December 2023, Week 2

Onflow: Portfolio Allocation Algorithm

Portfolio Allocation Algorithm: Onflow is a learning method that optimizes portfolio allocation online, yielding high returns and performing well in high transaction cost scenarios.

8 Dec 20239 sharesSource ↗

Physics-Informed NN for Option Pricing

The PINN method, a deep-learning technique, is used to accurately price American and European options using the Black-Scholes equation.

10 Dec 20235 shares13 citations todaySource ↗

Predicting Toxic Trades with PULSE

PULSE, a quick online Bayesian method, is introduced for predicting toxic trades, outperforming standard methods and offering real-time implementation.

10 Dec 20233 shares13 citations todaySource ↗

Optimal Pair Trade Solution

The research offers a straightforward solution to the consumption-investment problem pair trading, simplifying the HJB equation to a linear parabolic equation that can be directly solved.

11 Dec 20233 sharesSource ↗

Dealer Strategies in ABMs

The paper uses agent-based simulations to study market structures and optimal dealer strategies, concluding that risk-averse dealers usually perform better and the selection of quote sizes influences market dynamics.

10 Dec 20232 sharesSource ↗

Unbiased Risk Estimator Adjustment

A novel risk assessment approach is introduced, providing robust capital reserve estimates and efficient risk scaling in small sample settings.

9 Dec 20233 shares1 citation todaySource ↗

Partial Info & Systemic Risk

The article investigates how limited information affects investors' wealth and systemic risk, using a model where investors adjust their strategies based on their wealth compared to others.

7 Dec 20233 shares5 citations todaySource ↗

Unified Repository for Climate Data Weighted by Economic Activity

Research offers a unified framework for processing and validating economic activity-weighted climate data, specific to countries and regions.

10 Dec 20233 shares13 citations todaySource ↗

AI and Jobs: Evidence of Change

Evidence of Change: The paper explores the effect of artificial intelligence on jobs, offering a visual framework and an economic model, and presents evidence of AI's disruptive impact on translation and web development jobs.

7 Dec 20232 shares15 citations todaySource ↗

NFT Deep Learning Valuation

The research suggests a deep learning model to predict non-fungible tokens (NFTs) prices using Ethereum blockchain and OpenSea data, which could be useful in decentralized finance (DeFi).

8 Dec 20236 shares4 citations todaySource ↗

Smart Contract Centralization Risk

The article highlights the unintended risk of centralization in smart contracts due to security mitigation efforts, and discusses its possible impact on different stakeholders.

11 Dec 20232 shares8 citations todaySource ↗

RL for Combining Search Methods

The study suggests a new reinforcement learning method for calibrating agent-based models in economics and finance, which performs better than other tested methods.

23 Feb 202330 shares14 citations todaySource ↗

SICR-Events for Impaired Loans

The paper presents a new framework for predicting credit deterioration using three parameters, validated using South African mortgage data.

6 Mar 202328 shares5 citations todaySource ↗

GPT in Game Theory Experiments

The research shows that Generative Pre-trained Transformers (GPT) can mimic human responses in strategic games and can be influenced by fairness or selfishness traits.

9 May 202327 shares29 citations todaySource ↗

Kernel Estimation of Spectral Risk Measures

The paper introduces a kernel-based estimator for Spectral Risk Measures (SRMs), showing its consistency, asymptotic normality, and superior performance in a Monte Carlo simulation.

8 Mar 201918 shares2 citations todaySource ↗

Equilibria in Recommender Systems

The research explores how recommendation algorithms like those used by Spotify and Netflix can lead to less competition by encouraging producers to specialize.

27 Jun 202213 shares52 citations todaySource ↗

Martingale Sinkhorn Algorithm

The study connects the Bass martingale to semimartingale optimal transport and introduces a computational method, MPMS, to calculate the Bass martingale.

