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November 1st 2022

From the blogosphere, identifying market regimes via asset class correlation was pretty interesting (link). There are a large quantity of papers on Crypto, DOAs, and NFTs. And for conferences I would recommend MIT trading conference and the Quant Insights conference.

ArXiv Top

Designing Universal Causal Deep Learning Models: The Case of... (Score: 1) Luca Galimberti, Giulia Livieri, Anastasis Kratsios (2022-10-24) Deep learning (DL) is becoming indispensable to contemporary stochastic analysis and finance; nevertheless, it is still unclear how to design a principled DL framework for approximating infinite-dimen... (10 posts; 4 tweeters)
Optimal Settings for Cryptocurrency Trading Pairs (Score: 1) Di Zhang, Qiang Niu, Youzhou Zhou (2022-10-20) The goal of cryptocurrencies is decentralization. In principle, all currencies have equal status. Unlike traditional stock markets, there is no default currency of denomination (fiat), thus the tradin... (3 posts; 3 tweeters)
Shannon entropy: an econophysical approach to cryptocurrency portfolios (Score: 1) Noe Rodriguez-Rodriguez, Octavio Miramontes (2022-10-06) Cryptocurrency markets have attracted many interest for global investors because of their novelty, wide online availability, increasing capitalization and potential profits. In the econophysics tradit... (3 posts; 3 tweeters)
Learning Better Intent Representations for Financial Open Intent... (Score: 0.75) Xianzhi Li, Will Aitken, Xiaodan Zhu, Stephen W. Thomas (2022-10-25) With the recent surge of NLP technologies in the financial domain, banks and other financial entities have adopted virtual agents (VA) to assist customers. A challenging problem for VAs in this domain... (3 posts; 3 tweeters)
Multiparty Democracy in Decentralized Autonomous Organization... (Score: 0.75) Xiaotong Sun, Xi Chen, Charalampos Stasinakis, Georgios Sermpinis (2022-10-20) Decentralized Autonomous Organization (DAO) provides a decentralized governance solution through blockchain, where decision-making process relies on on-chain voting and follows majority rule. This pap... (2 posts; 2 tweeters)
Reap the Harvest on Blockchain: A Survey of Yield Farming Protocols (Score: 0.75) Jiahua Xu, Yebo Feng (2022-10-09) Yield farming represents an immensely popular asset management activity in decentralized finance (DeFi). It involves supplying, borrowing, or staking crypto assets to earn an income in forms of transa... (2 posts; 2 tweeters)
Credible Decentralized Exchange Design via Verifiable Sequencing Rules (Score: 0.75) Matheus V. X. Ferreira, David C. Parkes (2022-09-30) Trading on decentralized exchanges has been one of the primary use cases for permissionless blockchains with daily trading volume exceeding billions of U.S.~dollars. In the status quo, users broadcast... (3 posts; 3 tweeters)
Predicting Non-Fungible Token (NFT) Collections: A Contextual... (Score: 0.5) Wesley Joon-Wie Tann, Akhil Vuputuri, Ee-Chien Chang (2022-10-14) Non-fungible tokens (NFTs) are digital assets stored on a blockchain representing real-world objects such as art or collectibles. It is a multibillion-dollar market, where the number of NFT collection... (2 posts; 2 tweeters)
Multivariate Optimized Certainty Equivalent Risk Measures and... (Score: 0.5) Achraf Tamtalini, Anis Matoussi, Sarah Kaakai (2022-10-25) We present a framework for constructing multivariate risk measures that is inspired from univariate Optimized Certainty Equivalent (OCE) risk measures. We show that this new class of risk measures ver... (4 posts; 2 tweeters)
Factor Investing with a Deep Multi-Factor Model (Score: 0.5) Zikai Wei, Bo Dai, Dahua Lin (2022-10-22) Modeling and characterizing multiple factors is perhaps the most important step in achieving excess returns over market benchmarks. Both academia and industry are striving to find new factors that hav... (2 posts; 2 tweeters)
Potential Applications of Quantum Computing for the Insurance Industry (Score: 0.5) Michael Adam (2022-10-10) This paper is the documentation of a pre-study performed by AXA Konzern AG in collaboration with Fraunhofer ITWM to assess the relevance of quantum computing for the insurance industry. Beside a gener... (2 posts; 2 tweeters)
Design and Analysis of Optimized Portfolios for Selected Sectors... (Score: 0.5) Sen, Jaydip, Dutta, Abhishek (2022-10-08) Portfolio optimization is a challenging problem that has attracted considerable attention and effort from researchers. The optimization of stock portfolios is a particularly hard problem since the sto... (2 posts; 2 tweeters)
Stable Dividends under Linear-Quadratic Optimization (Score: 0.5) Benjamin Avanzi, Debbie Kusch Falden, Mogens Steffensen (2022-10-07) The optimization criterion for dividends from a risky business is most often formalized in terms of the expected present value of future dividends. That criterion disregards a potential, explicit dema... (8 posts; 2 tweeters)
Algorithmic Trading Using Continuous Action Space Deep... (Score: 0.5) Naseh Majidi, Mahdi Shamsi, Farokh Marvasti (2022-10-07) Price movement prediction has always been one of the traders' concerns in financial market trading. In order to increase their profit, they can analyze the historical data and predict the price moveme... (2 posts; 2 tweeters)
Universal Quantum Speedup for Branch-and-Bound, Branch-and-Cut,... (Score: 0.5) Shouvanik Chakrabarti, Pierre Minssen, Romina Yalovetzky, Marco P (2022-10-06) Mixed Integer Programs (MIPs) model many optimization problems of interest in Computer Science, Operations Research, and Financial Engineering. Solving MIPs is NP-Hard in general, but several solvers ... (2 posts; 2 tweeters)
Inserting or Stretching Points in Finite Difference Discretizations (Score: 0.5) Jherek Healy (2022-10-05) Partial differential equations sometimes have critical points where the solution or some of its derivatives are discontinuous. The simplest example is a discontinuity in the initial condition. It is w... (6 posts; 2 tweeters)
Boundary-safe PINNs extension: Application to non-linear parabolic... (Score: 0.5) Joel P. Villarino, Álvaro Leitao, José A. García-Rodríguez (2022-10-05) The goal of this work is to develop deep learning numerical methods for solving option XVA pricing problems given by non-linear PDE models. A novel strategy for the treatment of the boundary condition... (2 posts; 2 tweeters)
The Empirical Reality of IT Project Cost Overruns: Discovering A... (Score: 0.5) Bent Flyvbjerg, Alexander Budzier, Jong Seok Lee, Mark Keil, Dani (2022-09-30) If managers assume a normal or near-normal distribution of Information Technology (IT) project cost overruns, as is common, and cost overruns can be shown to follow a power-law distribution, managers ... (2 posts; 2 tweeters)
Portfolio optimization with discrete simulated annealing (Score: 0.5) Álvaro Rubio-García, Juan José García-Ripoll, Diego Porras (2022-10-03) Portfolio optimization is an important process in finance that consists in finding the optimal asset allocation that maximizes expected returns while minimizing risk. When assets are allocated in disc... (2 posts; 2 tweeters)
When to Make Exceptions: Exploring Language Models as Accounts of... (Score: 3.75) Zhijing Jin, Sydney Levine, Fernando Gonzalez, Ojasv Kamal, Maart (2022-10-04) AI systems are becoming increasingly intertwined with human life. In order to effectively collaborate with humans and ensure safety, AI systems need to be able to understand, interpret and predict hum... (24 posts; 12 tweeters)
Schema-aware Reference as Prompt Improves Data-Efficient... (Score: 1.75) Yunzhi Yao, Shengyu Mao, Xiang Chen, Ningyu Zhang, Shumin Deng, H (2022-10-19) Information Extraction, which aims to extract structural relational triple or event from unstructured texts, often suffers from data scarcity issues. With the development of pre-trained language model... (19 posts; 7 tweeters)
Class Based Thresholding in Early Exit Semantic Segmentation Networks (Score: 1.75) Alperen Görmez, Erdem Koyuncu (2022-10-27) We propose Class Based Thresholding (CBT) to reduce the computational cost of early exit semantic segmentation models while preserving the mean intersection over union (mIoU) performance. A key idea o... (5 posts; 4 tweeters)
LAD: Language Augmented Diffusion for Reinforcement Learning (Score: 1.75) Edwin Zhang, Yujie Lu, William Wang, Amy Zhang (2022-10-27) Learning skills from language provides a powerful avenue for generalization in reinforcement learning, although it remains a challenging task as it requires agents to capture the complex interdependen... (10 posts; 7 tweeters)
Deep Generative Models on 3D Representations: A Survey (Score: 1.75) Zifan Shi, Sida Peng, Yinghao Xu, Yiyi Liao, Yujun Shen (2022-10-27) Generative models, as an important family of statistical modeling, target learning the observed data distribution via generating new instances. Along with the rise of neural networks, deep generative ... (5 posts; 4 tweeters)
