---
title: Quant Letter No. 40: March 2024, Week 2
url: https://www.ml-quant.com/issues/2024-03-13/
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: 2024-03-13
---


# Quant Letter No. 40: March 2024, Week 2

Sent 2024-03-13. 95 items.

## arXiv

### Finance

- __[Rank Volatility Models](https://arxiv.org/abs/2403.04674)__: A new model for large equity markets over long periods of time has been introduced, using rank volatility stabilized models, which aligns well with empirical data and allows for relative arbitrage. (2024-03-07, shares: 7) · https://www.ml-quant.com/papers/arxiv/2403.04674/
- __[Debt Security Framework](https://arxiv.org/abs/2403.06303)__: A new framework for pricing debt securities under varying short-rate diffusion processes has been proposed, including an efficient algorithm for pricing callable/putable debts and convertible bonds, and aligns perfectly with the current market interest rates. (2024-03-10, shares: 4) · https://www.ml-quant.com/papers/arxiv/2403.06303/
- __[Convex Risk Measures](https://arxiv.org/abs/2403.06188)__: A new concept of GG-convex conjugate, a geometrically convex function suitable for financial risk measures, has been introduced, with a general dual representation for GG-convex risk measures derived, using Orlicz risk measures as a key example. (2024-03-10, shares: 2) · https://www.ml-quant.com/papers/arxiv/2403.06188/
- __[Algorithmic Collusion & Price Discrimination](https://arxiv.org/abs/2403.06150)__: The first article investigates how companies' algorithm-based pricing strategies can result in collusion and price discrimination, negatively impacting consumer surplus and societal welfare. (2024-03-10, shares: 2) · https://www.ml-quant.com/papers/arxiv/2403.06150/
- __[Analyzing the Great Recession: Credit Expansion and Business Cycles](https://arxiv.org/abs/2403.04104)__: Credit Expansion and Business Cycles: The study reveals that the 1999-2010 U.S. business cycle was primarily driven by credit expansion in private-label mortgages, leading to a significant boom and bust in housing-related industries. This contradicts several previous theories about the cycle's cause. (2024-03-06, shares: 2) · https://www.ml-quant.com/papers/arxiv/2403.04104/