20 Oct 20238 shares12 citations todaySource ↗

Sobolev Pruning

The article suggests a new method for creating surrogate models that reflect the sensitivities and uncertainties of original stochastic models.

6 Dec 20238 shares2 citations todaySource ↗

Quantum-Enhanced Forecasting

The research presents Quantum Gramian Angular Field (QGAF), a new forecasting method combining quantum computing and deep learning, which enhances prediction accuracy in stock market data.

11 Oct 20237 shares32 citations todaySource ↗

Volatility Modeling with Covariates using Deep Learning

The RECHX model, integrating exogenous variables into a recurrent neural network, is introduced for predicting volatility in financial assets.

7 Dec 20235 sharesSource ↗

Portfolio Asset Selection with Graph Based Representation Learning

The Representation Portfolio Selection (RPS) method is introduced for portfolio optimization, showing that popular algorithms can benefit from this asset selection approach.

9 Dec 20232 sharesSource ↗

TimesNet for Volatility Forecasting

The study shows that the TimesNet model is effective in predicting stock volatility, particularly during extreme market movements, making it a strong neural network benchmark in volatility research.

10 Dec 20233 shares3 citations todaySource ↗

Comparative Analysis of LLMs for Financial Sentiment

The use of Large Language Models, specifically the gpt3.5turbo model, in financial sentiment analysis is examined, highlighting the potential of in-context learning and fine-tuning on finance-specific datasets.

8 Dec 20234 sharesSource ↗

Optimal Attention Allocation for Portfolio Selection

The paper demonstrates that the optimal attention strategy in portfolio selection with information capacity constraint should maximize the combined expected alpha and beta payoffs.

11 Dec 20232 sharesSource ↗

Functional Data Analysis for Optimal Entry and Exit Trading Points

The study develops investment strategies using optimal trading points predicted by forecasting financial time series with intraday data on weekly data curves, showing superior performance in backtesting on three major US ETFs.

8 Dec 20232 sharesSource ↗

Beta Factors in Japanese Stocks

Research indicates that the Japanese stock market struggles with managing multiple factors and error-in-variable bias, resulting in a negative alpha related to market beta.

7 Dec 20235 sharesSource ↗

Equity Return Prediction with Deep Learning & Ensemble Methods

The article examines forecast combination methods in machine learning for predicting equity returns, suggesting a new performance measure for risk premium forecasts that provides more robust evaluations and economic interpretability.

7 Jul 20232 sharesSource ↗

Correcting Bias in Mutual Funds' Performance Evaluation

The functional False Discovery Rate “plus” (fFDR) test, a new method for assessing mutual funds' performance, corrects data snooping bias and outperforms previous methods.

11 Jan 20212 sharesSource ↗

Bayesian Data Imputation for Risk Management

The article highlights the role of Bayesian data imputation techniques in risk management, as they provide a deeper understanding of risk factors and assist in decision-making.

7 Nov 20232 sharesSource ↗

Option Price Decomposition Formula for Volatility Calibration

A formula has been derived for option price in stochastic volatility models, breaking it down into a zero-correlation price and a correlation correction term.

1 Sep 20233 sharesSource ↗

Rethinking Investment's Q Theory

The paper challenges the traditional Q theory of investment, examining how investment supply shocks affect investment dynamics and Q.

7 Dec 20236 sharesSource ↗

Investment Period Optimization for Private Equity Portfolios

The Sequential Investment Allocation Model (SIAM) is introduced to manage Private Equity fund portfolio investment periods, aiming to shorten investment period length while considering payoff and strategies.

7 Dec 20233 sharesSource ↗

Estimating Prices and Yields for Equity Term Structures

The study estimates equity yields using a detailed model of equity prices and dividends, expanding equity term-structure data over time and across different portfolios, offering new empirical data for asset pricing models.

7 Dec 20231,502 sharesSource ↗

Capital Markets of Large Banks: Internal and External

Internal and External: The research shows that large U.S. bank holding companies raise more capital internally than externally due to higher frictions in external capital, resulting in partial capital segmentation.