State of the Art in Dense Monocular Non-Rigid 3D Reconstruction (Score: 1.75) Edith Tretschk, Navami Kairanda, Mallikarjun B R, Rishabh Dabral, (2022-10-27) 3D reconstruction of deformable (or non-rigid) scenes from a set of monocular 2D image observations is a long-standing and actively researched area of computer vision and graphics. It is an ill-posed ... (5 posts; 4 tweeters)
Exploring Effective Distillation of Self-Supervised Speech Models... (Score: 1.5) Yujin Wang, Changli Tang, Ziyang Ma, Zhisheng Zheng, Xie Chen, We (2022-10-27) Recent years have witnessed great strides in self-supervised learning (SSL) on the speech processing. The SSL model is normally pre-trained on a great variety of unlabelled data and a large model size... (9 posts; 6 tweeters)
LyricJam Sonic: A Generative System for Real-Time Composition and... (Score: 1.5) Olga Vechtomova, Gaurav Sahu (2022-10-27) Electronic music artists and sound designers have unique workflow practices that necessitate specialized approaches for developing music information retrieval and creativity support tools. Furthermore... (9 posts; 6 tweeters)
Learning Single-Index Models with Shallow Neural Networks (Score: 1.5) Alberto Bietti, Joan Bruna, Clayton Sanford, Min Jae Song (2022-10-27) Single-index models are a class of functions given by an unknown univariate ``link'' function applied to an unknown one-dimensional projection of the input. These models are particularly relevant in h... (7 posts; 6 tweeters)
Systemic Risk Allocation for Systems with a Small Number of Banks (pages: ) Xiao Qin Chen Zhou Günter Coenen Juan Luis Vega-croissier Michael (2013-05-23) This paper provides a new estimation method for the marginal expected shortfall (MES) based on multivariate extreme value theory. In contrast to previous studies the method does not assume specific de... (744 downloads; views)
Pricing Physical Climate Risk in the Cross-Section of Returns (pages: 60) Glen Gostlow (2019-12-10) Using location-specific climate exposure measures I test for the existence of physical climate risk premia. Hurricane risk commands a positive risk premium whilst heat stress commands a negative risk ... (731 downloads; 2385 views)
When Green Investors Are Green Consumers (pages: 93) Maxime Sauzet Olivier David Zerbib (2022-05-05) We bring investors with preferences for green assets to a general equilibrium setting in which they also prefer consuming green goods. Their preferences for green goods induce consumption premia on ex... (441 downloads; 1076 views)
Predicting Individual Corporate Bond Returns (pages: 50) Xin He Guanhao Feng Junbo Wang Chunchi Wu (2021-06-30) This paper finds positive evidence of return predictability and investment gains for individual corporate bonds from 1976 to 2020. First we provide a comprehensive study for multiple predictive models... (308 downloads; 1255 views)
Exchange-Traded Funds and Transparency in OTC Markets (pages: 77) Viet-Dung Doan (2020-11-23) This paper explores a new channel through which exchange-traded funds (ETFs) can affect underlying asset prices. In over-the-counter markets daily disclosure of ETF portfolio holdings increases pre-tr... (183 downloads; 1165 views)
Does Firms Silence Drive Medias Attention Away? (pages: 46) Sasan Mansouri (2021-04-08) In this study using a comprehensive dataset on business media coverage and textual analysis of the discussions in firms’ quarterly earnings conference calls I show that when management fails to satisf... (178 downloads; 820 views)
Expectation-Driven Term Structure of Equity and Bond Yields (pages: 72) Ming Zeng Guihai Zhao (2021-03-22) Recent findings on the term structure of equity and bond yields pose severe challenges toexisting equilibrium asset pricing models. This paper presents a new equilibrium model of subjective expectatio... (147 downloads; 864 views)
Bond Fund Flows Bond Market Frictions and Monetary Policy Transmission (pages: 1) Chuck Fang (2022-01-27) I present a new financial channel for the transmission of monetary policy the bond fund flow channel. When monetary policy eases (tightens) bond mutual funds and ETFs experience large inflows (outflow... (130 downloads; 484 views)
Applying Updating and Comparing Bankruptcy Forecasting Models. The Case of Greece Nikolaos Daskalakis Nikolaos Aggelakis and John Filos Nikola... Research Question - This study examines whether bankruptcy prediction models work well during recessionary periods on an advanced economy and how their results can be improved via a methodological app... Journal of Accounting and Management Information Systems 2022 vol. 21 issue 3 335-354 (0.71 score)
Predicting Bitcoin Prices via Machine Learning and Time Series Models Yu-Min Lian Jia-Ling Chen and Hsueh-Chien Cheng... In this study we predict Bitcoin price trends using the back propagation neural network (BPNN) autoregressive integrated moving average (ARIMA) and generalized autoregressive conditional heteroscedast... Journal of Applied Finance & Banking 2022 vol. 12 issue 5 2 (0.62 score)
Non-Financial Disclosure and Economic Performance of Top Italian Listed Banks Annalisa Baldissera... This study aims to analyze the relationships between the economic performance of Italian listed banks and their GRI disclosure (GRID) understood as the level of disclosure of their non-financial repor... Advances in Management and Applied Economics 2022 vol. 12 issue 6 2 (0.62 score)
Review of Data Science for Supply Chain Forecasting Nicolas Vandeput... Vandeput briefly reviews the 2nd edition of this book. Copyright International Institute of Forecasters 2022... Foresight: The International Journal of Applied Forecasting 2022 issue 67 27-27 (0.61 score)
Amplitude-Based Time Series Data Clustering Method Yukari Shirota and Basabi Chakraborty... In the paper we propose an amplitude-based time series data clustering method. When we analyze the trend index movement in economy shape-based clustering does not work well because the standardization... Gakushuin Economic Papers 2022 vol. 59 issue 2 127-140 (0.61 score)
Economic Nowcasting with Long Short-Term Memory Artificial Neural Networks (LSTM) Hopp Daniel Hopp Daniel: UNCTAD E-9042 Palais des Nations 121... Artificial neural networks (ANNs) have been the catalyst to numerous advances in a variety of fields and disciplines in recent years. Their impact on economics however has been comparatively muted. On... Journal of Official Statistics 2022 vol. 38 issue 3 847-873 (0.55 score)
Determinants of cost of equity for listed euro area banks Gabriel Zsurkis... The objective of this paper is to identify the banks’ cost of equity determinants. We rely on a two-step approach. First we estimate the cost of equity (COE) for listed euro area banks through multi-f... Working Papers from Banco de Portugal Economics and Research Department (0.51 score)
A cross-country analysis of the role of service sector in the relationship between CO 2 emissions and economic growth using machine learning techniques C. Karthikeyan and R. Murugesan... The study aims to explore the relationship between CO 2 emissions per capita service sector share in GDP and GDP per capita using decision tree and multiple ridge and lasso regression techniques on cr... International Journal of Sustainable Economy 2022 vol. 14 issue 4 399-410 (0.5 score)
Container freight rate level forecasting with machine learning methods Yaling Feng... In an ocean container transportation market the fluctuation of spot rate is volatile making it difficult for market players to optimise freight related operations. This paper applies an multivariant a... International Journal of Business Performance and Supply Chain Modelling 2022 vol. 13 issue 3 245-263 (0.5 score)
Artificial Intelligence Ethics and Intergenerational Responsibility Victor Klockmann Alicia von Schenk and Marie Villeval Victor... In the future artificially intelligent algorithms will make more and more decisions on behalf of humans that involve humans social preferences. They can learn these preferences through the repeated ob... Post-Print from HAL (0.49 score)
Religiosity at the Top and Annual Report Readability Toufiq Nazrul Adam Esplin Kevin E. Dow and David M. Folsom ... This paper examines how individual religiosity at the top level of organizations affects the quality of their disclosure practices as measured by the readability of annual reports. Our paper extends t... JRFM 2022 vol. 15 issue 10 1-19 (0.47 score)
Exponential Stability of Switched Neural Networks with Partial State Reset and Time-Varying Delays Han Pan Wenbing Zhang and Luyang Yu Han Pan: School of Math... This paper mainly investigates the exponential stability of switched neural networks (SNNs) with partial state reset and time-varying delays in which partial state reset means that only a fraction of ... Mathematics 2022 vol. 10 issue 20 1-20 (0.47 score)
