October 1st 2022

The AI in Finance conference truly looks amazing this year, it will not disappoint, go check out the workshops and papers that will be presented. They have virtual registrations at $100 a pop.
Systematic Pricing and Trading of Municipal Bonds (slides). Announcement from H&T starting an ml in finance reading room and central research repository. Many other interesting links down below.


Option-Based Intermediary Leverage (pages: ) Thomas Grünthaler Friedrich Lorenz Paul Meyerhof (2020-11-19) We introduce a new proxy for the health of financial intermediaries-the Leverage Bearing Capacity (LBC). LBC is the leverage of a fictitious intermediary that targets a fixed level of risk and rebalan... (1131 downloads; views)
Higher-Moment Risk (pages: 69) Niels Joachim Gormsen Christian Skov Jensen (2017-11-15) We study time-variation in the shape of the distribution of stock returns. In a global sample covering 17 countries returns are more left-skewed and fat tailed during good times than during bad times ... (1037 downloads; 5296 views)
Order Exposure in High Frequency Markets (pages: 54) Bidisha Chakrabarty Terrence Hendershott Samarpan Nawn Roberto Pa (2017-11-21) We study the order exposure choice of various trader types in high-speed markets. Using message-level data to identify algorithmic (ATs) and non-algorithmic traders (NATs) we examine how technological... (341 downloads; 1971 views)
What Happens after Stock Price Crashes? (pages: ) Suvra Roy Ben R. Marshall Harvey Nguyen Nuttawat Visaltanachoti (2022-06-06) Numerous researchers study stock price crashes but most of this work focuses on the causes of crashes rather than their consequences. We consider the impact of crashes on a broad range of stakeholders... (302 downloads; views)
Localized Information Acquisition (pages: 72) Stephan Hollander Robin Litjens (2020-11-02) This study identifies previously undocumented geography-related diversity in investors’ information acquisition behavior ahead of days with scheduled earnings announcements. IP geo-localization of the... (260 downloads; 1381 views)
Retail Option Traders and the Implied Volatility Surface (pages: 48) Gregory W. Eaton T. Clifton Green Brian Roseman Yanbin Wu (2022-05-11) Retail investors dominate option trading in recent years. Individuals are net purchasers of options particularly call short-dated and out-of-the-money options although they tend to write long-dated pu... (226 downloads; 623 views)
Does Option Trading Affect Audit Pricing? (pages: 71) Muhammad Jahangir Ali Balasingham Balachandran Huu Nhan Duong Pre (2018-10-31) We examine the impact of options trading on audit pricing for a sample of US firms over the period from 2004 to 2016. We find that option trading is significantly and negatively related to audit fees ... (169 downloads; 2045 views)
Customers as Friendly Shareholders: Uncovering the Complex Mutual Fund-Broker Relationship (pages: 69) Nitish Kumar Yuehua Tang Kelsey D. Wei (2020-11-23) This paper examines mutual funds’ dual role as both clients and shareholders of broker banks. Mutual funds are more likely to hold and significantly overweight stocks of their broker banks. In line wi... (163 downloads; 913 views)
Cryptocurrency Mining Pools Concentration and Asset Prices (pages: 56) Bikramaditya Datta Idan Hodor (2021-08-09) This paper introduces mining pools concentration into a dynamic asset pricing equilibrium. Our theory builds on the intuitive yet novel insight that modeling competition requires that mining pools cle... (161 downloads; 1014 views)
Data Is All You Need: Revert the Return Predictability of Technical Indicators (pages: 38) Yang Bai (2022-03-09) Goyal Welch and Zafirov (2021) document the inconsistent performance of the technical indicators (Neely Rapach Tu and Zhou 2014). Via extending the US data backward by a hundred years to March 1827 fo... (157 downloads; 575 views)
Insider Networks (pages: 39) Selman Erol Michael Lee (2018-06-20) How do insiders respond to regulatory oversight on transmissions? History suggests that they form more sophisticated networks to circumvent regulation. We develop a theory of the formation and regulat... (135 downloads; 1312 views)