## SSRN

### Quantitative

- __[Variogram Inference with CNNs](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4753122)__: The paper introduces a new method for deducing covariance functions from sparse data using Convolutional Neural Networks, offering high accuracy and low computational time. (2024-03-08, shares: 3) · https://www.ml-quant.com/papers/ssrn/4753122/
- __[Graph Attention Networks for Portfolio Optimization](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4757308)__: The paper finds that Graph Attention Networks yield better investment outcomes compared to traditional complex system-based optimization models. (2024-03-13, shares: 5) · https://www.ml-quant.com/papers/ssrn/4757308/
- __[Data Preprocessing for Code Smell Detection](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4756315)__: The review examines 69 studies on machine learning's role in detecting code smell (error detection), emphasizing the importance of data preprocessing techniques. (2024-03-12, shares: 2) · https://www.ml-quant.com/papers/ssrn/4756315/
- __[Convergence of Two Point Flux for Options Pricing](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4751533)__: The paper explores numerical solutions for the Black-Scholes Partial Differential Equation in options pricing, using specific approximation methods. (2024-03-07, shares: 2) · https://www.ml-quant.com/papers/ssrn/4751533/
- __[Realised Volatility Forecasting with Word Embedding](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4754276)__: The study presents FinText, a tool that enhances volatility forecasts using business news archives and identifies key phrases impacting volatility. (2024-03-10, shares: 2) · https://www.ml-quant.com/papers/ssrn/4754276/
- __[Generalized Measures of Correlation in Chinese Markets](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4755641)__: The paper uncovers a V curve pattern in the Shanghai stock market, showing a stronger dependency of volatility on negative return. (2024-03-11, shares: 2) · https://www.ml-quant.com/papers/ssrn/4755641/
- __[Cointegrated Portfolios in Crypto Market](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4756389)__: The study finds a correlation between cryptocurrency market volatility and trading spread, suggesting portfolios based on the Johansen procedure yield the highest returns. (2024-03-11, shares: 4) · https://www.ml-quant.com/papers/ssrn/4756389/
- __[Disaster Sentiment Analysis with Deep Learning](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4755638)__: The article discusses the challenge of rapidly analyzing and using vast social media data during natural disasters for effective crisis management. (2024-03-11, shares: 2) · https://www.ml-quant.com/papers/ssrn/4755638/
- __[Trading Volume Shifts and Market Quality](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4757345)__: The study reveals that high-volume closing auctions distort the closing price and reduce intraday liquidity in major European markets. (2024-03-13, shares: 2) · https://www.ml-quant.com/papers/ssrn/4757345/
- __[Swing Pricing and Investment Funds' Liquidity](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4754902)__: Swing pricing can mitigate liquidity risk in open-ended funds during market stress, but its effectiveness may be limited by factors like increased volatility, leverage, and non-disclosure practices. (2022-09-07, shares: 2) · https://www.ml-quant.com/papers/ssrn/4754902/
- __[Global Credit Shocks Transmission](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4756133)__: Global credit supply shocks significantly impact country-level financial outcomes, emphasizing the need for sector-specific credit market monitoring. (2022-06-01, shares: 2) · https://www.ml-quant.com/papers/ssrn/4756133/
- __[Mutual Fund Securities Lending and Proxy Voting](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4757185)__: Mutual funds, especially ESG funds, recall loaned shares before voting record dates, with recalled shares more likely to vote against management proposals, attracting higher fund flows without poor performance due to lost lending revenues. (2023-11-15, shares: 2) · https://www.ml-quant.com/papers/ssrn/4757185/
- __[Redeployability of Trademarks as Collateral](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4755955)__: The study reveals that firms are negatively impacted by court decisions that undermine trademark redeployability, leading to a decrease in book leverage. (2023-11-10, shares: 2) · https://www.ml-quant.com/papers/ssrn/4755955/
- __[Impact of Liquidity Shocks on Asset Returns](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4755434)__: The article disputes common models of flight-to-liquidity shocks, arguing that the post-2010 fall in the natural rate was due to a slowdown in productivity growth, not liquidity shocks. (2022-08-10, shares: 2) · https://www.ml-quant.com/papers/ssrn/4755434/
- __[AI in Finance: Opportunities](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4753640)__: Opportunities: Big data and AI are transforming finance and accounting sectors by altering data processing and decision-making, with increased use of machine learning and AI analytics for empirical evidence analysis. (2024-01-20, shares: 2) · https://www.ml-quant.com/papers/ssrn/4753640/

