September 2023, Week 2

Realistic financial price path generation

A novel machine learning method for simulating financial price data sequences with drawdowns is discussed, using a non-parametric Monte Carlo approach.

8 Sep 20236 shares1 citation todaySource ↗

Financial market aggregation

The article proposes a new framework for aggregating financial markets through arbitrage, introducing the concept of market-dynamical entropy.

8 Sep 20235 sharesSource ↗

Corporate bond market liquidity modeling

The article introduces a Fair Transfer Price concept for valuing illiquid corporate bonds using Markov-modulated Poisson processes and micro-price concepts.

8 Sep 20236 shares3 citations todaySource ↗

Estimating NBA player contract ROI with a new framework

The article introduces a new method for estimating the return on investment for NBA player contracts, using a game contribution percentage measure and a standard currency conversion calculation.

11 Sep 20235 shares2 citations todaySource ↗

Gamma Hedging & Rough Paths

The study uses rough path theory to show that a specific hedging strategy can replicate other European options, even without a specific pricing model.

10 Sep 20234 shares2 citations todaySource ↗

Kelvin Waves & Financial Engineering

The research finds unexpected links between financial engineering, hydrodynamics, and molecular physics, showing that solutions can be found through affine differential equations.

8 Sep 20234 sharesSource ↗

News-driven Expectations & Volatility Clustering

The paper attributes the regularities of financial volatility to traders' reactions to news, influenced by the behaviors of long-term investors and short-term speculators.

9 Sep 20233 shares6 citations todaySource ↗

Monte Carlo Simulation for Lévy-Driven Pairs Trading

The study uses a Monte Carlo framework to explore optimal trading strategies in pairs trading on mean-reverting spreads, influenced by the parameters of the model.

11 Sep 20233 sharesSource ↗

Monotone Numerical Integration for Mean-Variance Portfolio Optimization

The research introduces an efficient numerical integration method for portfolio optimization, demonstrating its computational efficiency and accuracy, and its convergence to the unique solution of the optimization problem.

12 Sep 20233 shares6 citations todaySource ↗

C+ Design Patterns for Low-latency Applications: C++ Design Patterns for Low-latency

C++ Design Patterns for Low-latency: The study concentrates on enhancing latency-critical code in high-frequency trading systems, leading to a Low-Latency Programming Repository, an optimized trading strategy, and the application of the Disruptor pattern in C++, all to boost performance in latency-sensitive applications.

8 Sep 20237 shares4 citations todaySource ↗

Data Sources for Data Science and Machine Learning: Data Sources for ML

Data Sources for ML: The article provides a detailed list of data sources for multiple sectors like finance and life sciences, catering to the growing need for data in data science, machine learning, and AI.

10 Sep 20238 shares1 citation todaySource ↗

Crypto Derivatives' Real-time VaR Calculations

The thesis focuses on creating a real-time calculation process to estimate the Value at Risk (VaR) for cryptocurrency derivatives portfolios, using three time-series models and high-frequency market data.

11 Sep 20236 sharesSource ↗

Epps Effect & Short-Term Momentum Traders

The study investigates a variation in the Epps effect in the foreign exchange and cryptocurrency markets, indicating that the irregularity in the cross-correlation of returns on Euro and Bitcoin pairs is due to the actions of short-term momentum traders.

13 Sep 20232 sharesSource ↗

Deep RL for Gas Trading: Enhanced Performance

Enhanced Performance: Deep Reinforcement Learning (Deep RL) can enhance trading of natural gas futures contracts, outperforming traditional strategies through ensemble learning.

19 Jan 202340 sharesSource ↗

Market States and Risk Assessment: Dynamic Approach

Dynamic Approach: Modifying market state selection criteria based on correlation structures can enhance risk assessment and market dynamics, as shown in the SP 500 and Nikkei 225 markets.

10 Nov 202032 shares10 citations todaySource ↗

DRL for Power Arbitrage: Leveraging Expertise

Leveraging Expertise: A dual-agent reinforcement learning approach can optimize European power arbitrage trading, improving training convergence and performance, and tripling profit and loss.

19 Jan 202328 shares1 citation todaySource ↗

Credit Info from Earnings Calls

A new method has been developed to predict credit spread changes and company profitability using information from quarterly earnings calls, indicating that investors may not be fully exploiting this data.