Entropy-Randomized Clustering Yuri S. Popkov Yuri A. Dubnov and Alexey Yu. Popkov Yuri S. ... This paper proposes a clustering method based on a randomized representation of an ensemble of possible clusters with a probability distribution. The concept of a cluster indicator is introduced as th... Mathematics 2022 vol. 10 issue 19 1-15 (0.47 score)
Factor-Based Investing in Market Cycles: Fama–French Five-Factor Model of Market Interest Rate and Market Sentiment Yu-Shang Kuo and Jen-Tsung Huang Yu-Shang Kuo: Department of... This study explores risk–reward patterns in the US stock market and establishes optimal factor-based investing using the Fama–French five-factor model through market cycles constructed by Shiller’s in... JRFM 2022 vol. 15 issue 10 1-25 (0.47 score)
Evidential Strategies in Financial Statement Analysis: A Corpus Linguistic Text Mining Approach to Bankruptcy Prediction Tobias Nießner Daniel H. Gross and Matthias Schumann Tobias ... The qualitative information of companies financial statements provides useful information that can increase the accuracy of bankruptcy prediction models. In this research a dataset of 924903 financial... JRFM 2022 vol. 15 issue 10 1-16 (0.47 score)
Fast inference methods for high-dimensional factor copulas Verhoijsen Alex and Krupskiy Pavel Krupskiy Pavel: School of... Gaussian factor models allow the statistician to capture multivariate dependence between variables. However they are computationally cumbersome in high dimensions and are not able to capture multivari... Dependence Modeling 2022 vol. 10 issue 1 270-289 (0.38 score)
Unsupervised consumer intention and sentiment mining from microblogging data as a business intelligence tool Symeon Symeonidis Georgios Peikos Symeon Symeonidis: Democri... Abstract The present study aims to create a framework that analyses user posts related to a product of interest on social networking platforms. More precisely by applying information mining techniques... Operational Research 2022 vol. 22 issue 5 No 43 6007-6036 (0.26 score)
Learning from revisions: an algorithm to detect errors in banks’ balance sheet statistical reporting Francesco Cusano Giuseppe Marinelli and Stefano Piermattei ... Abstract Ensuring and disseminating high-quality data is crucial for central banks to adequately support monetary analysis and the related decision-making processes. In this paper we develop a new mac... Quality & Quantity: International Journal of Methodology 2022 vol. 56 issue 6 No 7 4025-4059 (0.26 score)
Boosted Tree Ensembles for Artificial Intelligence Based Automated Valuation Models (AI-AVM) Tien Foo Sing Jesse Jingye Yang Tien Foo Sing: National Univ... Abstract This paper develops an artificial intelligence based automated valuation model (AI-AVM) using the boosting tree ensemble technique to predict housing prices in Singapore. We use more than 300... The Journal of Real Estate Finance and Economics 2022 vol. 65 issue 4 No 5 649-674 (0.26 score)
qtpylib (#2 ML-Quant) QTPyLib, Pythonic Algorithmic Trading ... (0.22 score) Days Since Last Update: 21; Created: 2016-08-18; Stars: 1740
netdata (#3 ML-Quant) Real-time performance monitoring, done right! https://www.netdata.cloud... (0.2 score) Days Since Last Update: 3; Created: 2013-06-17; Stars: 60960
HeterogeneousHMM (#4 ML-Quant) Discrete, Gaussian, and Heterogenous HMM models full implemented in Python. Missing data, Model Selection Criteria (AIC/BIC), and Semi-Supervised training supported. Easily extendable with other types... (0.2 score) Days Since Last Update: 9; Created: 2019-04-09; Stars: 46
signoz (#6 ML-Quant) SigNoz is an open-source APM. It helps developers monitor their applications & troubleshoot problems, an open-source alternative to DataDog, NewRelic, etc. . Open source Application Perform... (0.18 score) Days Since Last Update: 3; Created: 2021-01-03; Stars: 10233
whisper (#8 ML-Quant) ... (0.17 score) Days Since Last Update: 34; Created: 2022-09-16; Stars: 8179

Blogs Top

Causality: interest rates and fixed income assets ⋆ Quantdare (Quantdare) Granger causality test shows how the influence of interest rates keeps on fixed income ETFs. Read more in this post! ... (quantdare.com; 2022-10-19)
Using Neo4j for Graphed Trading with the TD Ameritrade API (Bryant Avey) I published a companion video to the article I previously published: Using Neo4j for Graphed Trading with the TD Ameritrade API | Graphed… ... (medium.com; 2022-10-28)
Join the CQF Institute’s Annual Quant Insights Conference (wilmott.com) The CQF Institute is counting down to its annual Quant Insights Conference – being streamed globally online on 2nd – 3rd November 2022. [...] ... (wilmott.com; 2022-10-28)
How to pick an MFE program (QuantNet Community) From Amsterdam to Zurich you can attend financial engineering masters programs in all the financial centers in the world, or places off the financial beaten path such as Bethlehem, Coimbra... ... (quantnet.com; 2022-10-26)
MIT Algorithmic Trading Conference 2022 (rebellionre (Alexander Fleiss) MIT Algorithmic Trading Conference 2022 (rebellionresearch.com) ... (rebellionresearch.medium.com; 2022-10-24)
Detecting Market States using Hidden Markov Models (B/O Trading Blog) I recently read an interesting approach to determine market states using Hidden Markov Models (HMMs). The approach is described here on the… ... (medium.com; 2022-10-29)
Finding Stocks with the highest Price/Tweet Sentiment Correlation (B/O Trading Blog) For a while I wanted to explore the relationship between social media sentiment and price trends. However, historical social media data is… ... (medium.com; 2022-10-23)
Momentum Funds (Shyam Sunder) At first, there were none. Now, a plethora. ... (stockviz.substack.com; 2022-10-22)
Docker Quant Environment (Georgi Samardzhiev) How to create a local docker environment for Quant developlment ... (medium.com; 2022-10-20)
QuantConnect Integration with MlFinLab (Hudson & Thames) Announcing that MlFinLab is fully integrated into the powerful backtesting and execution platform of QuantConnect! ... (hudsonthames.org; 2022-10-18)
Algorithmic Trading Is Not Just About Trading Bots (Peter Amaral) Living the dream. ... (medium.com; 2022-10-17)
Q3 2022 Commentary (Flirting with Models) In this quarter’s commentary, we: Provide an analysis of this quarter’s returns, both at a high level and a detailed attribution. Discuss line item risk. You can read more here. Corey HoffsteinCorey i ... (blog.thinknewfound.com; 2022-10-17)
Siegel and Schwartz on Stocks for the Long Run (Bloomberg) Bloomberg Radio host Barry Ritholtz speaks with acclaimed Wharton finance professor Jeremy Siegel and Jeremy Schwartz, who is global chief investment officer at WisdomTree. Prior to joining WisdomTree (2022-10-29)
Tail Risk: How to Incorporate Extreme Events int Financial Risk Modeling (GARP) Hear from Prof. Clifford Rossi as we examine some of today’s biggest financial risk modeling challenges. Risk modelers have recently been befuddled by rare and powerful non-financial events, includin (2022-10-28)
Jerry Parker & Salem Abraham - Lessons From A Lifetime of Trading (Meb Faber) Today’s returning guests are Jerry Parker and Salem Abraham. Jerry is the CEO of Chesapeake and a long-time trend follower since he was in the Turtle training program. Salem is the President of Abraha (2022-10-26)
Private machine learning done right (Ep. 207) (Various) There are many solutions to private machine learning. I am pretty confident when I say that the one we are speaking in this episode is probably one of the most feasible and reliable. I am with Daniel (2022-10-25)
Tribal Marketing (Data Skeptic) Peter Gloor, a Research Scientist at the MIT Center for Collective Intelligence, takes us on a new world of tribe classification. He extensively discussed the need for such classification on the inter (2022-10-24)
The TenderAlpha Episode (Mark Fleming-Williams) In this episode I speak to Martin Tsanov of TenderAlpha, a provider of government procurement data. In our conversation, Martin and I discuss the data scene in Bulgaria, the scale and availability of (2022-10-24)
Giuliana Bordigoni - Alternative Markets & Specialist Strategies (S5E14) (Corey) In this episode I speak with Giuliana Bordigoni, Director of Specialist Strategies at Man AHL. In her role, Giuliana oversees the firm’s strategies that require specialist knowledge.  This includes, f (2022-10-24)
Kimberly Kay Hoang, "Spiderweb Capitalism: How Global Elites Exploit Frontier Markets" (Princeton UP, 2022) (Various) In 2015, the anonymous leak of the Panama Papers brought to light millions of financial and legal documents exposing how the superrich hide their money using complex webs of offshore vehicles. Spiderw (2022-10-17)
The Barclays Episode (Mark Fleming-Williams) In this episode I speak to Ryan Preclaw and Adam Kelleher of Barclays, who might have ‘the largest alternative data team on the street’.  In our conversation, Ryan, Adam and I discuss how Barclays got (2022-10-17)