### Financial

- __[Climate-Related Assets Financial Uncertainty](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4753434)__: The paper identifies a factor linked to climate news indices and commodity markets that contributes to the excess volatility of climate-sensitive assets. (2024-03-09, shares: 3) · https://www.ml-quant.com/papers/ssrn/4753434/
- __[Securitization for Climate Risk Diversification](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4751898)__: The study suggests that financial institutions can reduce climate risk through securitization, particularly with diversified Mortgage-Backed Securities that have lower spatial concentration and correlation in wildfire events. (2024-03-07, shares: 31) · https://www.ml-quant.com/papers/ssrn/4751898/
- __[Global Market Betas](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4755442)__: The research finds the Welch 2022 age-decayed slope-winsorized beta estimator to be the most effective among 11 market beta estimators in forecasting and hedging performance across international stock markets. (2024-03-11, shares: 7) · https://www.ml-quant.com/papers/ssrn/4755442/
- __[Hull and White Model Simulation](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4756390)__: The study introduces a method to simulate asset price and variance under the Hull and White stochastic volatility model, offering a way to generate unbiased estimates for the price of derivatives instruments. (2024-03-12, shares: 3) · https://www.ml-quant.com/papers/ssrn/4756390/
- __[Stress Index Strategy](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4754939)__: A new stock market strategy that uses a financial stress indicator and sentiment analysis from ChatGPT reading Bloomberg daily market summaries has improved performance in major equity markets. (2024-03-11, shares: 2) · https://www.ml-quant.com/papers/ssrn/4754939/
- __[Blades of Carry](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4752712)__: A new predictor, MCOR, uses a moderate cross-section of currency returns and covariates correlation to robustly predict carry trade returns, introducing a new currency investment strategy called MaC strategy. (2024-03-08, shares: 3) · https://www.ml-quant.com/papers/ssrn/4752712/
- __[Macro Strikes Back](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4752696)__: A unified framework reveals that most macroeconomic factors have increasing unconditional term structures with large risk premia at business cycle horizons. (2024-03-08, shares: 8) · https://www.ml-quant.com/papers/ssrn/4752696/
- __[Predicting Corporate Bond Returns](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4753422)__: Machine learning, particularly Random Forest, shows strong evidence of return predictability and investment gains for individual corporate bonds, especially in private bonds. (2024-03-09, shares: 3) · https://www.ml-quant.com/papers/ssrn/4753422/
- __[Analytic Solution to Market Beta Value](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4751502)__: In the Markowitz market, market clearing is the same as the market portfolio's clearing, and the CAPM equation is equivalent to the semi-clearing condition, which determines the composition value percentage of the market portfolio. (2024-03-07, shares: 3) · https://www.ml-quant.com/papers/ssrn/4751502/
- __[Corporate Bond Valuation Factors](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4751242)__: Corporate bond credit spreads are affected by default risk and convenience services, with the European Central Bank's corporate quantitative easing programs significantly impacting corporate bonds' convenience yields. (2023-12-27, shares: 2) · https://www.ml-quant.com/papers/ssrn/4751242/
- __[Synthetic Beta with Monte Carlo](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4754578)__: A new method for approximating the beta coefficient in investment projects is proposed, using a simulation model of expected returns to determine the project's market beta when the risk-return relationship is unobservable. (2024-02-16, shares: 2) · https://www.ml-quant.com/papers/ssrn/4754578/
- __[Retail Trading Intensity Gap](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4752520)__: The 'overnight-intraday return gap' in stock markets is largely due to retail investors' trading intensity, who tend to trade more actively in low per-share price and high volatility stocks. (2024-02-20, shares: 7) · https://www.ml-quant.com/papers/ssrn/4752520/
- __[Growth and Value Price Representation](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4754794)__: The paper suggests three linked solutions to the absence of a comprehensive asset pricing theory: state-space representation, explanatory gain decomposition approach, and shifting research focus from asset returns to asset prices. (2023-03-03, shares: 2) · https://www.ml-quant.com/papers/ssrn/4754794/
- __[The Perfect Portfolio](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4754594)__: In Pursuit of the Perfect Portfolio discusses the work of finance scholars in portfolio management and the potential for a perfect risk-reward balance. (2022-06-20, shares: 2) · https://www.ml-quant.com/papers/ssrn/4754594/
- __[Data Breach Laws and Stock Price](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4751586)__: Research shows that laws requiring firms to disclose data breaches increase future stock price crash risk, especially for firms with weak governance and high financial constraints. (2023-03-28, shares: 2) · https://www.ml-quant.com/papers/ssrn/4751586/
- __[Rolling Window Portfolio Insurance](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4752549)__: A paper improves Option-based portfolio insurance (OBPI) to provide better portfolio protection over a rolling window. (2022-06-30, shares: 2) · https://www.ml-quant.com/papers/ssrn/4752549/

