---
title: Quant Letter No. 3: June 2023, Week 1
url: https://www.ml-quant.com/issues/2023-06-07/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
issue_date: 2023-06-07
---


# Quant Letter No. 3: June 2023, Week 1

Sent 2023-06-07. 130 items.

## arXiv

### Finance

- __[Advances in Index Tracking](http://dx.doi.org/10.1093/imaman/dpad007)__: Passive management seeks practical solutions for tracking portfolios using metaheuristics. (2023-06-02, shares: 7) · https://www.ml-quant.com/papers/doi/10-1093-imaman-dpad007/
- __[Optimal Market Making in China](https://arxiv.org/abs/2306.02764)__: An optimal market making framework is used to analyze the Chinese stock market. (2023-06-05, shares: 5) · https://www.ml-quant.com/papers/arxiv/2306.02764/
- __[Cost of Misspecifying Prices](https://arxiv.org/abs/2306.00599)__: Misspecification costs of portfolio managers' orders are asymmetric. (2023-06-01, shares: 4) · https://www.ml-quant.com/papers/arxiv/2306.00599/
- __[Explaining AI in Finance](https://arxiv.org/abs/2306.02773)__: Explainable AI is important in finance and further research is needed. (2023-06-05, shares: 3) · https://www.ml-quant.com/papers/arxiv/2306.02773/
- __[Memory in Volatility Modeling](https://arxiv.org/abs/2306.02708)__: A new theoretical framework transforms a stochastic process for volatility modeling. (2023-06-05, shares: 3) · https://www.ml-quant.com/papers/arxiv/2306.02708/
- __[FinBERT for Market Movement](https://arxiv.org/abs/2306.02136)__: LSTM-based neural network predicts market movement using sentiment analysis. (2023-06-03, shares: 3) · https://www.ml-quant.com/papers/arxiv/2306.02136/
- __[Dynamic Persistence](https://arxiv.org/abs/2306.01511)__: Model proposed for smoothly varying heterogeneous persistence of economic data. (2023-06-02, shares: 3) · https://www.ml-quant.com/papers/arxiv/2306.01511/
- __[Optimal Execution](https://arxiv.org/abs/2306.00621)__: Price impact model based on order flow in the market. (2023-06-01, shares: 2) · https://www.ml-quant.com/papers/arxiv/2306.00621/
- __[Ergodicity Economics](https://arxiv.org/abs/2306.03275)__: Ergodicity economics criticized for lack of falsifiable implications. (2023-06-05, shares: 2) · https://www.ml-quant.com/papers/arxiv/2306.03275/
- __[Parametric Swing Pricing](https://arxiv.org/abs/2306.03822)__: Two parametric approaches to price swing contracts with firm constraints provide better prices. (2023-06-06, shares: 2) · https://www.ml-quant.com/papers/arxiv/2306.03822/

### Economics

- __[Business Cycles](https://arxiv.org/abs/2306.01552)__: Flexible labor markets lead to cyclical unemployment rates in line with Friedman's plucking theory. Output recoveries differ across countries and sectors, with construction-driven recessions being more persistent. (2023-06-02, shares: 2) · https://www.ml-quant.com/papers/arxiv/2306.01552/
- __[Inflation & Monetary Policy](https://arxiv.org/abs/2306.01284)__: A new modelling approach using the Mark-0 Agent-Based Model explores the impact of regulatory policies on inflationary dynamics resulting from COVID-19-related shocks. (2023-06-02, shares: 2) · https://www.ml-quant.com/papers/arxiv/2306.01284/
- __[Life After Default](https://arxiv.org/abs/2306.00574)__: Soft credit default has substantial and long-lasting negative effects on credit score, total credit limit, home-ownership status, and income, up to ten years after the event. (2023-06-01, shares: 2) · https://www.ml-quant.com/papers/arxiv/2306.00574/
- __[Energy and Economic Valuation](https://arxiv.org/abs/2306.02328)__: Energy cost has a clear correlation with market prices of 65 purified chemical elements, serving as the 'invisible hand' governing economic valuation. (2023-06-04, shares: 3) · https://www.ml-quant.com/papers/arxiv/2306.02328/
- __[Big Tech's Online Speech Grip](https://arxiv.org/abs/2306.02874)__: Centralized control over online speech by select platforms has consequences for society's unpopular members, and market expansion and segmentation are proposed as an alternate pathway to avoid regulation. (2023-06-05, shares: 2) · https://www.ml-quant.com/papers/arxiv/2306.02874/
- __[Internet Immunity Reform](https://arxiv.org/abs/2306.02875)__: The Supreme Court may change Section 230 of the Communications Decency Act, which provides online entities with absolute immunity from lawsuits related to third-party content. (2023-06-05, shares: 2) · https://www.ml-quant.com/papers/arxiv/2306.02875/