Carbon Risk Premium and Worries about Climate Change (pages: 34) Caterina Santi Angelo Moretti (2021-10-18) This paper sheds light on the impact of public attitudes towards climate change on the pricing of emission (carbon-intensive) and clean (low-emission) stocks. We develop a regional indicator of worrie... (131 downloads; 529 views)
Barking Up The Wrong Tree: Return-chasing in 401(k) Plans (pages: 65) Anh Tran Pingle Wang (2020-01-05) This paper examines investors retirement savings allocation using a hand-collected dataset on 401(k) plans. We find that 83% of investors in our sample hold only 39% of total assets and follow a retur... (124 downloads; 1380 views)
Estimation of heuristic switching in behavioral macroeconomic models (pages: 28) Jiri Kukacka Stephen Sacht (2021-03-22) This paper addresses the issue of empirical validation of macroeconomic models with behavioral heuristics and a nonlinear switching mechanism. Heuristic switching is an important feature of modeling s... (120 downloads; 582 views)
Digesting Three-Factor Model by XGBoost and SHAP (pages: 36) Weige Huang (2021-03-16) This paper digests three-factor model by exploring the average impacts of factors on portfolio returns and how factors interact with each other. To do this we use SHapley Additive exPlanations method ... (111 downloads; 403 views)
Agency Costs and Investor Response to Municipal Bond Ratings (pages: 58) Amanda Beck Linda M. Parsons Trevor Sorensen (2020-09-14) Municipal bond investors consider bond ratings assigned by credit rating agencies (CRAs) when making investment decisions. Investors also evaluate other public information which may indicate a differe... (100 downloads; 781 views)
International Capital Markets and Wealth Transfers (pages: 60) Magnus Dahlquist Christian Heyerdahl-Larsen Anna Pavlova Julien P (2022-04-27) In periods of global stress there are large movements in exchange rates and assets prices. Currencies of developed economies appreciate with the US dollar appreciating the most. Global stock markets f... (87 downloads; 294 views)
Investor Sentiment and Global Economic Conditions (pages: 38) Miguel C. Herculano Eva Luetkebohmert (2021-02-18) We study cross-country spillovers of investor sentiment which we measure as the common component of firm-level stock returns that are driven by pure discount rate news (i.e. unrelated with cash-flow n... (83 downloads; 442 views)
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)
On Robustness of Double Linear Trading with Transaction Costs (Score: 0.75) Chung-Han Hsieh (2022-09-26) A trading system is said to be {robust} if it generates a robust return regardless of market direction. To this end, a consistently positive expected trading gain is often used as a robustness metric ... (2 posts; 2 tweeters)
NFTs: The Game is Afoot (Score: 0.75) Bernhard K Meister, Henry CW Price (2022-09-20) On the blockchain, NFT games have risen in popularity, spawning new types of digital assets. We present a simplified version of well-known NFT games, followed by a discussion of issues influencing the... (3 posts; 3 tweeters)
Chaotic Hedging with Iterated Integrals and Neural Networks (Score: 0.75) Ariel Neufeld, Philipp Schmocker (2022-09-21) In this paper, we extend the Wiener-Ito chaos decomposition to the class of diffusion processes, whose drift and diffusion coefficient are of linear growth. By omitting the orthogonality in the chaos ... (3 posts; 3 tweeters)
A unifying view on the irreversible investment exercise boundary... (Score: 0.75) Maria B. Chiarolla (2022-09-20) This paper studies the investment exercise boundary erasing in a stochastic, continuous time capacity expansion problem with irreversible investment on the finite time interval $[0, T]$ and a state de... (12 posts; 3 tweeters)
Robust Causal Learning for the Estimation of Average Treatment Effects (Score: 0.75) Yiyan Huang, Cheuk Hang Leung, Xing Yan, Qi Wu, Shumin Ma, Zhiri (2022-09-05) Many practical decision-making problems in economics and healthcare seek to estimate the average treatment effect (ATE) from observational data. The Double/Debiased Machine Learning (DML) is one of th... (7 posts; 3 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)
Inter-order relations between moments of a Student $t$... (Score: 0.5) Valeria Bignozzi, Luca Merlo, Lea Petrella (2022-09-26) This paper introduces inter-order formulas for partial and complete moments of a Student $t$ distribution with $n$ degrees of freedom. We show how the partial moment of order $n - j$ about any real va... (5 posts; 2 tweeters)