Edge AI for applications in militay and space (Ep. 206) (Various) Our Sponsors Ready to advance your career in data science? University of Cincinnati Online offers nationally recognized educational programs in business analytics and information systems. Predictive A (2022-10-15)
Prof. Nikos Kourentzes on business, AI, and hierarchical forecasting (Pierre Pinson) Nikolaos Kourentzes is Professor of Predictive Analytics at the University of Skövde (Sweden) in the Artificial Intelligence Lab as well as a member of the Centre for Marketing Analytics and Forecasti (2022-10-14)
Rodrigo Gordillo and Corey Hoffstein – Return Stacking: Strategies for Overcoming a Low Return Environment (The Best Investment Writing Volume 6) (Meb Faber) Today’s episode features Corey Hoffstein  and Rodrigo Gordillo reading their piece, Return Stacking: Strategies for Overcoming a Low Return Environment. Corey is a co-founder of and Chief Investment (2022-10-11)
The SynerAI episode (Various) In this episode I speak to Travis Nixon of SynerAI, an alternative data provider that uses NLP on vast quantities of information. Along with SynerAI, Travis has until recently been Chief Data Scientis (2022-10-10)
ML Ops in Production (Data Skeptic) Moses Guttman from Clear ML joins us to share insights about how organizations leveraging machine learning keep their programs on track.  While many parallels exist between the software development li (2022-10-07)
The Thomas DelVecchio episode (Various) In this episode I speak to Thomas Delvecchio, alt data founder and angel investor.In our conversation, Thomas and I discuss his background creating tech survey data provider ETR, and have a topical di (2022-10-03)
Adam Butler - Questioning the Quant Orthodoxy (S5E13) (Corey) In this episode I speak with Adam Butler, co-founder and CIO of ReSolve Asset Management.  For full disclosure, at the time of recording I am personally an investor in one of ReSolve’s private funds. (2022-10-03)

YouTube Top

Peter Carr Brooklyn Quant Experience (BQE) Seminar Series: Sébastien Bosssu (NYU Tandon School of Engineering) The Department of Finance and Risk Engineering welcomed Sébastien Bossu, Visiting Professor of Finance at WPI Business School, on October 20, 2022. Title (In Memoriam) Generalizations of the Carr-Mada... (2022-10-27; Views: 0)
Yuyu Fan (Alliance Bernstein): "Leveraging Text Mining to Extract Insights" (Cornell Financial Engineering Manhattan CFEM) Welcome to the first of the UBS and CFEM AI, Data and Analytics Speaker Series! Yuyu Fan of Alliance Bernstein spoke about "Leveraging Text Mining to Extract Insights from Earnings Call Transcripts." ... (2022-10-26; Views: 3)
Peter Carr Brooklyn Quant Experience (BQE) Seminar Series: Liuren Wu (NYU Tandon School of Engineering) The FRE Department welcomed Liuren Wu to the PC BQE Seminar Series on October 13, 2022. The title of Prof. Wu's talk is "Common Pricing of Decentralized Risk: A New Linear Option Pricing Model".... (2022-10-21; Views: 2)
Meta-Labeling: Theory and Framework (Hudson & Thames) Join our reading group! https://hudsonthames.org/reading-group/ Meta-labeling is a machine learning (ML) layer that sits on top of a base primary strategy to help size positions, filter out false-posi... (2022-10-19; Views: 6)
Deep Momentum Networks for Trading (Hudson & Thames) Join the Hudson and Thames Reading Group! http://hudsonthames.org/reading-group/ This session was based on the paper: Enhancing Time-Series Momentum Strategies Using Deep Neural Networks by Bryan Lim,... (2022-10-16; Views: 10)
Second Brain: Molecular Notes (Hudson & Thames) The Hudson and Thames second brain is built on the principals of Robert Martin's Molecular Notes. This video explores the concepts and teaches you how you can apply these techniques to build your very... (2022-10-16; Views: 4)
ABFR Webinar with Maryam Farboodi and Asaf Manela (AI & Big Data in Finance Research Forum) Valuing Financial Data Presenter: Maryam Farboodi (Massachusetts Institute of Technology) Discussant: Asaf Manela (Washington University in St. Louis) Host: Svetlana Bryzgalova (London Business School... (2022-10-13; Views: 1)
TS-11: Transfer learning for time series (Abhishek Thakur) Notebook: https://www.kaggle.com/code/konradb/ts-11-deep-learning-for-ts-transfer-learning Transfer learning is a research problem in ML that focuses on storing knowledge gained while solving one prob... (2022-10-12; Views: 258)
Peter Carr Brooklyn Quant Experience (BQE) Seminar Series: Nassim Nicholas Taleb (NYU Tandon School of Engineering) The Department of Finance and Risk Engineering welcome Nassim Nicholas Taleb to the Peter Carr BQE Seminar Series on October 6, 2022. The title of his talk was "Covid: A Lesson in Risk Management".... (2022-10-12; Views: 1)
Deploying Transformers & Building a Semantic Search Engine (Abhishek Thakur) Talk 1 Title: Vertex AI Pipelines for training and deploying Huggingface transformers. Speaker: Maximilian Gartz Abstract: This talk touches upon three major developments in contemporary Machine Learn... (2022-10-10; Views: 0)
Liked by Jacques Joubert (Comments: 0) ADIA has today announced plans to launch ADIA Lab, an independent research centre dedicated to basic and applied research in data and computational sciences. From its base in Abu Dhabi, ADIA Lab will ... (2022-10-19; Score: 5; Likes: 895)
Posted by James "Jim" Melenkevitz PhD (Comments: 63) Big news!!!Pandas DataFrame output is now available for all sklearn transformers (in dev)! This will make running pipelines on dataframes soo much easier, and provides better ways to track feature n... (2022-10-16; Score: 5; Likes: 4006)
Posted by Markus Leippold (Comments: 39) Over short horizons markets work better than models. There isn't anyone in quantitative finance who believes otherwise - even those who find statistical arbitrages and make the markets more efficient ... (2022-10-07; Score: 5; Likes: 180)
Posted by Petter Kolm (Comments: 0) Tuesday, November 8, 5:30PM-6:45PM (Eastern Time): Join us for Dacheng Xiu's "Expected Returns and Foundation Models of Language" in NYU Courant's Mathematical Finance & Financial Data Science Seminar... (2022-10-27; Score: 4; Likes: 44)
Posted by Artur Sepp (Comments: 0) I'm speaking at Quantum Machine Learning for Finance. Would you like to attend?... (2022-10-17; Score: 4; Likes: 17)
Posted by jean-philippe bouchaud (Comments: 9) Dynamical systems are usually such that the stability of equilibrium points can be studied by linearizing the dynamics in their vicinity, i.e. assuming small perturbations that evolve according to a (... (2022-10-17; Score: 4; Likes: 213)
Posted by Markus Leippold (Comments: 1) Do Large Language Models "understand" Climate Finance?In a short article, "Thus Spoke GPT-3", I interviewed a large language model, asking questions about climate change and climate finance. The answe... (2022-10-05; Score: 4; Likes: 99)
Liked by Alexis Marchal (Comments: 0) #machinelearning #machinelearningalgorithms #artificialintelligence #ai #deeplearning You might not know it, but you are using dimensionality reduction: a lot! In fact, you are using it right now. Whe... (2022-10-27; Score: 3; Likes: 116)
Posted by Peter Cotton, PhD (Comments: 4) The Augur prediction market, a poster child backed by Vitalik Buterin, processes less than 500 trades a day. Microprediction.Org has processed a billion predictions.#web3 #blockchain #machinelearning ... (2022-10-25; Score: 3; Likes: 41)
Liked by Alec Schmidt (Comments: 1) Institutional investors believe that publicly listed firms currently provide insufficient information regarding climate risk - a post from SFI Prof. Philipp Krueger (University of Geneva) on the ECGI ... (2022-10-25; Score: 3; Likes: 29)
Liked by Hariom Tatsat, CQF, FRM (Comments: 0) Exited to share my newest publication: Sensitivity measures based on Scoring Functions which is joint work with Tobias Fissler (Vienna University).We introduce sensitivity measures for elicitable func... (2022-10-25; Score: 3; Likes: 47)
Liked by Igor Halperin (Comments: 9) Super honored to have the legendary Journal of Financial Data Science, the Top #Quant journal on the planet as a sponsor of the MIT Sloan School of Management #Quant conference!#datascience #ai#artifi... (2022-10-22; Score: 3; Likes: 84)
Liked by Saeed Amen (Comments: 3) How often do the co-Quants of the Year debate on MIT's main stage?Dr. Matthew Dixon Vs Dr. Igor HalperinFor me this debate is a #quant & #machinelearning dream come true!... (2022-10-19; Score: 3; Likes: 94)
Posted by Alec Schmidt (Comments: 7) A multidimensional, quantitative analysis of more than 170 sets of time-dependent ecological data has uncovered chaos where there was once thought to be none. https://lnkd.in/gWV8pvxV... (2022-10-15; Score: 3; Likes: 123)
Posted by Dr Miquel Noguer i Alonso (Comments: 4) What's the connection between music and finance? The cashflows earned in the early years after a song is released are helpful in predicting the long term streaming revenues. This has opened the possib... (2022-10-07; Score: 3; Likes: 59)

Twitter Top Links

1.