## RePEc

### Finance

- __[Local Volatility Global Impact](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fhdl.handle.net%2F10.1080%2F1351847X.2023.2206040%3Bh%3Drepec%3Ataf%3Aeurjfi%3Av%3A30%3Ay%3A2024%3Ai%3A5%3Ap%3A481-502)__: A study of 21 equity indices in 17 developed economies found that global variables are the main determinants of local volatility persistence. (2024-03-13, shares: 24) · https://www.ml-quant.com/papers/repec/taf-eurjfi-v-30-y-2024-i-5-p-481-502/
- __[Currency Hedging Strategy](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fhdl.handle.net%2F10.1080%2F14697688.2023.2301419%3Bh%3Drepec%3Ataf%3Aquantf%3Av%3A24%3Ay%3A2024%3Ai%3A2%3Ap%3A305-327)__: A non-Gaussian dynamic currency hedging strategy for globally diversified investors is stable, robust, and highly risk reductive, outperforming other hedging approaches. (2024-03-13, shares: 22) · https://www.ml-quant.com/papers/repec/taf-quantf-v-24-y-2024-i-2-p-305-327/
- __[Crude Oil Futures Time-Frequency Correlation](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.emerald.com%2Finsight%2Fcontent%2Fdoi%2F10.1108%2FJRF-04-2023-0096%2Ffull%2Fhtml%3Futm_source%3Drepec%26utm_medium%3Dfeed%26utm_campaign%3Drepec%3Bh%3Drepec%3Aeme%3Ajrfpps%3Ajrf-04-2023-0096)__: Short-term trading increases price volatility in crude oil futures markets, with different futures markets susceptible to same fall but different rise scenarios, according to a study. (2024-03-13, shares: 19) · https://www.ml-quant.com/papers/repec/eme-jrfpps-jrf-04-2023-0096/
- __[Estr OIS Market Efficiency](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS104244312400009X%3Bh%3Drepec%3Aeee%3Aintfin%3Av%3A91%3Ay%3A2024%3Ai%3Ac%3As104244312400009x)__: Only investors who can split the bid-ask spread can profitably exploit pricing errors in the Euro Short Term Rate Overnight Index Swaps market, according to a study. (2024-03-13, shares: 16) · https://www.ml-quant.com/papers/repec/eee-intfin-v-91-y-2024-i-c-s104244312400009x/
- __[NFTs and Conventional Currencies](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1186%2Fs40854-023-00570-7%3Bh%3Drepec%3Aspr%3Afininn%3Av%3A10%3Ay%3A2024%3Ai%3A1%3Ad%3A10.1186_s40854-023-00570-7)__: The study shows that NFTs have a minor link with traditional currencies but significantly impact returns and volatility during the Covid-19 crisis. (2024-03-13, shares: 16) · https://www.ml-quant.com/papers/repec/spr-fininn-v-10-y-2024-i-1-d-10-1186-s40854-023-00570-7/
- __[Commodity Financialization](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fdoi.org%2F10.1002%2Ffut.22485%3Bh%3Drepec%3Awly%3Ajfutmk%3Av%3A44%3Ay%3A2024%3Ai%3A4%3Ap%3A631-652)__: The study reveals that volatility in financial markets and global macroeconomic variables impact soybeans' convenience yield, supporting the notion of commodity financialization. (2024-03-13, shares: 12) · https://www.ml-quant.com/papers/repec/wly-jfutmk-v-44-y-2024-i-4-p-631-652/
- __[Trading Strategies with Insider Silence](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.scienpress.com%2FUpload%2FJAFB%252fVol%252014_2_4.pdf%3Bh%3Drepec%3Aspt%3Aapfiba%3Av%3A14%3Ay%3A2024%3Ai%3A2%3Af%3A14_2_4)__: The study shows that insider trading strategies, specifically buying insider purchases and selling insider sales, yield higher profits over longer holding periods. (2024-03-13, shares: 12) · https://www.ml-quant.com/papers/repec/spt-apfiba-v-14-y-2024-i-2-f-14-2-4/
- __[Evaluation of GARCH-MIDAS Volatility Models](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fhdl.handle.net%2F10.1080%2F1351847X.2023.2217220%3Bh%3Drepec%3Ataf%3Aeurjfi%3Av%3A30%3Ay%3A2024%3Ai%3A6%3Ap%3A575-596)__: The study cautions that data-mining bias can skew forecasts and that the contribution of macro-variables in forecasting total variance by GARCH-MIDAS models is exaggerated. (2024-03-13, shares: 12) · https://www.ml-quant.com/papers/repec/taf-eurjfi-v-30-y-2024-i-6-p-575-596/
- __[Extreme Connectedness of AI Assets](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS104244312300197X%3Bh%3Drepec%3Aeee%3Aintfin%3Av%3A91%3Ay%3A2024%3Ai%3Ac%3As104244312300197x)__: The research suggests AI tokens can diversify portfolios under normal market conditions and provide low-cost hedging for traditional assets, except oil and cryptocurrency, but are sensitive to extreme shocks. (2024-03-13, shares: 16) · https://www.ml-quant.com/papers/repec/eee-intfin-v-91-y-2024-i-c-s104244312300197x/