24 Sep 202227 shares1 citation todaySource ↗

Robust Deep Learning for Financial Temporal Data

A new deep learning framework for financial data uses XGBoost models to adapt to market changes and provide accurate predictions under various market conditions.

14 Mar 202323 shares1 citation todaySource ↗

Long-Term Effects of Early-Life Pollution

A UK study found that exposure to the 1952 London smog in early life led to lower fluid intelligence, poorer respiratory health, and potentially fewer years of education in later life.

23 Feb 202219 shares27 citations todaySource ↗

Low-latency Application Design Patterns

The research focuses on improving high-frequency trading systems by optimizing latency-critical code, resulting in a Low Latency Programming Repository and an optimized trading strategy.

8 Sep 20238 shares3 citations todaySource ↗

Asset Pricing Models: CAPM, APT, and PAPM

CAPM, APT, and PAPM: The Popularity Asset Pricing Model (PAPM) improves on the Capital Asset Pricing Model (CAPM) by considering investor preferences and beliefs, addressing CAPM's empirical limitations.

8 Sep 20233 shares1 citation todaySource ↗

Loss of Liquidity in Financial Market Aggregation

A new framework for understanding financial markets using utility functions and limit order book states is introduced, suggesting a measure of liquidity loss due to arbitrage.

13 Sep 20234 sharesSource ↗

Geopolitical Risk in Green and Conventional Bonds

Green bonds are significantly influenced by geopolitical risk and are also affected by sovereign and corporate bonds, indicating they behave differently from conventional bonds, especially during high volatility periods.

9 Sep 20233 sharesSource ↗

Global Common Volatility Hedge: Bitcoin and Gold

Bitcoin and Gold: The study reveals that gold is a reliable hedge and safe-haven asset against global volatility, while Bitcoin shows weaker hedging abilities but strong safe-haven potential during extreme situations.

9 Sep 20232 sharesSource ↗

Stock Market Volatility in China: Geopolitical Risks

Geopolitical Risks: The study explores how investor sentiment and geopolitical risks affect Chinese stock market volatility, showing these factors increase industry stock market volatility in both positive and negative markets.

9 Sep 20232 sharesSource ↗

Radiological Consequences Assessment: Comparative Analysis

Comparative Analysis: The Benchmarking on Assessment of Radiological Consequences (BARCO) project compares real-time forecasts of radiological impact in emergencies, offering recommendations for code users.

13 Sep 20235 sharesSource ↗

Risk Hedging in Fixed-Income Securities by Banks

Unlike Silicon Valley Bank, other banks use discretionary hedging against losses in fixed-income securities and funding risks, adjusting their hedging activity based on losses or gains and using forward interest rate guidance in risk management.

11 Sep 20232 sharesSource ↗

Detecting Accounting Frauds with Machine Learning

The article introduces Logit-Boost, a new machine learning model for detecting fraud in accounting, which performs better and uses fewer predictors than other methods.

2 Jun 2022281 sharesSource ↗

ESG Risk Management's Impact on Shareholder Value

The study reveals that companies with fewer supply chain ESG incidents yield higher future stock returns and accounting performance, emphasizing the importance of ESG risk management.

12 Jul 20232 sharesSource ↗

Passive Investing's Influence on Market Volatility

The paper disproves the ETF bubble hypothesis, stating that the growth of passive investing did not inflate prices but did increase asset price volatility.

28 Aug 20232 sharesSource ↗

Financial Data Extraction from Unstructured Sources

A study has developed a new framework that can accurately automate the extraction of financial data from PDF files using large language models.

6 Sep 20233 shares51 citations todaySource ↗

Fund Diversification Measures

The research introduces a new method for assessing risk diversification in mutual fund families, revealing significant variations unrelated to the number of funds or objectives.

11 Sep 20233 sharesSource ↗

Retail Option Trading's Impact on Stock Liquidity

The study reveals that retail trading in the options market affects the liquidity of underlying stocks, especially when liquidity supply is anticipated to be limited.

11 Sep 20233 sharesSource ↗

Reinforcement Learning for Option Hedging

The research indicates that reinforcement learning can be an effective alternative to traditional hedging methods for barrier options, potentially reducing transaction costs due to fewer trades.