### Miscellaneous

- __[Citation Inflation and Disruption Index](https://arxiv.org/abs/2306.01949)__: Scientific publications and patents are not becoming less disruptive over time, but rather the reported decrease in disruptiveness is due to systematic shifts in citation networks. (2023-06-03, shares: 5) · https://www.ml-quant.com/papers/arxiv/2306.01949/
- __[Functional Input Neural Networks for Global Approximation](https://arxiv.org/abs/2306.03303)__: Functional input neural networks can be used for uncertainty quantification in signature kernel regression. (2023-06-06, shares: 4) · https://www.ml-quant.com/papers/arxiv/2306.03303/
- __[Online and Adaptive Factor Model with HireVAE](https://arxiv.org/abs/2306.02848)__: HireVAE is a deep learning-based model that outperforms previous methods in terms of active returns in stock market benchmarks. (2023-06-05, shares: 4) · https://www.ml-quant.com/papers/arxiv/2306.02848/

### Crypto & Blockchain

- __[Decentralized Governance with Blockchain](https://arxiv.org/abs/2306.00869)__: Article 1 suggests a new crowdfunding model using digital tokens and decentralized co-governance for MSMEs and innovative projects. (2023-06-01, shares: 5) · https://www.ml-quant.com/papers/arxiv/2306.00869/
- __[Twitter's Role in Crypto Manipulation](https://arxiv.org/abs/2306.02148?utm_source=dlvr.it&utm_medium=twitter)__: Article 2 shows that Twitter promotion leads to significant losses for investors in cryptocurrency pump-and-dump events. (2023-06-03, shares: 4) · https://www.ml-quant.com/papers/arxiv/2306.02148/

### Historical Trending

- __[Business Cycle Synchronization](https://arxiv.org/abs/2002.06555)__: Business cycles are driven by non-linear dynamics, generating stronger comovement across countries, according to a new study. (2020-02-16, shares: 101) · https://www.ml-quant.com/papers/arxiv/2002.06555/
- __[Denise: Deep Learning for PCA](https://arxiv.org/abs/2004.13612)__: Deep Learning for PCA: Researchers have developed Denise, a deep learning-based algorithm for robust principal component analysis of covariance matrices, which is 2000 times faster than the current state-of-the-art method. (2020-04-28, shares: 34) · https://www.ml-quant.com/papers/arxiv/2004.13612/
- __[BidAsk Spread Dynamics with SDSH](https://arxiv.org/abs/2303.02038)__: A new State-dependent Spread Hawkes model has been proposed to forecast spread values in financial securities, incorporating the impact of the current spread state on its intensity functions. (2023-03-03, shares: 32) · https://www.ml-quant.com/papers/arxiv/2303.02038/
- __[Common Risk](https://arxiv.org/abs/2208.14267)__: A new risk factor predicts market returns by analyzing upside and downside risks. (2022-08-30, shares: 24) · https://www.ml-quant.com/papers/arxiv/2208.14267/
- __[Volatility Sensitivity](https://arxiv.org/abs/2107.12462)__: The sensitivity of stochastic volatility models is analyzed for market calibration. (2021-07-26, shares: 19) · https://www.ml-quant.com/papers/arxiv/2107.12462/
- __[Consistent Forecasting](https://arxiv.org/abs/2305.08524)__: FinTrust proposes a tool to improve consistency in financial text for forecasting. (2023-05-15, shares: 18) · https://www.ml-quant.com/papers/arxiv/2305.08524/
- __[Robust Temporal Learning](https://arxiv.org/abs/2303.07925v1)__: An incremental learning model for regression tasks on temporal tabular datasets is presented. (2023-03-14, shares: 17) · https://www.ml-quant.com/papers/arxiv/2303.07925/

## SSRN

### Quantitative

- __[Machine Learning for Finance](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4464555)__: Hybrid model combining machine learning and asset-pricing models aids capital structure decisions in finance. (2023-06-01, shares: 33) · https://www.ml-quant.com/papers/ssrn/4464555/
- __[VIX ETPs and SPX Futures](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4470636)__: VIX futures hedging activities can move SPX futures market for reasons unrelated to price discovery. (2023-06-06, shares: 4) · https://www.ml-quant.com/papers/ssrn/4470636/
- __[Optimal Pairs Trading](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4470496)__: Optimal pairs-trading model with costly short-selling can be used to short sell overvalued assets. (2023-06-06, shares: 2) · https://www.ml-quant.com/papers/ssrn/4470496/
- __[Loss Aversion and Implied Volatility](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4471421)__: Loss aversion can explain the stylized facts of implied volatility. (2023-06-07, shares: 3) · https://www.ml-quant.com/papers/ssrn/4471421/
- __[Measuring Transition Risk](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4465908)__: Investment portfolios suffer moderate losses upon materialization of high transition risk scenario, sustainable funds perform better. (2023-06-01, shares: 4) · https://www.ml-quant.com/papers/ssrn/4465908/