### Machine Learning

- __[Panel data nowcasting: P/E ratios](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fdoi.org%2F10.1002%2Fjae.3028%3Bh%3Drepec%3Awly%3Ajapmet%3Av%3A39%3Ay%3A2024%3Ai%3A2%3Ap%3A292-307)__: P/E ratios: The study uses machine learning to accurately predict corporate earnings, outperforming other methods. (2024-03-13, shares: 20) · https://www.ml-quant.com/papers/repec/wly-japmet-v-39-y-2024-i-2-p-292-307/
- __[LeadLag Relationship: Futures vs. Cash Index](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fhdl.handle.net%2F10.1080%2F1331677X.2022.2090404%3Bh%3Drepec%3Ataf%3Areroxx%3Av%3A36%3Ay%3A2023%3Ai%3A1%3Ap%3A1549-1569)__: Futures vs. Cash Index: Research shows that the CSI 300 index futures typically precede the cash index by 0-5 minutes, but this lead time can vary depending on market conditions. (2023-06-09, shares: 21) · https://www.ml-quant.com/papers/repec/taf-reroxx-v-36-y-2023-i-1-p-1549-1569/
- __[Factors Affecting Cryptocurrency Returns](https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fimpactum-journals.uc.pt%2Fnotaseconomicas%2Farticle%2Fview%2F14048%2F9705%3Bh%3Drepec%3Agmf%3Ajournl%3Ay%3A2023%3Ai%3A57%3Ap%3A71%3A85)__: The study finds that smaller market capitalization, higher reversal, lower liquidity, and lower maturity in cryptocurrencies tend to yield higher returns. (2023-09-20, shares: 12) · https://www.ml-quant.com/papers/repec/gmf-journl-y-2023-i-57-p-71-85/
- __[Investor Sentiment and IPO Flipping in China](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fhdl.handle.net%2F10.1080%2F1331677X.2022.2113739%3Bh%3Drepec%3Ataf%3Areroxx%3Av%3A36%3Ay%3A2023%3Ai%3A1%3Ap%3A2113739)__: The research reveals that investor sentiment, risk-free interest rates, and broad market indices significantly affect IPO first-day flipping in China. (2023-03-07, shares: 12) · https://www.ml-quant.com/papers/repec/taf-reroxx-v-36-y-2023-i-1-p-2113739/
- __[Robust Testing of Risk Premia in Factor Models](https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fhdl.handle.net%2F10.1093%2Fjjfinec%2Fnbac010%3Bh%3Drepec%3Aoup%3Ajfinec%3Av%3A21%3Ay%3A2023%3Ai%3A2%3Ap%3A263-297.)__: The research introduces new tests for risk premia in linear factor models, offering more reliable results than traditional methods. (2023-08-27, shares: 11) · https://www.ml-quant.com/papers/repec/oup-jfinec-v-21-y-2023-i-2-p-263-297/