Algorithms for Decision Making - 700+ page 2022 #ebook https://t.co/rHiJs8cDcf https://t.co/GXKoWQazui - Direct link (tweet) - carlcarrie (23.0; 2022-10-04)
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Random Matrix Theory applied to Denoise Correlation Matrices For background on #RMT: https://t.co/n7bTG7baoK More background in this short @RiskDotNet column https://t.co/iG8vs0cTjB Python GitHub (pure and isolated Python implementation): https://t.co/1eb6haBgFW - Direct link (tweet) - carlcarrie (8.0; 2022-10-27)
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Paper "produces strong evidence that investors exhibit stronger biases [e.g.] stronger disposition effects...and perform worse in their real accounts [their personal accounts] than in...simulated accounts." https://t.co/SA25hbaPP9 https://t.co/siqcioz73E - Direct link (tweet) - macro_srsv (6.0; 2022-10-25)
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Python just got faster! (and lots of other improvements) #python https://t.co/YGl3SnaXHS - Direct link (tweet) - ManQuantTech (3.0; 2022-10-25)
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The Information Content of Conflict, Social Unrest and Policy Uncertainty Measures for Macroeconomic Forecasting https://t.co/DyuUg8uAEK #QuantLinkADay https://t.co/x6cSJx3jBu - Direct link (tweet) - saeedamenfx (4.0; 2022-10-14)
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Granger causality test shows how the influence of interest rates keeps on fixed income ETFs. Read more in this post! by Tania Fuertes #DataScience #assetmanagement #Finance https://t.co/6k1lIPC90s - Direct link (tweet) - quantdare (0.0; 2022-10-19)

Reddit Top

Is quant a winner takes all field? (Upvotes: 53) Quant; 2022-10-14 (Upvote Ratio: 0.97)
What do tiny HFTs do? (Upvotes: 44) Quant; 2022-10-08 (Upvote Ratio: 0.96)
Designing Universal Causal Deep Learning Models: The Case of... (Score: 1) Luca Galimberti, Giulia Livieri, Anastasis Kratsios (2022-10-24) Deep learning (DL) is becoming indispensable to contemporary stochastic analysis and finance; nevertheless, it is still unclear how to design a principled DL framework for approximating infinite-dimen... (10 posts; 4 tweeters)
Optimal Settings for Cryptocurrency Trading Pairs (Score: 1) Di Zhang, Qiang Niu, Youzhou Zhou (2022-10-20) The goal of cryptocurrencies is decentralization. In principle, all currencies have equal status. Unlike traditional stock markets, there is no default currency of denomination (fiat), thus the tradin... (3 posts; 3 tweeters)
Shannon entropy: an econophysical approach to cryptocurrency portfolios (Score: 1) Noe Rodriguez-Rodriguez, Octavio Miramontes (2022-10-06) Cryptocurrency markets have attracted many interest for global investors because of their novelty, wide online availability, increasing capitalization and potential profits. In the econophysics tradit... (3 posts; 3 tweeters)
Learning Better Intent Representations for Financial Open Intent... (Score: 0.75) Xianzhi Li, Will Aitken, Xiaodan Zhu, Stephen W. Thomas (2022-10-25) With the recent surge of NLP technologies in the financial domain, banks and other financial entities have adopted virtual agents (VA) to assist customers. A challenging problem for VAs in this domain... (3 posts; 3 tweeters)
Multiparty Democracy in Decentralized Autonomous Organization... (Score: 0.75) Xiaotong Sun, Xi Chen, Charalampos Stasinakis, Georgios Sermpinis (2022-10-20) Decentralized Autonomous Organization (DAO) provides a decentralized governance solution through blockchain, where decision-making process relies on on-chain voting and follows majority rule. This pap... (2 posts; 2 tweeters)
Reap the Harvest on Blockchain: A Survey of Yield Farming Protocols (Score: 0.75) Jiahua Xu, Yebo Feng (2022-10-09) Yield farming represents an immensely popular asset management activity in decentralized finance (DeFi). It involves supplying, borrowing, or staking crypto assets to earn an income in forms of transa... (2 posts; 2 tweeters)
Predicting Non-Fungible Token (NFT) Collections: A Contextual... (Score: 0.5) Wesley Joon-Wie Tann, Akhil Vuputuri, Ee-Chien Chang (2022-10-14) Non-fungible tokens (NFTs) are digital assets stored on a blockchain representing real-world objects such as art or collectibles. It is a multibillion-dollar market, where the number of NFT collection... (2 posts; 2 tweeters)
Multivariate Optimized Certainty Equivalent Risk Measures and... (Score: 0.5) Achraf Tamtalini, Anis Matoussi, Sarah Kaakai (2022-10-25) We present a framework for constructing multivariate risk measures that is inspired from univariate Optimized Certainty Equivalent (OCE) risk measures. We show that this new class of risk measures ver... (4 posts; 2 tweeters)
Factor Investing with a Deep Multi-Factor Model (Score: 0.5) Zikai Wei, Bo Dai, Dahua Lin (2022-10-22) Modeling and characterizing multiple factors is perhaps the most important step in achieving excess returns over market benchmarks. Both academia and industry are striving to find new factors that hav... (2 posts; 2 tweeters)
Potential Applications of Quantum Computing for the Insurance Industry (Score: 0.5) Michael Adam (2022-10-10) This paper is the documentation of a pre-study performed by AXA Konzern AG in collaboration with Fraunhofer ITWM to assess the relevance of quantum computing for the insurance industry. Beside a gener... (2 posts; 2 tweeters)
Design and Analysis of Optimized Portfolios for Selected Sectors... (Score: 0.5) Sen, Jaydip, Dutta, Abhishek (2022-10-08) Portfolio optimization is a challenging problem that has attracted considerable attention and effort from researchers. The optimization of stock portfolios is a particularly hard problem since the sto... (2 posts; 2 tweeters)
Stable Dividends under Linear-Quadratic Optimization (Score: 0.5) Benjamin Avanzi, Debbie Kusch Falden, Mogens Steffensen (2022-10-07) The optimization criterion for dividends from a risky business is most often formalized in terms of the expected present value of future dividends. That criterion disregards a potential, explicit dema... (8 posts; 2 tweeters)
Algorithmic Trading Using Continuous Action Space Deep... (Score: 0.5) Naseh Majidi, Mahdi Shamsi, Farokh Marvasti (2022-10-07) Price movement prediction has always been one of the traders' concerns in financial market trading. In order to increase their profit, they can analyze the historical data and predict the price moveme... (2 posts; 2 tweeters)
Universal Quantum Speedup for Branch-and-Bound, Branch-and-Cut,... (Score: 0.5) Shouvanik Chakrabarti, Pierre Minssen, Romina Yalovetzky, Marco P (2022-10-06) Mixed Integer Programs (MIPs) model many optimization problems of interest in Computer Science, Operations Research, and Financial Engineering. Solving MIPs is NP-Hard in general, but several solvers ... (2 posts; 2 tweeters)
Inserting or Stretching Points in Finite Difference Discretizations (Score: 0.5) Jherek Healy (2022-10-05) Partial differential equations sometimes have critical points where the solution or some of its derivatives are discontinuous. The simplest example is a discontinuity in the initial condition. It is w... (6 posts; 2 tweeters)
Boundary-safe PINNs extension: Application to non-linear parabolic... (Score: 0.5) Joel P. Villarino, Álvaro Leitao, José A. García-Rodríguez (2022-10-05) The goal of this work is to develop deep learning numerical methods for solving option XVA pricing problems given by non-linear PDE models. A novel strategy for the treatment of the boundary condition... (2 posts; 2 tweeters)
Portfolio optimization with discrete simulated annealing (Score: 0.5) Álvaro Rubio-García, Juan José García-Ripoll, Diego Porras (2022-10-03) Portfolio optimization is an important process in finance that consists in finding the optimal asset allocation that maximizes expected returns while minimizing risk. When assets are allocated in disc... (2 posts; 2 tweeters)
Forces are not Enough: Benchmark and Critical Evaluation for Machine Learning Force Fields with Molecular Simulations (Score: 34.85000000000001) Xiang Fu, Zhenghao Wu, Wujie Wang, Tian Xie, Sinan Keten, Rafael (2022-10-13) Molecular dynamics (MD) simulation techniques are widely used for various natural science applications. Increasingly, machine learning (ML) force field (FF) models begin to replace ab-initio simulatio... (59 posts; 56 tweeters)
A New Task: Deriving Semantic Class Targets for the Physical Sciences (Score: 18.18) Micah Bowles, Hongming Tang, Eleni Vardoulaki, Emma L. Alexander, (2022-10-26) We define deriving semantic class targets as a novel multi-modal task. By doing so, we aim to improve classification schemes in the physical sciences which can be severely abstracted and obfuscating. ... (28 posts; 19 tweeters)
