.0; 2022-08-24)
A new interface for Seaborn plotting https://t.co/f04FNmFsqV #python #dataviz #ggplot #matplotlib - Direct link (tweet) - ManQuantTech (1.0; 2022-08-17)
Build Real-World AWS Microservices with Python and FastAPI From Zero This video will show you how to start from the absolute beginning of DevOps and build a real-world AWS microservice with Python and FastAPI. https://t.co/Vr6868z8St - Direct link (tweet) - PythonHub (16.0; 2022-08-20)
Belay Belay is a python library that enables the rapid development of projects that interact with hardware via a micropython-compatible board. https://t.co/SosYTftwmF - Direct link (tweet) - PythonHub (5.0; 2022-08-18)
pydalle: A DALL·E 2 API Wrapper for Python https://t.co/6SLxty4Xv1 https://t.co/zf9WExWhBt - Direct link (tweet) - fullstackpython (4.0; 2022-08-08)
https://t.co/BQq1oZ7JO3 - Direct link (tweet) - drjoelkim (0.0; 2022-08-11)
Can Computers create art? https://t.co/RWtQMdvQef via @YouTube - Direct link (tweet) - GautierMarti1 (0.0; 2022-07-31)
Join us for another episode of Abu Dhabi Machine Learning Meetups (online 5pm GST): https://t.co/xfZAXhScWJ - Direct link (tweet) - GautierMarti1 (0.0; 2022-08-30)