### Financial

- __[Machine Learning for Positive Alpha Mutual Fund Selection](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4465371)__: Machine learning can help select mutual fund portfolios with high out-of-sample alphas. (2021-03-16, shares: 1899) · https://www.ml-quant.com/papers/ssrn/4465371/
- __[Goodwill Disclosure Lowers Equity Capital Costs](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4464665)__: Increased corporate disclosure leads to lower cost of equity capital. (2017-02-15, shares: 2892) · https://www.ml-quant.com/papers/ssrn/4464665/
- __[Machine Learning Predicts Bond Liquidity](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4466528)__: Machine learning can forecast bond liquidity in the US corporate bond market. (2020-07-14, shares: 2) · https://www.ml-quant.com/papers/ssrn/4466528/
- __[MBS Valuation with Portfolio Credit Derivatives](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4470293)__: RMBS can be viewed as portfolio credit derivatives. (2009-03-29, shares: 2) · https://www.ml-quant.com/papers/ssrn/4470293/
- __[Sustainable Investment Linking Alpha, ESG, and SDGs](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4467718)__: ESG investing can generate positive alpha and measure a company's SDG footprint. (2020-06-11, shares: 2) · https://www.ml-quant.com/papers/ssrn/4467718/

## RePEc

### Finance

- __[Statistical Modeling of High-Frequency Trading Data](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs13571-022-00280-7%3Bh%3Drepec%3Aspr%3Asankhb%3Av%3A85%3Ay%3A2023%3Ai%3A1%3Ad%3A10.1007_s13571-022-00280-7)__: The paper discusses high-frequency trading strategies and statistical modeling approaches. (2023-06-07, shares: 41) · https://www.ml-quant.com/papers/repec/spr-sankhb-v-85-y-2023-i-1-d-10-1007-s13571-022-00280-7/
- __[Gold as a Zero-Beta Asset in Asset Pricing](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F16%2F3%2F204%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A16%3Ay%3A2023%3Ai%3A3%3Ap%3A204-%3Ad%3A1098335)__: Using gold as a zero-beta asset improves asset pricing models for US equities and industries. (2023-06-07, shares: 29) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-16-y-2023-i-3-p-204-d-1098335/
- __[Oil Volatility Risk Premium and Stock Market Forecasting](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fdoi.org%2F10.1002%2Ffor.2923%3Bh%3Drepec%3Awly%3Ajforec%3Av%3A42%3Ay%3A2023%3Ai%3A4%3Ap%3A872-904)__: The uncertainty-driven oil volatility risk premium predicts international stock market volatility. (2023-06-07, shares: 26) · https://www.ml-quant.com/papers/repec/wly-jforec-v-42-y-2023-i-4-p-872-904/
- __[Volatility Spillovers among BRICS Stock Markets](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fjournals.sagepub.com%2Fdoi%2F10.1177%2F09726527231154100%3Bh%3Drepec%3Asae%3Aemffin%3Av%3A22%3Ay%3A2023%3Ai%3A2%3Ap%3A164-188)__: Own volatility spillover is higher than cross-market spillover among BRICS countries' stock markets. (2023-06-07, shares: 22) · https://www.ml-quant.com/papers/repec/sae-emffin-v-22-y-2023-i-2-p-164-188/
- __[Carry Trade and Equity Market Returns in BRICS Countries](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fmpra.ub.uni-muenchen.de%2F117461%2F1%2FDraft_15402%2520final-pdf.pdf%3Bh%3Drepec%3Apra%3Amprapa%3A117461)__: Dynamic correlations between carry trade and equity markets in BRICS are more pronounced during crises. (2023-06-07, shares: 22) · https://www.ml-quant.com/papers/repec/pra-mprapa-117461/
- __[Binary Regime Models with Jump Discontinuities](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs13571-022-00277-2%3Bh%3Drepec%3Aspr%3Asankhb%3Av%3A85%3Ay%3A2023%3Ai%3A1%3Ad%3A10.1007_s13571-022-00277-2)__: A novel statistical technique for jump detection and volatility estimation in high-frequency data is developed. (2023-06-07, shares: 21) · https://www.ml-quant.com/papers/repec/spr-sankhb-v-85-y-2023-i-1-d-10-1007-s13571-022-00277-2/
- __[Optimal Trading Strategies](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs10614-022-10272-4%3Bh%3Drepec%3Akap%3Acompec%3Av%3A62%3Ay%3A2023%3Ai%3A1%3Ad%3A10.1007_s10614-022-10272-4)__: Paper proposes optimal trading strategies using Heston stochastic volatility framework. (2023-06-07, shares: 21) · https://www.ml-quant.com/papers/repec/kap-compec-v-62-y-2023-i-1-d-10-1007-s10614-022-10272-4/
- __[Portfolio Evaluation](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F11%2F1%2F221%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A11%3Ay%3A2023%3Ai%3A1%3Ap%3A221-%3Ad%3A1022556)__: Novel portfolio evaluation method proposed using distance-based approach. (2023-06-07, shares: 19) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-11-y-2023-i-1-p-221-d-1022556/
- __[Forex Volatility Transmission](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.scienpress.com%2FUpload%2FJAFB%252fVol%252013_3_3.pdf%3Bh%3Drepec%3Aspt%3Aapfiba%3Av%3A13%3Ay%3A2023%3Ai%3A3%3Af%3A13_3_3)__: Study examines volatility transmission in forex market using high-frequency data. (2023-06-07, shares: 19) · https://www.ml-quant.com/papers/repec/spt-apfiba-v-13-y-2023-i-3-f-13-3-3/
- __[Bitcoin Volatility Factors](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fdoi.org%2F10.1002%2Ffor.2930%3Bh%3Drepec%3Awly%3Ajforec%3Av%3A42%3Ay%3A2023%3Ai%3A4%3Ap%3A970-988)__: Study evaluates role of macroeconomic and technical indicators in forecasting Bitcoin volatility. (2023-06-07, shares: 18) · https://www.ml-quant.com/papers/repec/wly-jforec-v-42-y-2023-i-4-p-970-988/
- __[Sign Effects in Forex Markets](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.cairn.info%2Fload_pdf.php%3FID_ARTICLE%3DFINA_PR_018%3Bh%3Drepec%3Acai%3Afinpug%3Afina_pr_018)__: Paper evaluates impact of signed realized semivariances and jumps on exchange rate volatility. (2023-06-07, shares: 16) · https://www.ml-quant.com/papers/repec/cai-finpug-fina-pr-018/
- __[Portfolio Optimization](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs13571-022-00285-2%3Bh%3Drepec%3Aspr%3Asankhb%3Av%3A85%3Ay%3A2023%3Ai%3A1%3Ad%3A10.1007_s13571-022-00285-2)__: RBDO framework developed for portfolio optimization problems. (2023-06-07, shares: 14) · https://www.ml-quant.com/papers/repec/spr-sankhb-v-85-y-2023-i-1-d-10-1007-s13571-022-00285-2/
- __[Central Bank Transparency in Asian Markets](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.cbcg.me%2Frepec%2Fcbk%2Fjournl%2Fvol12no2-6.pdf%3Bh%3Drepec%3Acbk%3Ajournl%3Av%3A12%3Ay%3A2023%3Ai%3A2%3Ap%3A133-163)__: Study examines influence of central bank transparency on exchange rate volatility in Asian emerging markets. (2023-06-07, shares: 14) · https://www.ml-quant.com/papers/repec/cbk-journl-v-12-y-2023-i-2-p-133-163/