11 Dec 20235 sharesSource ↗

Adapting U.S. ETFs to UCITS ETFs: Bridging Portfolio Strategies

Bridging Portfolio Strategies: The paper investigates the use of U.S. ETF-based strategies in the European investment context using UCITS ETFs, assessing their feasibility and potential for similar or improved portfolio performance within European regulations.

13 Dec 20236 sharesSource ↗

Dealer-Hedge Fund Relations and Liquidity Provision

The research indicates that dealers' prime brokerage relationships with certain hedge funds enhance their liquidity provision in a one-sided market, as observed during the March 2020 liquidity crisis.

12 Dec 20233 sharesSource ↗

The Risk of Interest Rate Derivatives in Fixed Income Funds: Hidden Duration

Hidden Duration: The research uncovers significant hidden duration risk in fixed income funds due to their use of interest rate derivatives for speculation rather than hedging, leading to poor performance during interest rate increases.

12 Dec 20232 shares1 citation todaySource ↗

OTC Liquidity

The article presents a model of a multi-asset over-the-counter market, showing how liquidity measures are influenced by general equilibrium effects.

25 Sep 2023308 sharesSource ↗

Quantifying Market Psyche

The paper establishes a link between qualitative information and its quantitative market effects, suggesting that significant news can cause larger movements in smaller stock indexes, with the PE ratio potentially amplifying or mitigating this effect.

12 Sep 202376 sharesSource ↗

Fed Info & Equity Structure

The study suggests that investors view central bank rate decisions as indicators of the economy's health, with short-term asset returns predicting macroeconomic growth.

29 Apr 2021283 sharesSource ↗

Mutual Funds & ETFs

Mutual funds are shown to invest in ETFs instead of underlying securities to lower portfolio volatility, using them as a hedging tool.

28 Apr 20232 sharesSource ↗

ESG Investments as Luxury

The article suggests that responsible investments are seen as luxury goods by investors, with unexpected wealth increasing the likelihood of investing in green stocks and responsible mutual funds.

10 Nov 2023102 sharesSource ↗

VC Portfolio Optimization Model

The article introduces a model for improving venture capital investment portfolios, taking into account high risk and uncertain future values, using bootstrapping and mixed-integer linear programming.

1 Apr 20222 shares1 citation todaySource ↗

Euro Area Corporate Bond Service Flows

The article examines the euro area corporate bond market, showing variations in convenience yields across sectors, with the highest yield in the ECB's portfolio after corporate quantitative easing.

19 Sep 20236 sharesSource ↗

Changing VVIX Characteristics in US Stock Market

The research explores the features of Cboe’s volatility-of-volatility index, showing strong mean reversion, distinct jumps, and a significant upward trend due to higher VIX variation and vol-of-vol risk premium.

12 Mar 20233 sharesSource ↗

Master Equations for Non-Markovian Jump Processes

The article introduces a standard form of equations for one-dimensional non-Markovian jump processes, showcasing the Generalized Langevin Equation as a universal model.

9 Dec 202327 shares14 citations todaySource ↗

Performance analysis

The chapter reviews the performance analysis of global bond portfolios, stressing the need for precise return calculations and adherence to the Global Investment Performance Standards for presenting performance results.

13 Dec 202318 sharesSource ↗

Bond Portfolios: Markets and Benchmarks

Markets and Benchmarks: Global bond portfolios invest in various markets, considering risks such as currency, liquidity, political, and macroeconomic, with a focus on either developed or emerging markets.

13 Dec 202317 sharesSource ↗

Factor Models for Bond Analysis

Factor models are used by global bond portfolio managers to comprehend portfolio behavior and explain risk and return, emphasizing model specification.

13 Dec 202316 sharesSource ↗

Yield Curve Attribution for Bonds

Yield curve-based approach is used in investment management for performance attribution to assess skill, measure returns, identify risk sources, and compare portfolios to benchmarks.