Two-stage Modeling for Prediction with Confidence (Score: 0.5) Dangxing Chen (2022-09-19) The use of neural networks has been very successful in a wide variety of applications. However, it has recently been observed that it is difficult to generalize the performance of neural networks unde... (2 posts; 2 tweeters)
Learning Value-at-Risk and Expected Shortfall (Score: 0.5) D Barrera, S Crépey, E Gobet, Hoang-Dung Nguyen, B Saadeddine (2022-09-14) We propose a non-asymptotic convergence analysis of a two-step approach to learn a conditional value-at-risk (VaR) and expected shortfall (ES) in a nonparametric setting using Rademacher and Vapnik-Ch... (2 posts; 2 tweeters)
VToonify: Controllable High-Resolution Portrait Video Style Transfer (Score: 120.19999999999978) Shuai Yang, Liming Jiang, Ziwei Liu, Chen Change Loy (2022-09-22) Generating high-quality artistic portrait videos is an important and desirable task in computer graphics and vision. Although a series of successful portrait image toonification models built upon the ... (169 posts; 163 tweeters)
Poisson Flow Generative Models (Score: 98.69999999999992) Yilun Xu, Ziming Liu, Max Tegmark, Tommi Jaakkola (2022-09-22) We propose a new "Poisson flow" generative model (PFGM) that maps a uniform distribution on a high-dimensional hemisphere into any data distribution. We interpret the data points as electrical charges... (178 posts; 161 tweeters)
GET3D: A Generative Model of High Quality 3D Textured Shapes... (Score: 72.95) Jun Gao, Tianchang Shen, Zian Wang, Wenzheng Chen, Kangxue Yin, D (2022-09-22) As several industries are moving towards modeling massive 3D virtual worlds, the need for content creation tools that can scale in terms of the quantity, quality, and diversity of 3D content is becomi... (105 posts; 103 tweeters)
Hydra Attention: Efficient Attention with Many Heads (Score: 45.45) Daniel Bolya, Cheng-Yang Fu, Xiaoliang Dai, Peizhao Zhang, Judy H (2022-09-15) While transformers have begun to dominate many tasks in vision, applying them to large images is still computationally difficult. A large reason for this is that self-attention scales quadratically wi... (84 posts; 81 tweeters)
A Generalist Neural Algorithmic Learner (Score: 42.65) Borja Ibarz, Vitaly Kurin, George Papamakarios, Kyriacos Nikiforo (2022-09-22) The cornerstone of neural algorithmic reasoning is the ability to solve algorithmic tasks, especially in a way that generalises out of distribution. While recent years have seen a surge in methodologi... (96 posts; 81 tweeters)
Random initialisations performing above chance and how to find them (Score: 25.00) Frederik Benzing, Simon Schug, Robert Meier, Johannes von Oswald, (2022-09-15) Neural networks trained with stochastic gradient descent (SGD) starting from different random initialisations typically find functionally very similar solutions, raising the question of whether there ... (45 posts; 40 tweeters)
Text-Free Learning of a Natural Language Interface for Pretrained... (Score: 23.45) Xiaodan Du, Raymond A. Yeh, Nicholas Kolkin, Eli Shechtman, Greg (2022-09-08) We propose Fast text2StyleGAN, a natural language interface that adapts pre-trained GANs for text-guided human face synthesis. Leveraging the recent advances in Contrastive Language-Image Pre-training... (48 posts; 45 tweeters)
Sampling is as easy as learning the score: theory for diffusion models with minimal data assumptions (Score: 22.55) Sitan Chen, Sinho Chewi, Jerry Li, Yuanzhi Li, Adil Salim, Anru R (2022-09-22) We provide theoretical convergence guarantees for score-based generative models (SGMs) such as denoising diffusion probabilistic models (DDPMs), which constitute the backbone of large-scale real-world... (43 posts; 42 tweeters)
Text2Light: Zero-Shot Text-Driven HDR Panorama Generation (Score: 19.00) Zhaoxi Chen, Guangcong Wang, Ziwei Liu (2022-09-20) High-quality HDRIs(High Dynamic Range Images), typically HDR panoramas, are one of the most popular ways to create photorealistic lighting and 360-degree reflections of 3D scenes in graphics. Given th... (34 posts; 32 tweeters)