### Statistical

- __[Machine Learning for Bitcoin Trading](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fdoi.org%2F10.1002%2Ffor.2922%3Bh%3Drepec%3Awly%3Ajforec%3Av%3A42%3Ay%3A2023%3Ai%3A4%3Ap%3A852-871)__: Machine learning and narrative sentiments used to trade Bitcoin, with gradient boosting framework and time-varying leverage strategy enhancing performance. (2023-06-07, shares: 31) · https://www.ml-quant.com/papers/repec/wly-jforec-v-42-y-2023-i-4-p-852-871/
- __[Heuristic Portfolio Selection](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F11%2F6%2F1513%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A11%3Ay%3A2023%3Ai%3A6%3Ap%3A1513-%3Ad%3A1102706)__: A portfolio formation strategy based on multivariate forecasting model splitting into bivariate models offers better investment performance for large portfolios. (2023-06-07, shares: 17) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-11-y-2023-i-6-p-1513-d-1102706/
- __[Financial Report Tone and Stock Market Volatility](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F11%2F7%2F1591%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A11%3Ay%3A2023%3Ai%3A7%3Ap%3A1591-%3Ad%3A1107077)__: Tone disagreement measure based on financial report tone synchronization used to predict implied volatility indices of stocks. (2023-06-07, shares: 16) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-11-y-2023-i-7-p-1591-d-1107077/

### Machine Learning

- __[Equity Trading and Research Trends](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.elgaronline.com%2Fview%2Fedcoll%2F9781800375321%2F9781800375321.00025.xml%3Bh%3Drepec%3Aelg%3Aeechap%3A20173_16)__: The article discusses equity trading, its history, current trends, and potential areas for future research. (2023-06-07, shares: 18) · https://www.ml-quant.com/papers/repec/elg-eechap-20173-16/
- __[Pricing Commodity Options with Neural Networks](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F16%2F3%2F192%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A16%3Ay%3A2023%3Ai%3A3%3Ap%3A192-%3Ad%3A1094945)__: Multi-layered neural networks used for accurate Bermudan option pricing in commodity markets. (2023-06-07, shares: 29) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-16-y-2023-i-3-p-192-d-1094945/
- __[Hybrid Neural Network for Stock Trading Prediction](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2225-1146%2F11%2F2%2F13%2Fpdf%3Bh%3Drepec%3Agam%3Ajecnmx%3Av%3A11%3Ay%3A2023%3Ai%3A2%3Ap%3A13-%3Ad%3A1149628)__: Online time series forecasting method for HFT developed using three deep learning models for higher accuracy and speed. (2023-06-07, shares: 21) · https://www.ml-quant.com/papers/repec/gam-jecnmx-v-11-y-2023-i-2-p-13-d-1149628/