ACES: Translation Accuracy Challenge Sets for Evaluating Machine... (Score: 15.049999999999997) Chantal Amrhein, Nikita Moghe, Liane Guillou (2022-10-27) As machine translation (MT) metrics improve their correlation with human judgement every year, it is crucial to understand the limitations of such metrics at the segment level. Specifically, it is imp... (28 posts; 24 tweeters)
When to Make Exceptions: Exploring Language Models as Accounts of... (Score: 3.75) Zhijing Jin, Sydney Levine, Fernando Gonzalez, Ojasv Kamal, Maart (2022-10-04) AI systems are becoming increasingly intertwined with human life. In order to effectively collaborate with humans and ensure safety, AI systems need to be able to understand, interpret and predict hum... (24 posts; 12 tweeters)
Schema-aware Reference as Prompt Improves Data-Efficient... (Score: 1.75) Yunzhi Yao, Shengyu Mao, Xiang Chen, Ningyu Zhang, Shumin Deng, H (2022-10-19) Information Extraction, which aims to extract structural relational triple or event from unstructured texts, often suffers from data scarcity issues. With the development of pre-trained language model... (19 posts; 7 tweeters)
Class Based Thresholding in Early Exit Semantic Segmentation Networks (Score: 1.75) Alperen Görmez, Erdem Koyuncu (2022-10-27) We propose Class Based Thresholding (CBT) to reduce the computational cost of early exit semantic segmentation models while preserving the mean intersection over union (mIoU) performance. A key idea o... (5 posts; 4 tweeters)
LAD: Language Augmented Diffusion for Reinforcement Learning (Score: 1.75) Edwin Zhang, Yujie Lu, William Wang, Amy Zhang (2022-10-27) Learning skills from language provides a powerful avenue for generalization in reinforcement learning, although it remains a challenging task as it requires agents to capture the complex interdependen... (10 posts; 7 tweeters)
Deep Generative Models on 3D Representations: A Survey (Score: 1.75) Zifan Shi, Sida Peng, Yinghao Xu, Yiyi Liao, Yujun Shen (2022-10-27) Generative models, as an important family of statistical modeling, target learning the observed data distribution via generating new instances. Along with the rise of neural networks, deep generative ... (5 posts; 4 tweeters)
State of the Art in Dense Monocular Non-Rigid 3D Reconstruction (Score: 1.75) Edith Tretschk, Navami Kairanda, Mallikarjun B R, Rishabh Dabral, (2022-10-27) 3D reconstruction of deformable (or non-rigid) scenes from a set of monocular 2D image observations is a long-standing and actively researched area of computer vision and graphics. It is an ill-posed ... (5 posts; 4 tweeters)
Exploring Effective Distillation of Self-Supervised Speech Models... (Score: 1.5) Yujin Wang, Changli Tang, Ziyang Ma, Zhisheng Zheng, Xie Chen, We (2022-10-27) Recent years have witnessed great strides in self-supervised learning (SSL) on the speech processing. The SSL model is normally pre-trained on a great variety of unlabelled data and a large model size... (9 posts; 6 tweeters)
Its Not A Lie if You Believe the Norm Does Not Apply: Conditional Norm-Following and Belief Distortion (pages: 61) Cristina Bicchieri Eugen Dimant Silvia Sonderegger (2019-03-12) This paper investigates self-serving belief distortion about dominant norms of honesty. We consider an environment where the subject can earn a monetary reward by lying. In contrast to the existing li... (904 downloads; 4546 views)
Pricing Physical Climate Risk in the Cross-Section of Returns (pages: 60) Glen Gostlow (2019-12-10) Using location-specific climate exposure measures I test for the existence of physical climate risk premia. Hurricane risk commands a positive risk premium whilst heat stress commands a negative risk ... (731 downloads; 2385 views)
When Green Investors Are Green Consumers (pages: 93) Maxime Sauzet Olivier David Zerbib (2022-05-05) We bring investors with preferences for green assets to a general equilibrium setting in which they also prefer consuming green goods. Their preferences for green goods induce consumption premia on ex... (441 downloads; 1076 views)
Financial Constraints and the Racial Housing Gap (pages: 75) Arpit Gupta Christopher Hansman Pierre Mabille (2021-11-23) We highlight the contribution of financial constraints to persistent disparities in wealth and access to geographic opportunities across demographic groups. We document a racial leverage gap—Black bor... (316 downloads; 1227 views)
Predicting Individual Corporate Bond Returns (pages: 50) Xin He Guanhao Feng Junbo Wang Chunchi Wu (2021-06-30) This paper finds positive evidence of return predictability and investment gains for individual corporate bonds from 1976 to 2020. First we provide a comprehensive study for multiple predictive models... (308 downloads; 1255 views)
Gender Differences in Reaction to Enforcement Mechanisms: A Large-Scale Natural Field Experiment (pages: 46) Zhengyang Bao Difang Huang (2020-07-27) We randomize dunning text messages to 17545 borrowers from a FinTech lending platform to study gender differences in responsiveness to enforcement mechanisms. Compared to a reminder message messages i... (289 downloads; 3429 views)
Exchange-Traded Funds and Transparency in OTC Markets (pages: 77) Viet-Dung Doan (2020-11-23) This paper explores a new channel through which exchange-traded funds (ETFs) can affect underlying asset prices. In over-the-counter markets daily disclosure of ETF portfolio holdings increases pre-tr... (183 downloads; 1165 views)
Incremental Volatility and Related Portfolio Analytics (pages: 28) Domenico Mignacca Gianluca Fusai (2021-07-14) In this note we prove a simple formula to compute the Incremental Volatility i.e. the change in the portfolio volatility due to the removal of one asset from the portfolio. The common practice adopted... (183 downloads; 587 views)
Does Firms Silence Drive Medias Attention Away? (pages: 46) Sasan Mansouri (2021-04-08) In this study using a comprehensive dataset on business media coverage and textual analysis of the discussions in firms’ quarterly earnings conference calls I show that when management fails to satisf... (178 downloads; 820 views)
Expectation-Driven Term Structure of Equity and Bond Yields (pages: 72) Ming Zeng Guihai Zhao (2021-03-22) Recent findings on the term structure of equity and bond yields pose severe challenges toexisting equilibrium asset pricing models. This paper presents a new equilibrium model of subjective expectatio... (147 downloads; 864 views)
Countercyclical Expected Returns (pages: 45) Stig Vinther Møller Thomas Quistgaard Pedersen Sigurd Steffensen (2020-04-10) We study investor expectations of stock returns on the S&P 500 index using data from the Livingston survey over the 1952-2019 period. We find that survey participants have countercyclical expectations... (139 downloads; 798 views)
Does central clearing affect counterparty risk and liquidity risk in the sovereign CDS market? (pages: 44) Josephine Molleyres Heinz Zimmermann (2019-07-09) Central counterparty clearing houses (CCPs) provide risk management for OTC transactions. Using a global sample of sovereign credit default swaps (CDS) issued between 2010 and 2017 this paper analyzes... (136 downloads; 1914 views)
Friends in High Places: Political Ties and SEC Oversight of Foreign Firms (pages: 69) Jill E. Fisch Xian Gu (2022-09-13) In this paper we examine the effect of country-level political relationships on SEC oversight of US-listed foreign firms ranging from routine review of issuer filings to enforcement actions. We find t... (113 downloads; 442 views)
The dynamic effects of macroeconomic announcements on the volatilities of renminbi onshore and offshore exchange rates (pages: 46) Zhitao Lin Tao Tang (2020-04-17) This study investigates the dynamic effects of Chinese and US macroeconomic announcements on the daily volatilities of CNY/USD and CNH/USD exchange rates. Under the MS-VARX framework we find both exch... (59 downloads; 384 views)
The Regulation of AI Trading from an AI Life Cycle Perspective (pages: 38) Alessio Azzutti Wolf-Georg Ringe H. Siegfried Stiehl (2022-10-28) Among innovative technologies Artificial Intelligence (AI) is often avouched as the game changerin the provision of financial services. In this regard the algorithmic trading domain is no exception.Th... (21 downloads; 71 views)
Group Bargaining and Delegation (pages: 41) Ravideep Sethi WonSeok Yoo (2020-06-15) We consider non-cooperative bargaining over a fixed surplus between two groups that may differ in size and the supermajority threshold they employ for within-group ratification. We find that total all... (19 downloads; 218 views)