## Machine learning

### Recently Published

- __[Variance-Preserving Aggregation for GNNs](https://arxiv.org/abs/2403.04747)__: A new variance-preserving aggregation function for Graph Neural Networks is proposed, which could lead to more efficient and self-normalizing networks. (2024-03-07, shares: 77) · https://www.ml-quant.com/papers/arxiv/2403.04747/
- __[Efficient Algorithm for Batch Bayesian Optimization](https://arxiv.org/abs/2403.04764)__: A novel method for batch Bayesian Optimization (BO) is introduced, which reduces redundancy and focuses on points with high predictive means or uncertainty, showing superior performance on nonconvex test functions. (2024-03-07, shares: 13) · https://www.ml-quant.com/papers/arxiv/2403.04764/
- __[BloomGML: Graph Machine Learning via Bilevel Optimization](https://arxiv.org/abs/2403.04763)__: Graph Machine Learning via Bilevel Optimization: The paper views graph learning techniques as special cases of bilevel optimization, introducing a new class of energy functions for graph neural network layers, and showcasing the versatility of this approach through empirical results. (2024-03-07, shares: 12) · https://www.ml-quant.com/papers/arxiv/2403.04763/

### Historical Trending

- __[Linear Recurrences & Non-linear Projections](https://arxiv.org/abs/2307.11888)__: The study reveals that deep neural networks using linear complex-valued RNNs and MLPs can accurately approximate regular causal sequence-to-sequence maps, with complex eigenvalues near unit disk aiding in information storage. (2023-07-21, shares: 91) · https://www.ml-quant.com/papers/arxiv/2307.11888/
- __[Offline RL Sample Complexity](https://arxiv.org/abs/2204.05275)__: A paper reveals that a model-based approach can achieve optimal sample complexity without burn-in cost in offline reinforcement learning for tabular Markov decision processes, providing an efficient solution for sample-starved applications. (2022-04-11, shares: 31) · https://www.ml-quant.com/papers/arxiv/2204.05275/

## Papers with code

### Trending

- __[Generalist Model for Named Entity Recognition](https://github.com/urchade/gliner)__: Named Entity Recognition (NER) is identified as a key component in various Natural Language Processing (NLP) applications. (2024-03-11, shares: 98)
- __[AgentLite](https://github.com/salesforceairesearch/agentlite)__: AgentLite is a new open-source AI library that makes it easier to develop and apply LLM agent reasoning architectures. (2024-03-11, shares: 96)
- __[General Computer Control](https://github.com/baai-agents/cradle)__: Current foundation agents have difficulty adapting to different scenarios due to changes in observations and actions. (2024-03-08, shares: 78)

## GitHub

- __[Stock Indicators with Python](https://github.com/DaveSkender/Stock.Indicators.Python)__: Stock Indicators for Python is a tool designed to analyze the stock market. (2021-07-12, shares: 144)
- __[pgvectorize: Postgres Vector Search](https://github.com/tembo-io/pg_vectorize)__: Postgres Vector Search: The article provides a simple method for managing vector search on Postgres. (2023-07-24, shares: 461)
- __[TransformersAreWhatYouDontNeed: Non-Transformer Time Series Models](https://github.com/valeman/Transformers_Are_What_You_Dont_Need)__: Non-Transformer Time Series Models: The repository offers insights into the reasons behind the failure of transformers in time series forecasting and emphasizes the most effective non-transformer models. (2023-06-20, shares: 232)
- __[textclustering: Labeling Text Data](https://github.com/huggingface/text-clustering)__: Labeling Text Data: This tool simplifies the process of embedding and semantically labeling text datasets. (2024-01-12, shares: 109)
- __[litgpt: Hackable LLM](https://github.com/Lightning-AI/litgpt)__: Hackable LLM: A customizable version of the latest open-source LLMs, based on nanoGPT, is accessible under the Apache 2.0 license. (2023-05-04, shares: 5205)
- __[PyRIT: AI Security Risk Tool](https://github.com/Azure/PyRIT)__: AI Security Risk Tool: PyRIT is an open-source software that aids in identifying potential risks in generative AI systems used by security professionals and machine learning engineers. (2023-12-12, shares: 1093)
- __[kernelmemory: LLM Data Indexing](https://github.com/microsoft/kernel-memory)__: LLM Data Indexing: LLM is a tool that enables the indexing and querying of any data using natural language, and it also displays sources and citations. (2023-07-13, shares: 1012)