### Historical Trending

- __[Smart Beta ETFs](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F14%2F7%2F283%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A14%3Ay%3A2021%3Ai%3A7%3Ap%3A283-%3Ad%3A579482)__: Study analyzes performance of EU smart beta ETFs over 12 years. (2021-07-09, shares: 38) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-14-y-2021-i-7-p-283-d-579482/
- __[Exchange Rate Volatility](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS1303070122000117%3Bh%3Drepec%3Atcb%3Acebare%3Av%3A22%3Ay%3A2022%3Ai%3A2%3Ap%3A77-89)__: Study finds exchange rate volatility impacts Turkey's exports. (2022-08-18, shares: 27) · https://www.ml-quant.com/papers/repec/tcb-cebare-v-22-y-2022-i-2-p-77-89/
- __[Shrinkage Estimator](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F15%2F6%2F249%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A15%3Ay%3A2022%3Ai%3A6%3Ap%3A249-%3Ad%3A829749)__: Paper discusses limitations of Modern Portfolio Theory. (2022-08-13, shares: 25) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-15-y-2022-i-6-p-249-d-829749/
- __[Non-Normal Risk Measures](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F14%2F11%2F540%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A14%3Ay%3A2021%3Ai%3A11%3Ap%3A540-%3Ad%3A676017)__: Analysis suggests no universal risk measure in non-normal distribution. (2021-08-04, shares: 23) · https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-14-y-2021-i-11-p-540-d-676017/
- __[Explainable AI](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2306-5729%2F7%2F7%2F93%2Fpdf%3Bh%3Drepec%3Agam%3Ajdataj%3Av%3A7%3Ay%3A2022%3Ai%3A7%3Ap%3A93-%3Ad%3A857104)__: Article explores need for explainability in machine learning models. (2022-06-03, shares: 23) · https://www.ml-quant.com/papers/repec/gam-jdataj-v-7-y-2022-i-7-p-93-d-857104/
- __[Aid for Trade and Exchange Rate Volatility](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.worldscientific.com%2Fdoi%2Fabs%2F10.1142%2FS1793993322500016%3Bh%3Drepec%3Awsi%3Ajicepx%3Av%3A13%3Ay%3A2022%3Ai%3A01%3An%3As1793993322500016)__: Aid for Trade flows have a negative effect on real exchange rate volatility in recipient-countries. (2022-06-04, shares: 20) · https://www.ml-quant.com/papers/repec/wsi-jicepx-v-13-y-2022-i-01-n-s1793993322500016/
- __[Neural Networks Predict Fund Survival](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F9%2F6%2F695%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A9%3Ay%3A2021%3Ai%3A6%3Ap%3A695-%3Ad%3A522910)__: Neural networks can predict mutual fund survival capacity using performance, volatility, and Sharpe ratio. (2021-07-03, shares: 20) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-9-y-2021-i-6-p-695-d-522910/
- __[Modeling Recovery Rates of US Banks](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F9%2F2%2F188%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A9%3Ay%3A2021%3Ai%3A2%3Ap%3A188-%3Ad%3A482845)__: A unified recovery rate analysis for US banks reveals estimated latent correlation ranges from 0.2% to 1.5% within examined portfolios, impacting recovery rate volatility. (2021-04-28, shares: 19) · https://www.ml-quant.com/papers/repec/gam-jmathe-v-9-y-2021-i-2-p-188-d-482845/

## Papers with code

### Trending

- __[LLMs Reasoning Performance](https://github.com/franxyao/chain-of-thought-hub)__: Evaluating LLMs is important but difficult. (2023-06-03, shares: 1064)
- __[High Quality Segmentation](https://github.com/syscv/sam-hq)__: HQSAM was trained on a dataset of 44k masks. (2023-06-06, shares: 458)
- __[Efficient ALMs](https://github.com/billxbf/rewoo)__: ALMs use LLMs with knowledge retrieval and action execution tools. (2023-06-06, shares: 303)
- __[Transformer Library for Code LLMs](https://github.com/salesforce/codetf)__: CodeTF is an open-source library for advanced Code LLMs and code intelligence. (2023-06-03, shares: 287)

### Rising

- __[HuatuoGPT for Medical Consultation](https://github.com/freedomintelligence/huatuogpt)__: HuatuoGPT is a top-performing open-source LLM for medical consultation. (2023-06-03, shares: 262)
- __[AWQ for Large Language Models](https://github.com/mit-han-lab/llm-awq)__: Large language models face hardware limitations due to their size. (2023-06-03, shares: 176)
- __[Scene as Occupancy for Traffic Scenes](https://github.com/opendrivelab/occnet)__: Human drivers can easily describe complex traffic scenes visually. (2023-06-07, shares: 108)
- __[XPhoneBERT for Text-to-Speech Phoneme Representations](https://github.com/vinairesearch/xphonebert)__: XPhoneBERT is the first multilingual model pre-trained for TTS. (2023-06-06, shares: 103)

## GitHub

### Finance

- __[BitMEX Test](https://github.com/nkaz001/market-making-backtest)__: BitMEX uses algo trading backtesting. (2020-12-25, shares: 53)
- __[Lance: Data Format](https://github.com/lancedb/lance)__: Data Format: Rust implements modern columnar data format for ML and LLMs. (2022-07-07, shares: 1701)
- __[Finance News Analysis](https://github.com/hackingthemarkets/financial-news-llama-index)__: Llama Index, GPT-4, and Streamlit used for financial news analysis. (2023-05-14, shares: 66)
- __[Alpha Generation RL](https://github.com/RL-MLDM/alphagen)__: Reinforcement learning used to generate predictive stock factors. (2022-07-05, shares: 28)