Test-Time Training with Masked Autoencoders (Score: 19.049) Yossi Gandelsman, Yu Sun, Xinlei Chen, Alexei A. Efros (2022-09-15) Test-time training adapts to a new test distribution on the fly by optimizing a model for each test input using self-supervision. In this paper, we use masked autoencoders for this one-sample learning... (38 posts; 37 tweeters)
Predicting Bankruptcy through Neural Network:Case of PSX Listed Companies Javed Iqbal Furrukh Bashir Javed Iqbal: Assistant Professor ... The paper reconnoiters if logistic regression (LR) and neural network (NN) can estimate bankruptcy for PSX non-financial companies a year aheadof bankruptcy occurrence; particularly it endeavors to ex... iRASD Journal of Management 2022 vol. 4 issue 2 299-315 (0.88 score)
ON SOME ISSUES RELATED TO TRADE STRATEGIES OF DEVELOPING COUNTRIES Mykhaylo Kunychka Mykhaylo Kunychka: Fakulta medzinárodných v... Over the last few decades the individual economies of the world have become increasingly interconnected through investment migration and international trade that has affected the dynamics of their eco... Almanach (Actual Issues in World Economics and Politics) 2022 vol. 17 issue 1 34-51 (0.76 score)
Price Efficiency Bubbles Crashes and Crash Risk: Evidence from Chinese Stock Market Muhammad Usman... When there is bad news hoarding from managers returns of stocks are no longer efficient. We hypothesize that a proxy for efficient returns predicts stock price bubbles crashes and crash risk. We find ... Prague Economic Papers 2022 vol. 2022 issue 3-4 236-258 (0.68 score)
Constrained Optimization in Random Simulation: Efficient Global Optimization and Karush-Kuhn-Tucker Conditions Ebru Angun and Jack Kleijnen... ... No 2022-022 Discussion Paper from Tilburg University Center for Economic Research (0.64 score)
Comparing text corpora via topic modelling Fedor Krasnov Mikhail Shvartsman and Alexander Dimentov... A method is developed for conducting comparative analysis on the content of full text patents collections. Named T4C the approach is based on topic modelling and machine learning and extends comparati... International Journal of Data Mining Modelling and Management 2022 vol. 14 issue 3 203-216 (0.5 score)
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Posted by Guillaume Coqueret (Comments: 0) Health tip alert! Though out of the scope of my usual research, I have just published a paper on physical wellbeing. The question is: what are the determinants of health self-assessment? I gathered... (2022-09-07; Score: 3; Likes: 21)

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Intro dive on Transformers for Time Series Prediction & Classification Article: https://t.co/ppHbtTPHDb Paper: https://t.co/EZ7tcCCC3h Python GitHub: https://t.co/5nR5v5LW52 https://t.co/QXrhsD9ghr - Direct link (tweet) - carlcarrie (24.0; 2022-09-21)
"Analysis of Stock Returns using ‘pyfolio’ [Python library]": "A step-by-step tutorial on how...to perform an in-depth analysis of stock returns and comparing them to a benchmark." https://t.co/JoSPXbjv1A https://t.co/lzQZdoUJHI - Direct link (tweet) - macro_srsv (16.0; 2022-09-05)
Interpretable Machine Learning #eBook https://t.co/IAIOLofpni https://t.co/4Nq5egJNuR - Direct link (tweet) - carlcarrie (20.0; 2022-10-02)
Catch up on this session with Artur Sepp, Head of Systematic Solutions and Portfolio Construction at Sygnum Bank’s Asset Management in Zurich! Watch the full session here >> https://t.co/ofTGBT8teI #QuantMinds https://t.co/CeWwXx4pUa - Direct link (tweet) - QuantMinds (8.0; 2022-09-08)
I apply four quantitative methods for optimal allocation to #Bitcoin cryptocurrency within alternative and balanced portfolios based on metrics of portfolio diversification, expected risk-returns, and skewness of returns distribution https://t.co/S4NyKdTTNJ https://t.co/cnMNznLns0 - Direct link (tweet) - ArturSepp (8.0; 2022-09-13)
Today's reading list: 1. https://t.co/Ed1f5sMZZe 2. https://t.co/zT8CHd5gCY 3. https://t.co/ytxDXjdIii 4. https://t.co/xSQh4dO1PR 5. https://t.co/gENN7YCWJ5 https://t.co/5MCtYtAbw9 - Direct link (tweet) - QuantSymplectic (12.0; 2022-09-07)
might be trivial, but anyone has a quick proof for that? https://t.co/ZnVY8HSjRi - Direct link (tweet) - GautierMarti1 (1.0; 2022-09-17)