8 Sep 20233 shares5 citations todaySource ↗

High-Frequency Trading and Price Deviations

The study shows that high-frequency trading can lead to larger deviations in stock prices from firms' intrinsic values, providing insights into the long-term valuation effects of high-frequency trading.

11 Sep 20233 sharesSource ↗

Term SOFR Fixing with Futures

The paper outlines a strategy using a Time Weighted Average Price algorithm to manage the discrepancy between Term SOFR and overnight SOFR fixings.

9 Sep 20234 sharesSource ↗

Rational Hedging with Implied Volatilities

The article presents new implied volatility models, exploring their application in delta hedging, some of which require advanced techniques and neural nets.

13 Sep 20232 sharesSource ↗

Optimal Planning for Wealth Management

The paper suggests a semi-analytical method for optimizing financial contributions towards a goal like retirement, using a controlled backward Kolmogorov equation.

8 Sep 20239 sharesSource ↗

Dark Trading's Effect on Firm Overinvestment

The study indicates that dark trading availability for a stock encourages traders to gather valuable information, preventing managerial overinvestment.

8 Sep 20232 shares1 citation todaySource ↗

Analysis of Trends and Drivers in Retail Trading

The survey shows varying retail participation in global exchanges, with the COVID-19 pandemic increasing retail activity and exchanges using different methods to attract retail investors.

8 Sep 20232 sharesSource ↗

ETF Measure of Stock Fragility

Using exchange-traded funds data in an alternative estimation procedure enhances the prediction of stock price fragility, highlighting the impact of ETF activity and institutional investors' demand on price volatility.

25 Jul 202398 sharesSource ↗

Circuit Breakers & Market Quality

Contrary to the belief that circuit breakers cause panic trading, marketwide trading halts during the COVID-19 pandemic stabilized stock returns, reduced trading costs, and resulted in more informative prices.

20 Jun 202224 sharesSource ↗

Dynamic Inflation Hedging with Online Prices

Online retail inflation indices from 21 countries can predict changes in US Treasury bond yields, offering a potential investment strategy.

21 Sep 20222 sharesSource ↗

Value-weighted Approach to Duration Dependent Volatility Models

Using different duration values in a Markov-switching model can improve the prediction of bitcoin returns, outperforming GARCH-type models.

1 Jan 20224 sharesSource ↗

Theory and Empirics of Prospect Capital Asset Pricing Model

A proposed model suggests investors seek a balance between expected returns, variance, and skewness, significantly affecting stock prices, especially among less experienced investors.

27 Dec 20222 sharesSource ↗

Frequency and Purpose of Complex Options in the Market

Complex options trades, accounting for over 30% of options trading volume, are often used to adjust the expiration or strike of a simple position.

21 Mar 20232 sharesSource ↗

Forecasting GCC Financial Stress with CNNs

The study uses a One-Dimensional Convolutional Neural Network to predict financial stress in the GCC's oil, stock, and bond markets, finding that financial stress indices enhance forecasting performance and oil can hedge stock market risks.

14 Sep 202317 sharesSource ↗

Ex Post Analysis

The paper explores the importance of counterfactuals and optimal trading oracles in theory and practice, concluding with an end note.

14 Sep 202317 sharesSource ↗

Trading Solutions

The research confirms Campbell et al.'s findings on overall idiosyncratic volatility, suggesting their results are specific to their sample and further exploring volatility trends and their connection to company traits.

14 Sep 202316 sharesSource ↗

Finance Data Frequency

The research discusses Peter Muller’s Rule, the Holding Function, Information Sets and Alphas, Performance Statistics, and the Hierarchy of Optimization Strategies.

14 Sep 202316 sharesSource ↗

Volatility & Expected Returns: Past & Present

Past & Present: The study confirms previous findings that stock returns are influenced by aggregate-volatility risk and idiosyncratic volatility, and suggests that recent asset-pricing models fail to consistently account for this, except for the models by Stambaugh and Yuan, and Barillas and Shanken.

14 Sep 202322 sharesSource ↗

NPS Strategies Comparison

The research investigates counterfactuals and ergodicity, traders' decision-making processes, lattice methods, partial autocorrelation, and the contrast between static and stochastic optimization.