13 Dec 202316 sharesSource ↗

Bond selection

The chapter explains the bond selection process in portfolio construction, emphasizing the need to evaluate individual bond risk and expected returns using a bottom-up approach.

13 Dec 202320 sharesSource ↗

Sports Performance Analysis with ML and Statistical Models

Machine learning can be used in sports prediction, especially in football, to develop strategies for maximizing revenue, with a paper outlining the required steps in data processing and analysis.

13 Dec 202315 sharesSource ↗

ML Panel Data Regressions for Heavy-Tailed Data

A study presents structured machine learning regressions for heavy-tailed dependent panel data, using a new concentration inequality for such data.

13 Dec 202319 sharesSource ↗

ML Survival Models for Startup Failures

A research assesses the effectiveness of machine learning survival models in predicting startup failures, showing that advanced models are more accurate than standard ones.

13 Dec 202316 sharesSource ↗

Bitcoin Futures Price Forecasting with ML

Machine learning algorithms have proven more effective than traditional models in predicting Bitcoin futures prices, maintaining an average accuracy rate above 50%.

13 Dec 202318 sharesSource ↗

Political Clustering in Vietnam Stock Exchange

Machine learning is used in a study to group politically affiliated businesses, suggesting it can replace traditional methods and moderately political businesses perform better.

13 Dec 202322 sharesSource ↗

Housing as inflation hedge

The research uses advanced AI techniques to show that real estate investments can protect against inflation in Japan and the US, with a risk-reward balance in Japan but not in the US.

20 Jul 202212 sharesSource ↗

Constrained index tracking optimization models

The research investigates two methods of including liquidity constraints in index tracking portfolio optimization, finding that these constraints increase liquidity and tracking errors.

13 Dec 202334 sharesSource ↗

Forecasting Parameters in SABR Model

The research introduces two methods for forecasting parameters in the SABR model, both of which show accurate predictions for out-of-sample dates.

9 Mar 202215 sharesSource ↗

Adversarial Learning for Feature Shift Detection and Correction

The study investigates the use of adversarial learning to identify and correct feature shifts in datasets, demonstrating that it can outperform current statistical and neural network-based methods when combined with mainstream supervised classifiers.

7 Dec 202318 shares5 citations todaySource ↗

Scaling Laws of Synthetic Images for Training Models

The study investigates the scaling laws of synthetic images used in training supervised models, identifying factors that influence scaling behavior and situations where scaling synthetic data is most effective.

7 Dec 2023112 shares138 citations todaySource ↗

GLAT: Efficient Training of Gated Linear Attention Transformers

Efficient Training of Gated Linear Attention Transformers: The research introduces a more hardware-efficient version of gated linear attention Transformers that performs well against other models, especially in training on longer sequences.

11 Dec 2023150 shares539 citations todaySource ↗

LLMM: Impact and Potential for Mathematicians

Impact and Potential for Mathematicians: The article explores how large language models like ChatGPT can assist professional mathematicians, discussing their mathematical capabilities, best practices, and potential issues.

7 Dec 2023134 shares11 citations todaySource ↗

Efficient Accelerated 3D Gaussians with Lightweight Encoding

The paper introduces a technique that uses quantized embeddings and a coarse-to-fine training strategy to optimize 3D Gaussian splatting, reducing memory storage and speeding up novel-view scene synthesis.

7 Dec 202328 shares276 citations todaySource ↗

Hyperparameter Transfer in Residual Networks

A new method for hyperparameter tuning in deep learning has been proposed, using residual networks and a specific parameterization for optimal hyperparameter transfer across network width and depth.

28 Sep 2023106 shares69 citations todaySource ↗

Agent-Based Modeling with Concordia

Concordia is a library designed to help build and operate Generative Agent-Based Models (GABMs), using Large Language Models (LLMs) to simulate physical or digital environments.