## News

### Quantitative

- __[China's AI Edge](https://news.google.com/rss/articles/CBMiUWh0dHBzOi8vd3d3LmFzaWFmaW5hbmNpYWwuY29tL2NoaW5hLXF1YW50cy1iYW5raW5nLW9uLWFpLXRvLWdhaW4taGVkZ2UtZnVuZHMtZWRnZdIBVWh0dHBzOi8vd3d3LmFzaWFmaW5hbmNpYWwuY29tL2NoaW5hLXF1YW50cy1iYW5raW5nLW9uLWFpLXRvLWdhaW4taGVkZ2UtZnVuZHMtZWRnZS9hbXA?oc=5)__: Chinese quants use AI for hedge funds. (2023-06-05, shares: 4)
- __[UBS Exec Joins Hedge Fund](https://www.efinancialcareers.com/news/2023/06/ubs-to-hedge-fund)__: ExodusPoint hires electronic trading expert. (2023-06-02, shares: 3)
- __[Abu Dhabi Outperforms London](https://www.fnlondon.com/articles/hedge-fund-trader-david-denison-on-academia-research-and-trading-20230601)__: Florin Court Capital opens Abu Dhabi office. (2023-06-01, shares: 2)
- __[Schonfeld's Hiring Spree](https://www.efinancialcareers.com/news/2023/06/shchonfeld-hiring-london)__: Active hedge fund stays busy. (2023-06-07, shares: 2)
- __[ChatGPT: Hedge Funds' Solution](https://news.google.com/rss/articles/CBMiRWh0dHBzOi8vZm9ydHVuZS5jb20vMjAyMy8wNi8wMS9oZWRnZS1mdW5kLWNoYXRncHQtZ3J1bnQtd29yay1tdW5kYW5lL9IBSWh0dHBzOi8vZm9ydHVuZS5jb20vMjAyMy8wNi8wMS9oZWRnZS1mdW5kLWNoYXRncHQtZ3J1bnQtd29yay1tdW5kYW5lL2FtcC8?oc=5)__: Hedge Funds' Solution: Hedge funds use ChatGPT for tasks. (2023-06-01, shares: 2)

### Miscellaneous

- __[Acadian Credit](https://www.institutionalinvestor.com/article/b8yykyx58tfdtd/How-Acadian-Built-Out-a-Systematic-Credit-Strategy)__: Scott Richardson joins quantitative management with new expertise. (2023-06-01, shares: 2)
- __[Chinese Quants and AI](https://news.google.com/rss/articles/CBMidmh0dHBzOi8vd3d3LnNhbHR3aXJlLmNvbS9uZXdmb3VuZGxhbmQtbGFicmFkb3IvYnVzaW5lc3MvY2hpbmVzZS1xdWFudHMtcmVkb3VibGUtYWktYmV0cy1hbWlkLWNoYXRncHQtZnJlbnp5LTEwMDg2MDM3OC_SAQA?oc=5)__: Chinese quants invest in AI during ChatGPT craze. (2023-06-05, shares: 2)
- __[Quant Stock Prediction Contest](https://news.google.com/rss/articles/CBMiZmh0dHBzOi8vd3d3LmFpLWNpby5jb20vbmV3cy93aG8taXMtdGhlLW5vLTEtcXVhbnQtYS1jb250ZXN0LWZvci10aGUtYmVzdC1zdG9jay1wcmVkaWN0aW9uLXdpbGwtZGVjaWRlL9IBAA?oc=5)__: Best stock prediction contest seeks top quant. (2023-06-02, shares: 2)
- __[Low Pay for Financial Engineers](https://www.efinancialcareers.com/news/2023/05/engineer-jobs-banking-working-hours-and-pay)__: Tech pay in finance undergoes changes. (2023-06-01, shares: 1)
- __[ARK Buys Coinbase After SEC Lawsuit](https://www.barrons.com/articles/cathie-wood-ark-buys-coinbase-stock-crypto-bitcoin-1934b761)__: SEC accuses company of unlawful actions with crypto assets. (2023-06-07, shares: 1)