Corporate Social Responsibility and Dynamic Productivity Change in the US Food and Beverage Manufacturing Industry (pages: 32) Magdalena Kapelko Alfons G. J. M. Oude Lansink Encarna Guillamon (2022-02-28) This work examines the relationship between corporate social responsibility (CSR) and dynamic productivity change of each input employed and investment undertaken in the United States food and beverag... (14 downloads; 85 views)
The Effects of Foreign Acquisitions on the Value of Industry Peers (pages: 62) Umit Yilmaz (2022-04-03) This paper studies how industry peers’ stock prices respond when another firm in the industry is acquired by a foreign firm. The average stock price reactions of industry peers in horizontal foreign a... (13 downloads; 129 views)
Rationalizable Outcome Distributions: A Markov Characterization (pages: 42) Rafael Veiel Olivier Gossner (2022-10-20) We show that rationalizability in a finite game of incomplete information can be represented through a finite automaton. Furthermore for every information structure there exists a Markovian informatio... (10 downloads; 49 views)
Curb Your Climate Enthusiasm: The Effect of Right-Wing Populism on Climate Policy across the European Union (pages: 38) Vlad Surdea-Hernea (2022-10-21) This paper documents the strong negative relationship between support for right-wing populist parties (RWPPs) and domestic levels of climate ambition across the European Union (EU). I show that when R... (8 downloads; 5 views)
Green Investors and Green Transition Efforts: Talk the Talk or Walk the Walk? (pages: 68) Shuang Chen (2022-10-21) Are green investors supporting activities that actually benefit the environment or claim to benefit? I answer this question by testing the relationship between investor decisions and firms substantive... (6 downloads; 7 views)
An Event Study of the Ethereum Transition to Proof-of-Stake (pages: 20) Elie Kapengut Bruce Mizrach (2022-10-13) On September 15 2022 the Ethereum network adopted a proof-of-stake (PoS) consensus mechanism. We study the impact on the network and competing platforms in a short event window around the Beacon chain... (4 downloads; 24 views)
Endogenous Offer Arrival in the Market for Lemons (pages: 86) Cyrus Aghamolla Tadashi Hashimoto (2022-10-26) We allow buyers to choose the timing of offers in a dynamic adverse selection model with a single seller. Buyers have private information and can delay their one-time private offers to learn from othe... (3 downloads; 3 views)
A System of Semiparametric Time-Varying Models for Predictive Regressions (pages: 48) Deshui Yu Yayi Yan (2021-04-15) This paper proposes a system of semiparametric time-varying models for predictive regressions where a locally stationary time-varying autoregressive (TV-AR) process is introduced to model the dynamics... (2 downloads; 0 views)
Media Abnormal Tone and Cross-Section of Stock Returns: Evidence from China (pages: 35) Yong Ma Lu Yan Chang-Shuai Li Guohao Tang (2022-03-07) This paper measures the media abnormal tone based on novel textual data in China and investigates its predictive power in cross-sectional stock returns. We observe that firms with high media abnormal ... (2 downloads; 4 views)
Anxiety in Returns (pages: 29) Uta Pigorsch Sebastian Schäfer (2022-10-06) We provide empirical evidence that risk-averse investors avoid stocks with signs of increasing uncertainty missing 1.02 percentage points in next-month returns. The observed effect counteracts short-t... (2 downloads; 2 views)
Voting with time commitment for decentralized governance: Bond voting as a Sybil-resistant mechanism (pages: 24) Vijay Mohan Peyman Khezr Chris Berg (2022-10-27) Blockchain applications are increasingly experimenting with novel governance mechanisms that address issues that are important for their community: resistance to voter fraud in the form a Sybil attack... (1 downloads; 4 views)
NFTs and Crypto Art Marketplaces: New Risks for Investors and Financial Markets? (pages: 15) Allegra Canepa Andrea Visconti Kaushal Arvindbhai Shah (2022-10-26) The art market is undergoing transformations that affect not only operators market dynamics and users but also the design of the goods and the possibility of creating entirely digital works and market... (1 downloads; 6 views)
Information Linkages in a Financial Market with Imperfect Competition (pages: 41) Youcheng Lou Yaqing Yang (2022-10-25) This study proposes a tractable imperfectly competitive economy where traders are socially connected with each other via an information network. We investigate the impact of information linkages on ma... (1 downloads; 2 views)
The Effects of Collective Challenge Common Purpose Social Solidarity and Sustained Interaction in Participation in the 411-212 Movements in Jakarta’s Governor Election (pages: ) Eri Hidayat (2021-06-26) This study aims to analyze the effects of collective challenge common purpose social solidarity and sustained interaction on participation in the so called ‘411-212’ movements against the incumbent go... (1 downloads; views)
Dividend Payout Policy and Global Financial Crisis: A Study on Asian Non-Financial Listed Companies Hooi-Laing Boo and Tze-Haw Chan ... This study assesses the dividend payout options of non-financial firms listed on the stock exchanges in four Asian countries: Malaysia Thailand Singapore and Hong Kong from 2006–2016. Multinomial logi... Asian Economic and Financial Review 2022 vol. 12 issue 10 848-863 (0.74 score)
The Relationship between the Age of Menarche and Premarital Sexual Behaviors of Adolescence and Young Adults in Indonesia: Analysis on Survey Data of Indonesian Adolescencets’ Reproductive Health in 2012 Nuraliah Nuraliah Nuraliah Nuraliah: Master of Public Health ... One crucial period of woman’s development period is when the age of puberty is begun indicated by menarche. The age of menarche might be related to a certain sexual that one having earlier menarche is... European Journal of Natural Scinces and Medicine Articles 2022 vol. 5 (0.73 score)
Applying Updating and Comparing Bankruptcy Forecasting Models. The Case of Greece Nikolaos Daskalakis Nikolaos Aggelakis and John Filos Nikola... Research Question - This study examines whether bankruptcy prediction models work well during recessionary periods on an advanced economy and how their results can be improved via a methodological app... Journal of Accounting and Management Information Systems 2022 vol. 21 issue 3 335-354 (0.71 score)
Pronóstico del tipo de cambio empleando algoritmos de aprendizaje profundo: el caso del dólar de Estados Unidos (USD) respecto al peso mexicano (MXN) Alfredo Yasberth Pérez-Frías Ana Lorena Jiménez-Preciado Alf... Se presenta un análisis del pronóstico el tipo de cambio peso mexicano/dólar estadounidense (MXN/USD) utilizando datos diarios. Desarrollamos tres modelos para el pronóstico: 1) Redes Neuronales Recur... Revista de Investigación en Ciencias Contables y Administrativas 2022 vol. 7 issue 2 17-37 (0.69 score)
Putting People First: Beyond COVID-19 Jean-Paul Fitoussi Khalid Malik Jill Rubery and Robert Skidelsk... The global pandemic is bringing all the issues that torment the modern world to boiling-point: inequality job scarcity ecological transformation mass migration artificial intelligence and the uncontro... SciencePo Working papers from HAL (0.64 score)
Analysis on the Next Generation of Artificial Intelligence Development Plan and Digital Financial Inclusion: Evidence from China Aili Zhang and Xinyu Sun... In 2017 the State Council of China released the Next Generation Artificial Intelligence Development Plan in order to seize the opportunity to develop artificial intelligence. Based on a panel dataset ... Journal of Applied Finance & Banking 2022 vol. 12 issue 6 1 (0.62 score)
Predicting Bitcoin Prices via Machine Learning and Time Series Models Yu-Min Lian Jia-Ling Chen and Hsueh-Chien Cheng... In this study we predict Bitcoin price trends using the back propagation neural network (BPNN) autoregressive integrated moving average (ARIMA) and generalized autoregressive conditional heteroscedast... Journal of Applied Finance & Banking 2022 vol. 12 issue 5 2 (0.62 score)
Non-Financial Disclosure and Economic Performance of Top Italian Listed Banks Annalisa Baldissera... This study aims to analyze the relationships between the economic performance of Italian listed banks and their GRI disclosure (GRID) understood as the level of disclosure of their non-financial repor... Advances in Management and Applied Economics 2022 vol. 12 issue 6 2 (0.62 score)
Review of Data Science for Supply Chain Forecasting Nicolas Vandeput... Vandeput briefly reviews the 2nd edition of this book. Copyright International Institute of Forecasters 2022... Foresight: The International Journal of Applied Forecasting 2022 issue 67 27-27 (0.61 score)