6 Dec 202383 shares164 citations todaySource ↗

Pre-Trained Models for E2E Speech Recognition

The study investigates the integration of a pre-trained speech representation model with a large language model for automatic speech recognition, achieving performance similar to modern models.

6 Dec 202341 shares23 citations todaySource ↗

Production RL Agent

The article discusses how Reinforcement Learning (RL) offers a flexible framework for achieving long-term goals.

9 Dec 2023601 shares

Parallel Function Calling Compiler

The piece introduces LLMCompiler, a tool that enhances function call orchestration and is compatible with open-source models such as LLaMA2.

10 Dec 2023263 shares

LLMs & Simple Rules

The article emphasizes the need to define and limit the actions of Large Language Models as they become more involved in real-world tasks.

10 Dec 2023138 shares

Controlled Text Gen. with Language Models

The piece presents a framework that offers better control over text generation than previous methods and direct prompting.

11 Dec 2023105 shares

Stopping Hallucination in LLM Chatbots

The article presents WikiChat, a tool that uses an LLM to create factual and interesting responses by merging grounded facts with extra information from a corpus.

13 Dec 202364 shares

Generative Agent-based Modeling w/ Concordia

The article gives a summary of agent-based modeling, a technique widely used in social and natural sciences for many years.

9 Dec 202359 shares

Text to Knowledge Graph

The repo explores a tool that converts text into a knowledge graph for easier understanding.

22 Oct 2023289 shares

Pearl: RL AI Agent Library

RL AI Agent Library: Meta's Applied Reinforcement Learning team has created an AI agent library using reinforcement learning.

7 Apr 2023582 shares

Blockchain Data Extraction with cryo

Cryo is a tool that aids in converting blockchain data into different formats.

27 Jun 2023791 shares

Portfolioapp: Visualizing & Forecasting Portfolio Value

Visualizing & Forecasting Portfolio Value: The repo presents a dashboard for visualizing and predicting the future value of your investments.

10 Feb 20223 shares

NeurIPS2023OneFitsAll: Power Time Series Analysis

Power Time Series Analysis: The repo shares the official code for a general time series analysis method featured at NeurIPS 2023.

22 Sep 2023140 shares

Quant Finance & Algorithmic Trading

The repo explores the relationship between quantitative finance and algorithmic trading.

15 Apr 2015273 shares

Magicoder: Source Code Only

Source Code Only: The repo discusses Magicoder, a complete solution for source code management.

10 Nov 2023609 shares

BMLL expands China equity data

Data provider BMLL has broadened its China data coverage to include Shanghai, alongside Shenzhen and Hong Kong.

8 Dec 20237 shares

Trade bodies contest SEC rules

Two SEC rules mandating public disclosure of securities loans and short selling activity are being challenged in court by three financial associations.

13 Dec 20236 shares

23: Year of the Quants

Year of the Quants: Quant predicts that 2023 will be a significant year for quantitative analysts.

10 Dec 20236 shares

CME Group to launch FX Spot

CME Group is set to introduce a new foreign exchange marketplace, CME FX Spot, with client testing scheduled for the second half of 2024.

8 Dec 20236 shares

Man Group partners with Columbia Center on Sustainable Investment: Man Group partners with Columbia Center on Sustainable Investment.

Man Group partners with Columbia Center on Sustainable Investment.: Man Group is partnering with the Columbia Center on Sustainable Investment to research climate impact measurement in fixed income and equity portfolios.

7 Dec 20235 shares

AI hedgefund to launch in Australia: AI hedgefund to launch in Australia.

AI hedgefund to launch in Australia.: Thomas Rice and Armina Rosenberg have launched Minotaur Capital Management, a Sydney-based global equity investment manager.

12 Dec 20235 shares

Former intern shares experience at HRT and SIG: Former intern shares experience at HRT and SIG.

Former intern shares experience at HRT and SIG.: A former intern at HRT and SIG Business Insider shares their experience working in quant trading.