14 Sep 202314 sharesSource ↗

Mean-Variance Optimization & Sharpe Ratio

The author recognizes Harry Markowitz's 1952 paper on Portfolio Selection as the basis for the field of quantitative investment strategy.

14 Sep 202319 sharesSource ↗

Volatility Patterns

The research offers a bibliometric review of the use of high-frequency data in finance, tracing the development of the field and highlighting key sources, authors, and topics.

14 Sep 202316 sharesSource ↗

Framework Overview

The study analyzes the National Pension Service of Korea's trading strategies and their market impact, highlighting the differences between internal and external management and their effects on volatility and liquidity.

14 Sep 202315 sharesSource ↗

Football Prediction with Machine Learning

The project uses machine learning models to predict English Premier League football matches outcomes with a 52.3% accuracy for the 2020-2021 season, using expected goals metric instead of traditional goals scored.

14 Sep 202320 sharesSource ↗

Predictive Analytics for Decision-Making

Research indicates that managers' operational decisions are influenced by the type of data used in predictive analytics tools and trend consistency, with a tendency to disregard predictions from social media data revealing unexpected negative trends.

14 Sep 202314 sharesSource ↗

Geopolitical Risks & Stock Market Volatility: ML Insights

ML Insights: The research uses machine learning to analyze how geopolitical risks, such as military actions, affect US stock market volatility, finding that these models can offer significant financial advantages.

14 Sep 202336 sharesSource ↗

High-Frequency Arbitrage on Cross-Listed Stocks: Info Latency Effects

Info Latency Effects: The study presents a new method to examine the impact of information delay in high-frequency trading on international cross-listed stocks, suggesting a profitable strategy based on price deviations using Canadian and US stocks.

14 Sep 202328 sharesSource ↗

Improved Dam Break Outflow Prediction with Ensemble ML

The DA-IBK machine learning model excels at predicting dam break peak outflow, significantly outperforming empirical equations, particularly at high outflows.

14 Sep 202321 sharesSource ↗

Leveraging Return Prediction for Improved VaR Estimation

The article explores the use of Value at Risk (VaR) for predicting potential portfolio losses and managing risk, emphasizing the application of machine learning in stock market predictions and comparing various VaR estimation metrics.

14 Sep 202325 sharesSource ↗

Limited Predictive Power of ML in Estimating Gold Risk Premium

Machine learning struggles to predict gold risk premium better than historical averages, but performs slightly better when using individual predictors.

14 Sep 202324 sharesSource ↗

Bayesian ANN for Efficiency Analysis

The paper introduces a novel method for frontier estimation in econometrics, merging Data Envelopment Analysis and Stochastic Frontier Analysis using Bayesian artificial neural networks, and validates its efficiency with Monte Carlo experiments and a dataset of large US banks.

14 Sep 202316 sharesSource ↗

Machine Learning for Housing Price Trends

Housing price trends can be accurately predicted by machine learning algorithms considering land use-transportation interactions and socio-economic factors.

5 Nov 202221 sharesSource ↗

Machine Learning vs. Dictionary Methods for Sentiment Disclosure

Machine-learning techniques enhance the accuracy of sentiment analysis in 10-K filings and conference calls, outperforming traditional dictionary-based methods.

21 Mar 202213 sharesSource ↗

Return Predictability with Machine Learning

A new prediction model using machine learning can enhance return predictability by reclassifying stocks based on predicted financial performance.

11 Jan 202219 sharesSource ↗

The Leverage Factor: Credit Cycles and Asset Returns

Credit Cycles and Asset Returns: Periods of high credit boom followed by low returns to risky equities are predictable, with fixed income serving as a safer option with slightly higher returns.

20 Jun 202217 sharesSource ↗

Determinant Analysis for Housing Price Prediction

A regression-based machine learning model can accurately predict housing prices and identify key influencing factors.

12 Oct 20228 sharesSource ↗

GPTInvestAR: Enhancing Stock Investment Strategies

Enhancing Stock Investment Strategies: The article suggests using Large Language Models (LLMs) to streamline the evaluation of companies' Annual Reports.

9 Sep 202337 shares

Multimodal Language Models Survey

MLLM is a novel research area that utilizes Large Language Models for performing tasks involving multiple modes of communication.