"Risk-Based Optimal Portfolio Strategies: A Compendium" presents "5 [risk] families: tail, downside, below-threshold, inter-observations distance and central moment dispersion measures." https://t.co/sOSzbWXDDJ https://t.co/dQe0vLFkXq - Direct link (tweet) - macro_srsv (8.0; 2022-09-20)
SH Fintech Modeling demonstrates how to read historical daily exchange rates using R: https://t.co/JJzhBTiZQG #rstats #DataScience #FinTech https://t.co/ZMQl9B7GIc - Direct link (tweet) - IBKR_QB (2.0; 2022-09-23)
I have been wanting to try this for ages! Combining experiment tracking tools for trading strategies and hyperparameter tuning! Based on Energy futures. Using https://t.co/qmPNsGKN3G https://t.co/YBFDIzP97H - Direct link (tweet) - JacquesQuant (4.0; 2022-09-05)
Last time, we saw how self-organizing maps work. This time, let's see how to implement self-organizing maps for an investment strategy by Alfredo Timermans #DataScience #MachineLearning #investments https://t.co/W3ILVmAW2w - Direct link (tweet) - quantdare (2.0; 2022-09-07)
Quarto looks fantastic for generating reports (and seems to work with Jupyter too)! Will have to download - https://t.co/c37I7JNxIu https://t.co/CX0zjO9R62 - Direct link (tweet) - saeedamenfx (5.0; 2022-09-13)
Ahead of his session at QuantMinds International, Aitor Muguruza Gonzalez, Head of Quantitative Modelling and Data Analytics at Kaiju Capital Management, joins us to summarise the research on which his session will be based. Read the full article: https://t.co/W3j21mlxT6 - Direct link (tweet) - QuantMinds (3.0; 2022-09-28)
New research: Significant momentum and reversal dependencies on short-term performance - https://t.co/4d9BmRnRyp https://t.co/ljzs9ubCa6 - Direct link (tweet) - irenealdridge (2.0; 2022-09-13)
Join the Hudson and Thames reading group and second brain. We lift the cognitive load by keeping you informed on the very latest in financial machine learning with lectures, Mary's Room (Second Brain), and a community. https://t.co/0pMvYDaUSV - Direct link (tweet) - JacquesQuant (2.0; 2022-09-19)
Look-through hedging seeks to reduce transaction costs by hedging directly between the Share Classes and the Fund’s underlying assets by Clara Díaz-Pinés #DataScience #assetmanagement #Finance https://t.co/FV8VpdfaH3 - Direct link (tweet) - quantdare (1.0; 2022-09-28)
Web Scraping with Python – A Step by Step Guide https://t.co/no7wWFvDKn https://t.co/Wzh1PHIfxO - Direct link (tweet) - fullstackpython (20.0; 2022-09-28)
Very legit way to do it: "How I deploy my bootstrapped Python webapp with 150k monthly users " https://t.co/0bJ2oAYWZx https://t.co/KlqxCwD5Vm - Direct link (tweet) - fullstackpython (14.0; 2022-09-27)
Inflation and Attention Thresholds https://t.co/rmfh7g7Jiz #QuantLinkADay https://t.co/Liga1XqpGh - Direct link (tweet) - saeedamenfx (1.0; 2022-09-30)
Metaprogramming in Python https://t.co/YbPwulTQma - Direct link (tweet) - PythonHub (6.0; 2022-09-21)
Join a list with a bitwise or operator in Python Use `functools.reduce(operators.or_, my_list)` to join `my_list` with a bitwise ... https://t.co/o5jRl4WLS8 - Direct link (tweet) - PythonHub (1.0; 2022-09-28)
Archival of the September Abu Dhabi Machine Learning Meetup with slides and video: https://t.co/644BTKxJqH - Direct link (tweet) - GautierMarti1 (0.0; 2022-10-02)
SH Fintech Modeling demonstrates the logistic regression concept and provides R code for the estimation of its parameters: https://t.co/zlWnxczHY6 #rstats #DataScience #FinTech https://t.co/LuaDAInX3T - Direct link (tweet) - IBKR_QB (0.0; 2022-10-01)
After a crazy-busy sailing summer, I am getting back into writing (about #AI, of course): https://t.co/UiFZiSqy9j #fintwit #fintwitter - Direct link (tweet) - irenealdridge (0.0; 2022-09-15)
This was a great talk from @freakonometrics and I recommend reading the slides if you are interested in fairness and discrimination in insurance pricing: Convention A, ASTIN-IAA session https://t.co/FBEL0rCot7 - Direct link (tweet) - RichmanRonald (0.0; 2022-09-23)

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Reflections from a senior quant (Upvotes: 133) Quant; 2022-09-19 (Upvote Ratio: 0.99)
YoHa: A practical hand tracking engine. (r/MachineLearning) (Upvotes: 74) Datascienceproject; 2022-09-19 (Upvote Ratio: 0.98)
Any examples ? (Upvotes: 508) Algotrading; 2022-09-15 (Upvote Ratio: 0.97)
Python Exchange Simulator (Upvotes: 47) Quant; 2022-09-20 (Upvote Ratio: 0.96)