Amplitude-Based Time Series Data Clustering Method Yukari Shirota and Basabi Chakraborty... In the paper we propose an amplitude-based time series data clustering method. When we analyze the trend index movement in economy shape-based clustering does not work well because the standardization... Gakushuin Economic Papers 2022 vol. 59 issue 2 127-140 (0.61 score)
Timely Estimates of the Monthly Mexican Economic Activity Corona Francisco López-Pérez Jesús López-Pérez Jesús: Instit... In this article we present a new approach based on dynamic factor models (DFMs) to perform accurate nowcasts for the percentage annual variation of the Mexican Global Economic Activity Indicator (IGAE... Journal of Official Statistics 2022 vol. 38 issue 3 733-765 (0.55 score)
Economic Nowcasting with Long Short-Term Memory Artificial Neural Networks (LSTM) Hopp Daniel Hopp Daniel: UNCTAD E-9042 Palais des Nations 121... Artificial neural networks (ANNs) have been the catalyst to numerous advances in a variety of fields and disciplines in recent years. Their impact on economics however has been comparatively muted. On... Journal of Official Statistics 2022 vol. 38 issue 3 847-873 (0.55 score)
I modelli predittivi della crisi e dell?insolvenza aziendale. Una systematic review Luca Ianni Gianluca Marullo Stefania Migliori and Francesco De... In January 2019 the Italian government approved the corporate insolvency law reform henceforth the Code of Crisis (CCI). This law reform has brought back to the center of the scientific debate the fin... MANAGEMENT CONTROL 2021 vol. 2021/2 issue 2 127-146 (0.55 score)
Text Classification in Organizational Research – A Hybrid Approach Combining Dictionary Content Analysis and Supervised Machine Learning Techniques Heiko Hossfeld and Martin Wolfslast... Big Data is an emerging field in organizational research as it provides new types of data and technologies like digitization and web scraping allow to study huge amounts of data. Since large parts of ... management revue - Socio-Economic Studies 2022 vol. 33 issue 1 59-81 (0.54 score)
Psychology in Neural Networks – In Honor of Professor Tracy Mott Harpreet Singh Bedi... This paper introduces psychology into neural networks by building a correspondence between the theory of behavioral economics and the theory of artificial neural networks. The connection between these... Review of Behavioral Economics 2022 vol. 9 issue 3 251-262 (0.54 score)
Determinants of cost of equity for listed euro area banks Gabriel Zsurkis... The objective of this paper is to identify the banks’ cost of equity determinants. We rely on a two-step approach. First we estimate the cost of equity (COE) for listed euro area banks through multi-f... Working Papers from Banco de Portugal Economics and Research Department (0.51 score)
A cross-country analysis of the role of service sector in the relationship between CO 2 emissions and economic growth using machine learning techniques C. Karthikeyan and R. Murugesan... The study aims to explore the relationship between CO 2 emissions per capita service sector share in GDP and GDP per capita using decision tree and multiple ridge and lasso regression techniques on cr... International Journal of Sustainable Economy 2022 vol. 14 issue 4 399-410 (0.5 score)
Container freight rate level forecasting with machine learning methods Yaling Feng... In an ocean container transportation market the fluctuation of spot rate is volatile making it difficult for market players to optimise freight related operations. This paper applies an multivariant a... International Journal of Business Performance and Supply Chain Modelling 2022 vol. 13 issue 3 245-263 (0.5 score)
Artificial Intelligence Ethics and Intergenerational Responsibility Victor Klockmann Alicia von Schenk and Marie Villeval Victor... In the future artificially intelligent algorithms will make more and more decisions on behalf of humans that involve humans social preferences. They can learn these preferences through the repeated ob... Post-Print from HAL (0.49 score)
Religiosity at the Top and Annual Report Readability Toufiq Nazrul Adam Esplin Kevin E. Dow and David M. Folsom ... This paper examines how individual religiosity at the top level of organizations affects the quality of their disclosure practices as measured by the readability of annual reports. Our paper extends t... JRFM 2022 vol. 15 issue 10 1-19 (0.47 score)
Exponential Stability of Switched Neural Networks with Partial State Reset and Time-Varying Delays Han Pan Wenbing Zhang and Luyang Yu Han Pan: School of Math... This paper mainly investigates the exponential stability of switched neural networks (SNNs) with partial state reset and time-varying delays in which partial state reset means that only a fraction of ... Mathematics 2022 vol. 10 issue 20 1-20 (0.47 score)
Modelling Cultural and Socio-Economic Dimensions of Political Bias in German Tweets Aishwarya Anegundi Konstantin Schulz Christian Rauh and Georg R... We introduce a new bi-dimensional classification scheme for political bias. In particular we collaborate with political scientists and identify two important aspects: cultural and socioeconomic positi... EconStor Open Access Articles and Book Chapters 2022 29-40 (0.47 score)
Entropy-Randomized Clustering Yuri S. Popkov Yuri A. Dubnov and Alexey Yu. Popkov Yuri S. ... This paper proposes a clustering method based on a randomized representation of an ensemble of possible clusters with a probability distribution. The concept of a cluster indicator is introduced as th... Mathematics 2022 vol. 10 issue 19 1-15 (0.47 score)
Factor-Based Investing in Market Cycles: Fama–French Five-Factor Model of Market Interest Rate and Market Sentiment Yu-Shang Kuo and Jen-Tsung Huang Yu-Shang Kuo: Department of... This study explores risk–reward patterns in the US stock market and establishes optimal factor-based investing using the Fama–French five-factor model through market cycles constructed by Shiller’s in... JRFM 2022 vol. 15 issue 10 1-25 (0.47 score)
Evidential Strategies in Financial Statement Analysis: A Corpus Linguistic Text Mining Approach to Bankruptcy Prediction Tobias Nießner Daniel H. Gross and Matthias Schumann Tobias ... The qualitative information of companies financial statements provides useful information that can increase the accuracy of bankruptcy prediction models. In this research a dataset of 924903 financial... JRFM 2022 vol. 15 issue 10 1-16 (0.47 score)
Clustering and Modelling of the Top 30 Cryptocurrency Prices Using Dynamic Time Warping and Machine Learning Methods Tomáš Šťastný Jiří Koudelka Tomáš Šťastný: Faculty of Inform... Cryptocurrencies are a new field of investment opportunities that has experienced a significant growth in the last decade. The crypto market was capitalized at more than USD 3000 bn having grown from ... Mathematics 2022 vol. 10 issue 19 1-25 (0.47 score)
Fast inference methods for high-dimensional factor copulas Verhoijsen Alex and Krupskiy Pavel Krupskiy Pavel: School of... Gaussian factor models allow the statistician to capture multivariate dependence between variables. However they are computationally cumbersome in high dimensions and are not able to capture multivari... Dependence Modeling 2022 vol. 10 issue 1 270-289 (0.38 score)
Unsupervised consumer intention and sentiment mining from microblogging data as a business intelligence tool Symeon Symeonidis Georgios Peikos Symeon Symeonidis: Democri... Abstract The present study aims to create a framework that analyses user posts related to a product of interest on social networking platforms. More precisely by applying information mining techniques... Operational Research 2022 vol. 22 issue 5 No 43 6007-6036 (0.26 score)
Learning from revisions: an algorithm to detect errors in banks’ balance sheet statistical reporting Francesco Cusano Giuseppe Marinelli and Stefano Piermattei ... Abstract Ensuring and disseminating high-quality data is crucial for central banks to adequately support monetary analysis and the related decision-making processes. In this paper we develop a new mac... Quality & Quantity: International Journal of Methodology 2022 vol. 56 issue 6 No 7 4025-4059 (0.26 score)
Boosted Tree Ensembles for Artificial Intelligence Based Automated Valuation Models (AI-AVM) Tien Foo Sing Jesse Jingye Yang Tien Foo Sing: National Univ... Abstract This paper develops an artificial intelligence based automated valuation model (AI-AVM) using the boosting tree ensemble technique to predict housing prices in Singapore. We use more than 300... The Journal of Real Estate Finance and Economics 2022 vol. 65 issue 4 No 5 649-674 (0.26 score)
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