10 Sep 20234,146 shares

AgentVerse: MultiAgent Collaboration

MultiAgent Collaboration: Autonomous agents have seen substantial advancements through the use of Large Language Models for task generalization.

12 Sep 20231,147 shares

SharpnessAware Minimization: Weighted Sharpness Regularization

Weighted Sharpness Regularization: The development of Sharpness-Aware Minimization (SAM) aims to achieve better generalization in Deep Neural Networks by seeking flatter minima.

12 Sep 2023276 shares

Cognitive Architectures for Language Agents

Large language models are being integrated with external resources or internal control flows for tasks that require grounding or reasoning.

9 Sep 202393 shares

Explanation Methods for Time Series Classification

The article stresses the importance of understanding how models learn in classification applications, beyond just the final classification.

12 Sep 202379 shares

Kani: Lightweight Framework for Language Models

Lightweight Framework for Language Models: The piece underscores the increasing complexity and popularity of language model applications, such as tools and retrieval enhancements.

13 Sep 202369 shares

PyGraft: Generation of Schemas and Knowledge Graphs

Generation of Schemas and Knowledge Graphs: The article points out the restricted access to public datasets in sensitive areas like education and healthcare.

10 Sep 202360 shares

ResFields: Neural Fields for Spatiotemporal Signals

Neural Fields for Spatiotemporal Signals: The article discusses the growing use of neural fields, a kind of neural network, for their effectiveness in handling complex 3D data.

9 Sep 202342 shares

Quant-Invest-Strats: Financial Data Analytics

Financial Data Analytics: QIS package provides tools for visualizing and analyzing financial data in quantitative investment strategies.

30 Dec 202233 shares

Machine Learning Refined: Notes and Demos

Notes and Demos: The 2nd edition of Machine Learning Refined, published by Cambridge University Press, includes notes, examples, and Python demos.

12 Aug 20161,384 shares

btplotting: Backtest and Optimization Plotting

Backtest and Optimization Plotting: btplotting is a tool that enables plotting for backtests, optimization results, and live data from backtrader.

16 Jul 2020263 shares

plotters: Rust Data Plot Library

Rust Data Plot Library: A rust drawing library provides high-quality data plotting for both WASM and native, in static and real-time.

24 Apr 20193,132 shares

acme RL Components

The library features a collection of components and agents for reinforcement learning.

1 May 20203,186 shares

MultiJoint dynamics: A Physics Simulator

A Physics Simulator: The article explores a universal physics simulator that manages multi-joint dynamics and contact.

27 Aug 20216,077 shares

DevToys: Developer's Swiss Army Knife

Developer's Swiss Army Knife: The piece details a multi-functional tool for developers, compared to a Swiss Army knife.

29 Sep 202117,416 shares

LLaMAAdapter: Finetuning for Quick Instruction Following

Finetuning for Quick Instruction Following: The article discusses the optimization of LLaMA to execute instructions within a set timeframe.

19 Mar 20234,820 shares

awesomespark: Apache Spark Packages and Resources

Apache Spark Packages and Resources: The article offers a detailed list of top-notch Apache Spark packages and resources.

1 Feb 20161,525 shares

Banks' Data Science Overspending

The article discusses the high costs associated with implementing machine learning technologies.

12 Sep 20235 shares

Man Group seeks tech team in Bulgaria

Man Group, a leading hedge fund firm, has begun a recruitment drive in Bulgaria for engineers and quant developers.

13 Sep 20232 shares

Schonfeld introduces longer fee structure

Schonfeld Strategic Advisors is offering a substantial fee discount to clients who commit to longer investment periods in its main equity hedge fund.

13 Sep 20232 shares

Aquis Exchange Embraces HFT

Alasdair Haynes predicts a decrease in execution time and a market share increase for Aquis due to an upcoming change.

12 Sep 20231 shares

Tom Basso: Engineering to Trading Mastery

Engineering to Trading Mastery: Tom Basso, an engineer-turned-trader, emphasizes the importance of understanding both profits and losses in trading and shares his risk management strategies for volatile markets.

9 Sep 202313 shares

Navigating Unpredictable Trading with Cheds

Experienced trader Cheds likens trading to navigating unpredictable seas, stressing the need for discipline, risk management, continuous learning, and effective follow-ups.