## Podcasts

### Quantitative

- __[Options Trading in Uncertain Times -> Trading in Uncertain Times](https://pdcn.co/e/www.buzzsprout.com/2034153/12967233-options-trading-in-uncertain-times-navigating-market-volatility-with-bob-lang.mp3)__: Bob Lang talks about protecting portfolios in uncertain markets. (2023-06-02, shares: 16)
- __[Mastering Market Risks and Volatility -> Mastering Risks and Volatility](https://pdcn.co/e/www.buzzsprout.com/2034153/12971302-mastering-market-risks-and-volatility-expert-insights-with-chris-weston.mp3)__: Chris Weston explores factors affecting market risks and volatility. (2023-06-03, shares: 16)
- __[Wes Gray Alpha Architect -> Wes Gray Architect](https://sites.libsyn.com/244787/wes-gray-alpha-architect-build-your-own-etf-advanced-tax-strategies-a-new-t-bill-alternative)__: Wes Gray discusses investment and tax minimization strategies. (2023-06-01, shares: 13)
- __[Jason Josephiac Portable Alpha and Risk Mitigating Strategies -> Jason Josephiac Strategies](https://flirtingwithmodels.libsyn.com/jason-josephiac-portable-alpha-and-risk-mitigating-strategies-s6e6)__: Jason Josephiac shares his views on portfolio construction and risk management. (2023-06-05, shares: 12)
- __[Navigating Economic Uncertainty -> Economic Uncertainty Navigation](https://pdcn.co/e/www.buzzsprout.com/2034153/12967253-navigating-economic-uncertainty-asset-allocation-interest-rates-and-the-future-of-monetary-metals-with-keith-weiner.mp3)__: Keith Weiner discusses asset allocation, interest rates, and politics' impact on the economy. (2023-06-02, shares: 7)

### Related

- __[AI and Income Generation](http://advisorsoption.libsyn.com/the-advisors-option-125-generating-income-in-high-rate-environments)__: Marine Corps mindset can help with trading and investing, according to Dillon Valdez. (2023-06-01, shares: 7)
- __[Marine Corps Discipline and Investing](https://pdcn.co/e/www.buzzsprout.com/2034153/12960386-from-marine-corps-discipline-to-mastering-the-financial-markets-uncovering-the-secrets-to-successful-investing-with-dillon-valdez.mp3)__: Consulting firms are negatively impacting finance and fair lending practices by adding bias and personal opinions. (2023-06-01, shares: 6)
- __[Winners and Losers in Finance](https://www.buzzsprout.com/803279/12988483-choosing-winners-and-losers-in-finance.mp3)__: Deepak Gurnani of Versor Investments discusses trend following strategies and sector neutrality. (2023-06-06, shares: 5)
- __[Winning Investment Strategies](https://macrohive.libsyn.com/deepak-gurnani-on-building-winning-investment-strategies)__: Felix Salmon of Axios explores financial markets through the lens of bond markets, touching on post-Covid landscape, systemic risk, and fraud. (2023-06-02, shares: 5)
- __[Bond Markets and Financial Fraud](https://pdcn.co/e/www.buzzsprout.com/2034153/12960366-exploring-bond-markets-post-covid-investing-and-financial-fraud-with-felix-salmon.mp3)__: Options industry experts discuss generating income in high rate environments, April options volume numbers, earnings season volatility update, and the biggest surprise about options learned from years of back testing. (2023-06-01, shares: 5)

## Blogs

### Quantitative

- __[Trading Factors](https://research.macrosynergy.com/finding-latent-trading-factors/)__: Finding hidden trading factors through research. (2023-06-03, shares: 2)
- __[FinML Snippet 3.1](https://quant.stackexchange.com/questions/75768/advances-in-financial-machine-learning-snippet-3-1)__: Struggle with understanding code in AFML snippet 3.1. (2023-06-05, shares: 8)
- __[AFML Snippet 3.1](https://quant.stackexchange.com/questions/75768/advances-in-financial-machine-learning-marcos-l%c3%b3pez-de-prado-explanation-of-s)__: Difficulty comprehending AFML snippet 3.1. (2023-06-05, shares: 7)
- __[Quant Letter 06/23](https://blog.ml-quant.com/p/quant-letter-june-2023-week-1)__: Newsletter on quantitative finance released weekly. (2023-06-01, shares: 4)

### Related

- __[Active Net Zero](https://research-center.amundi.com/article/net-zero-investing-and-its-impact-60-40-allocation)__: Investing in Active Net Zero can be profitable and reduce risks. (2023-06-07, shares: 0)
- __[Value and Growth](https://quantdare.com/value-vs-growth-adversaries-or-complementary-strategies/)__: Combining Value and Growth strategies can benefit investors. (2023-06-07, shares: 0)
- __[Analyzing Strategies](https://stockviz.substack.com/p/the-work-is-never-done)__: Studying old investment strategies can be useful. (2023-06-04, shares: 0)
- __[Sustainable Labels Coherence](https://research-center.amundi.com/article/sustainability-signals-analysis-labelling-schemes-socially-responsible-investments)__: Comparing sustainable labels with private sector signals can reveal inconsistencies. (2023-06-01, shares: 0)