## News

### Quantitative

- __[Quant Hedge Fund Pays £140k](https://www.efinancialcareers.com/news/a-quant-hedge-fund-paying-graduates-140k-is-doing-ballistic-hiring)__: A quantitative hedge fund is starting 2024 by significantly increasing its staff. (2024-03-11, shares: 4)
- __[Man Group's Data Platform Saves Time](https://news.google.com/rss/articles/CBMid2h0dHBzOi8vd3d3LndhdGVyc3RlY2hub2xvZ3kuY29tL2RhdGEtbWFuYWdlbWVudC83OTUxNjkxL21hbi1ncm91cHMtcHJvcHJpZXRhcnktZGF0YS1wbGF0Zm9ybS1pcy1hLXRpbWVzYXZlci1mb3ItcXVhbnRz0gEA?oc=5)__: Man Group has improved efficiency for quantitative analysts with its proprietary data platform. (2024-03-12, shares: 4)
- __[Qube Builds Barclays Short Position](https://www.hedgeweek.com/qube-builds-biggest-ever-barclays-short-position/)__: London-based hedge fund firm, Qube Research & Technologies, has built the largest ever short position against Barclays, representing 0.73% of the bank's stock. (2024-03-13, shares: 3)
- __[HK Hedge Fund Infini Approved in Abu Dhabi](https://www.hedgeweek.com/hk-hedge-fund-infini-secures-abu-dhabi-approval/)__: Hong Kong-based hedge fund firm Infini Capital Management has received preliminary approval to open an office in the Abu Dhabi Global Markets. (2024-03-08, shares: 3)
- __[Paul Krueger Speaker at Fordham](https://news.google.com/rss/articles/CBMiVWh0dHBzOi8vd3d3LnJlYmVsbGlvbnJlc2VhcmNoLmNvbS9wYXVsLWtydWVnZXItbWlsbGVuaXVtLXF1YW50LXRyYWRlci1mb3JkaGFtLXNwZWFrZXLSAQA?oc=5)__: Millenium Quant Trader and Fordham Speaker, Paul Krueger, is highlighted in Rebellion Research. (2024-03-12, shares: 2)

## Podcasts

### Quantitative

- __[Mark Ritchie II: Philosophy in Market Mastery](https://pdcn.co/e/www.buzzsprout.com/2034153/14657284-mark-ritchie-ii-unearths-the-philosophical-approach-to-market-mastery.mp3)__: Philosophy in Market Mastery: Mark Ritchie II highlights the need for understanding market trends, mastering trading strategies, and risk management in fluctuating markets. (2024-03-09, shares: 10)
- __[Mark J. Higgins: U.S. Financial History](https://traffic.megaphone.fm/NBNK3517445030.mp3?updated=1710186105)__: U.S. Financial History: Mark Higgins' Investing in U.S. Financial History offers a detailed financial history of the US, providing insights into managing financial crises, identifying asset bubbles, and the advantages of index funds. (2024-03-13, shares: 8)
- __[Jack Shannon: Active Management and ETFs](https://investresolve.com/podcasts/jack-shannon-unveiling-the-future-of-active-management-and-etfs/)__: Active Management and ETFs: Jack Shannon emphasizes the significance of downside protection, active equity management, and knowledge of market history for long-term investment success. (2024-03-08, shares: 16)