12 Dec 20234 shares

France's Hedge Fund Attraction Plan for Paris

France aims to attract more hedge funds and banks to Paris to boost its status as a European Union finance hub.

8 Dec 20233 shares

Point72 Expands Macro Trading Teams

Point72, a hedge fund owned by billionaire Steve Cohen, is said to be growing its macro trading team.

12 Dec 20233 shares

Man Technologists Doubt AI's Alpha Generation

Man Group CEO, Robyn Grew, has noted the frequent mention of AI in client talks, emphasizing its potential and constraints in their operations.

8 Dec 20232 shares

Navigating the Market

Larry Tentarelli shares his market trend spotting strategies, discusses current market trends, and provides insights on the US dollar and gold in an interview featured in the article.

11 Dec 20239 shares

SigTech Backtesting Engine

The article features a discussion with SigTech's founder, Bin Ren, about the development of a backtesting engine and the incorporation of large language models into their process.

11 Dec 20237 shares

Introduction to Blockchain and Bitcoin

The presentation delves into the mathematical aspects of blockchain technology and Bitcoin, referencing the book Some Fundamentals of Mathematics of Blockchain and the speaker's extensive research.

12 Dec 20237 shares

Geopolitics' Investment Implications Globally

Erik Townsend and Patrick Ceresna of MacroVoices discuss the influence of global geopolitical events on financial markets with Clocktower Group's Marko Papic.

7 Dec 20236 shares

Invested: Stock Market Advice's Impact on Money Markets

Stock Market Advice's Impact on Money Markets: The book Invested scrutinizes the effectiveness and allure of investment advice in the UK and US, emphasizing its offer of insider knowledge to outsiders.

10 Dec 20235 shares

Joel Tillinghast: Fidelity Investments Manager

Fidelity Investments Manager: Barry Ritholtz converses with Joel Tillinghast of Fidelity Investments about his career trajectory and investment strategies.

8 Dec 20234 shares

024 MFE Rankings Released

The 024 QuantNet MFE ranking is set to be released soon, featuring new programs that were not included in the 2023 ranking.

12 Dec 20231 shares

Sharper Image: Review by Shyam Sunder

Review by Shyam Sunder: Sharper Image is a piece of work created by Shyam Sunder.

10 Dec 20230 shares

WILMOTT Magazine Jan. 2024

The 129th edition of Wilmott magazine in 2024 includes exclusive articles from renowned columnists and researchers, featuring a work by D. Tudball.

8 Dec 20230 shares

Decision Tree Number Space Analysis

The article highlights the significance of data density, range, and domain in creating decision tree models, warning about the risk of overfitting.

10 Dec 20234 shares

Money's Role in Quant Finance

The article criticizes students who cite a love for money as their motivation for excelling in quantitative finance, advocating for a deeper understanding of economics.

12 Dec 202323 shares

ChatGPT4's Stock Price Forecasting Potential

The article explores the potential of ChatGPT4 in predicting stock market trends, comparing it with older models and showcasing live sentiment analysis.

12 Dec 20235 shares

Number Space Considerations in Decision Tree Models

The article underscores the need to consider number space in model development, especially decision trees, and the difficulty in assessing the suitability of sample data.

10 Dec 20233 shares

Rene Aid's Lecture at Peter Carr BQE Series

The article refers to a lecture given by Economics Professor Rene Aid at the Peter Carr BQE Lecture Series from Paris-Dauphine University.

7 Dec 20230 shares

Smallcap Stocks Market on NASDAQ

8 Dec 202337 shares

Top Dataset for US Equity Options

10 Dec 20237 shares

Easy Daily Risk-Free Rate Data

10 Dec 20236 shares

TRS Spread for Risk Premia Strategies

9 Dec 20235 shares

Quants Networking in London: Opportunities and Events

7 Dec 202322 shares

Jane Street's Election Loss

11 Dec 202399 shares