## Videos

### Quantitative

- __[ML for High Risk Applications](https://www.youtube.com/watch?v=Kr2-S9xi2sk)__: Guest lecture on machine learning for high risk applications covers governance, explainable models, model validation, bias management, and security. (2023-06-07, shares: 8)
- __[FinRL: RL in Finance](https://www.youtube.com/watch?v=Kr2-S9xi2sk)__: RL in Finance: Hudson and Thames Reading Group explores FinRL library for democratizing quantitative finance and stock trading strategy development. (2023-06-06, shares: 0)
- __[Stony Brook Quant Finance Masters](https://www.youtube.com/watch?v=8464ezZWJrE)__: Stony Brook's quantitative finance program is rigorous but could improve with dedicated career development resources. (2023-06-05, shares: 17)
- __[Movie Genre Prediction with DL](https://www.youtube.com/watch?v=-E5SCudOe2g)__: Video promotes book Approaching Almost Any Machine Learning Problem and encourages following creator on social media. (2023-06-04, shares: 33)
- __[Approaching Any ML Problem](https://www.youtube.com/watch?v=Ycbi4uXJq4k)__: No summary provided for promotional video. (2023-06-07, shares: 0)

## X / Twitter

### Quantitative

- __[Portfolio Managers Manage Return and Costs](https://twitter.com/macro_srsv/status/1665973042219192321ttp)__: Portfolio managers use alpha and price impact models to balance return and trading costs. (2023-06-06, shares: 5)
- __[Macro Variables Time Equity Factors](https://twitter.com/quantseeker/status/1664713968936525828ttp)__: Favero et al. use macro variables to time equity factors with cointegrating residuals. (2023-06-02, shares: 5)
- __[Sorting on Risk Premiums Predicts Returns](https://twitter.com/quantseeker/status/1665689494127890432ttp)__: Sorting on risk premiums has the highest Sharpe ratio and predicts stock market returns, according to Hou et al. (2023-06-05, shares: 5)
- __[Sparse Fused GMM Improves Pricing](https://twitter.com/macro_srsv/status/1664526203573743618ttp)__: A sparse fused GMM method is proposed to estimate time-varying coefficients of equity factors. (2023-06-02, shares: 4)
- __[Monte Carlo Simulations Manage Overfitting](https://twitter.com/macro_srsv/status/1665612818043793409ttp)__: Monte Carlo simulations can manage overfitting in trading strategies by generating potential outcomes based on historical backtesting. (2023-06-05, shares: 4)

### Miscellaneous

- __[Equity Anomalies](https://twitter.com/quantseeker/status/1665360737881972738ttp)__: Study finds equity factor momentum strong, price momentum remains distinct risk factor. (2023-06-04, shares: 3)
- __[Machine Learning for Returns](https://twitter.com/quantseeker/status/1665124274573660160ttp)__: Prof. Doron Avramov explores machine learning and asset returns in asset pricing. (2023-06-03, shares: 2)
- __[Mutual Fund Flows and Factors](https://twitter.com/quantseeker/status/1666160882483617797ttp)__: Mutual fund flows drive 30% of variation in FamaFrench size and value factors. (2023-06-06, shares: 2)
- __[ML Volatility Forecasting](https://twitter.com/quantseeker/status/1665463519876194304ttp)__: Li and Tang's paper on forecasting volatility shows significant gains with ML algorithms. (2023-06-04, shares: 2)
- __[Advanced Asset Management](https://twitter.com/quantseeker/status/1666407958383673344ttp)__: Thierry Roncalli's lecture notes cover advanced topics in asset management, including ML optimization algorithms. (2023-06-07, shares: 2)

## Reddit

### Quantitative

- __[Algorithmic Trading with ML and Signal Analysis](https://www.reddit.com/r/algotrading/comments/13ys5qn/algorithmic_trading_as_a_gateway_to_machine/)__:  (2023-06-02, shares: 1)
- __[QuantPy's ML in Finance Course Review](https://www.reddit.com/r/quantfinance/comments/14137xb/machine_learning_in_finance_course_by_quantpy_any/)__:  (2023-06-05, shares: 6)
- __[Cross-Exchange Pairs Trading](https://www.reddit.com/r/quant/comments/13zvog2/pairs_trading_from_different_exchanges/)__:  (2023-06-04, shares: 9)
- __[Security Price Normalization for Trading](https://www.reddit.com/r/quant/comments/141edn7/how_to_normalize_the_price_of_a_security/)__:  (2023-06-05, shares: 6)
- __[The Reality of HFT Speeds](https://www.reddit.com/r/quant/comments/13y54r7/how_fast_is_hft_really/)__:  (2023-06-02, shares: 23)

### Rising

- __[Adding ML to Trading Strategy](https://www.reddit.com/r/algotrading/comments/13zlqnu/statisticalml_model_on_top_of_strategy/)__:  (2023-06-03, shares: 24)
- __[Commodities and Options Reading List](https://www.reddit.com/r/quant/comments/13xlr0g/books_on_commodities_or_options/)__:  (2023-06-01, shares: 15)
- __[Misleading NG Firm Tier Lists](https://www.reddit.com/r/quant/comments/13yzaks/ng_firm_tier_lists_are_misleading/)__:  (2023-06-03, shares: 35)
- __[Historical Options Greeks with Trees](https://www.reddit.com/r/quant/comments/140mxl4/historical_options_greeks/)__:  (2023-06-04, shares: 27)
- __[Top Financial News Scraping Websites](https://www.reddit.com/r/algotrading/comments/13x2dc9/best_websites_to_scrape_financial_news_from/)__:  (2023-06-01, shares: 22)