13 Sep 20239 shares

James Seyffart on Spot BTC ETF

James Seyffart, a research analyst, specializes in the broader asset management industry, including cryptocurrencies, and shares his expertise on crypto and Bitcoin-related funds products.

13 Sep 20237 shares

Reflexivity of Equity Volatility with Dean Curnutt

Dean Curnutt, founder of Macro Risk Advisors, discusses market risks, the evolving role of the Fed, and his theory on why financial crises seem to occur every 11 years.

11 Sep 20236 shares

Understanding Financial Market Turbulence with Gary Shilling

Economist Gary Shilling talks about his principles for assessing the economy and financial markets, the impact of artificial intelligence on jobs, and the potential effects of a recession on the current economy.

10 Sep 20236 shares

Stock Options View

Professors Zoro and DeSimone explore the Option environment, focusing on OptionMetrics and long-dated options.

13 Sep 20234 shares

LGIM AGM Votes

LGIM's Stewardship team shares their voting decisions on key ESG issues during the 2023 AGM season.

11 Sep 20234 shares

Overcoming Winograd Schema Challenge

Vid Kocijan, a Machine Learning Engineer, presents his research on pretraining common sense reasoning and its influence on societal bias.

11 Sep 20234 shares

Sugar Futures: Deadly for Cereal

Deadly for Cereal: McAlinden Research Partners and IBKR experts analyze the global economics of sugar trade, its effect on consumer prices and specific stocks.

13 Sep 20233 shares

Global Commodities: Sept. & Dec. Prices

Sept. & Dec. Prices: Brent crude futures surpassed $90 for the first time this year, though experts forecast a decrease to the mid $80s by the end of 2023.

8 Sep 20233 shares

Crypto Volatility & Risk Measures

The article explores the absence of a direct relationship between cryptocurrencies and tech stocks, examining the market structure and volatility of digital assets.

12 Sep 20233 shares

Clustering Cryptos by Asset Similarity

The piece proposes that cryptocurrencies can be classified based on their digital asset characteristics, akin to the categorization of stocks and bonds.

14 Sep 20232 shares

Corporate Bond Liquidity Model with RFQ Data

The article presents a novel corporate bond liquidity model that uses Request for Quotation (RFQ) data and a Markov-modulated Poisson Process.

13 Sep 20232 shares

Crypto Volatility & Risk Measures

The article explores the fluctuating nature and risk factors associated with cryptocurrencies.

13 Sep 20232 shares

Data Sources Across Disciplines

The paper offers an extensive list of potential data sources from diverse sectors like finance, healthcare, retail, etc.

13 Sep 20232 shares

Quant Finance Resources Compilation

The article provides a detailed list of useful resources for those involved in quantitative finance.

12 Sep 20232 shares

Knight Capital's Trading Disaster

The article recounts how Knight Capital lost more money in minutes than its market value in 2012 due to algorithmic trading software errors.

12 Sep 20231 shares

Deep Learning for Stock Market Prediction

The article reviews research on using deep learning for predicting stock market trends.

10 Sep 20231 shares

Offline RL for Propagator Estimates

The article explores the use of offline reinforcement learning and an optimiser to estimate propagators and cut execution costs amidst uncertainty.

8 Sep 20231 shares

TradingGPT Framework

Article: The article delves into the intricacies of the TradingGPT LLM MultiAgent Framework.

12 Sep 20230 shares

Llama2.🔥 Launch

Article: A user has successfully converted llama2 from Python to Mojo, enhancing its speed by 20%.

12 Sep 20230 shares

Earnings Call Surprise

Article: The piece investigates the influence of unexpected information in earnings call text on post-earnings announcement drift.

11 Sep 20230 shares

NY FED's GDP Growth Nowcast

Article: The New York Federal Reserve has developed a fresh Nowcast for GDP Growth.

8 Sep 20230 shares

Derivatives for Hedging and Pricing Theory

9 Sep 20239 shares

Research Tools for Data Storage and Manipulation

10 Sep 202312 shares

Curated Reading List for Adversarial Reinforcement Learning

11 Sep 20234 shares

Impact of Exchange Formats on Intraday Momentum Trading

11 Sep 20230 shares

Free API for Bond Yields and Prices

9 Sep 20230 shares

Market Microstructure in Quantitative Trading

8 Sep 202317 shares