### Related

- __[Alternative Investments](https://centerforinvestmentexcellence.podbean.com/e/orbiting-the-paper-moon-a-conversation-on-alternative-investments-with-michael-cembalest/)__: David Lebovitz and Michael Cembalest discuss the role of private market allocations in portfolio diversification and growth, based on Cembalest's review of alternative investments. (2024-03-07, shares: 4)
- __[Datas Value in Trading](https://interactive-brokers-podcast.podbean.com/e/don-t-trade-blind-use-data-1710275485/)__: Will McBride and Dmitry Pargamanik of Market Chameleon emphasize the significance of data in trading in a podcast following their webinar on trade data. (2024-03-12, shares: 4)
- __[AI Trends with Kaggle Grand Master](https://datascienceathome.podbean.com/e/kaggle-kommandos-data-disco-laughing-our-way-through-ai-trends-ep-252/)__: The podcast humorously discusses data science trends, AI creativity, and Hollywood movies with Kaggle Grand Master Konrad Banachewicz, sponsored by Intrepid AI and Arctic Wolf Labs. (2024-03-07, shares: 4)

## X / Twitter

### Quantitative

- __[Recent Research on Asset Pricing and Machine Learning](https://twitter.com/quantseeker/status/1767538307800461323)__: The article recaps recent research on asset pricing, machine learning, and volatility. (2024-03-12, shares: 8)
- __[Machine Learning in Finance Review](https://twitter.com/quantseeker/status/1767475241469497698)__: The article discusses a repository based on the book Machine Learning in Finance From Theory to Practice. (2024-03-12, shares: 5)
- __[Multipletesting Framework for FX Trading Signals](https://twitter.com/quantseeker/status/1767684805779476566)__: The article presents a multiple-testing framework for predictive signals, outperforming existing frameworks in FX trading. (2024-03-12, shares: 3)
- __[Clifford Asness Interview on Momentum Trading and AI](https://twitter.com/quantseeker/status/1766032275546755311)__: The article features an interview with Clifford Asness on the use of price momentum and AI in natural language processing. (2024-03-08, shares: 2)
- __[Volatilitysorted Portfolios Data](https://twitter.com/quantseeker/status/1767835855316517070)__: The article shares data on the fluctuation of various portfolios, observed monthly from 1929 to 2023. (2024-03-13, shares: 1)
- __[Century of Macro Factor Investing](https://twitter.com/carlcarrie/status/1765766529268769054)__: The article explores a republished paper on diversified multi-asset strategies throughout different economic cycles. (2024-03-07, shares: 1)
- __[New LoBa Paper Fill Probabilities](https://twitter.com/carlcarrie/status/1765769923593130152)__: The article introduces a new paper that predicts the likelihood of order fulfillment at the best quotes in a limit order book. (2024-03-07, shares: 1)
- __[Market Neutral Carry Trades Paper](https://twitter.com/quantseeker/status/1767884962659803206)__: The article examines Dobromir Tzotchev's 2018 paper on market-neutral carry trades across various asset classes. (2024-03-13, shares: 1)
- __[Corporate Bond Factors Data Set](https://twitter.com/quantseeker/status/1767520470859927884)__: The article presents a dataset of corporate bond factors from 1994 to 2023, based on a paper by Houweling and van Zundert. (2024-03-12, shares: 1)

### Miscellaneous

- __[Earnings Call Surprise](https://twitter.com/quantseeker/status/1766097492142170479)__: Research indicates that unexpected information in earnings call reports, rather than the earnings themselves, cause a more significant post-announcement price drift. (2024-03-08, shares: 0)
- __[Information Leakage](https://twitter.com/quantseeker/status/1767672663076421887)__: A recent paper highlights the potential problems of information leakage and lookahead bias in large language models. (2024-03-12, shares: 0)
- __[Painful Investing](https://twitter.com/quantseeker/status/1767508092462203069)__: According to ManGroup, investors are prone to making poor decisions when experiencing high levels of stress or pain. (2024-03-12, shares: 0)
- __[Academic Support Levels](https://twitter.com/quantseeker/status/1766056815144444109)__: Zhang's research validates the existence of support and resistance levels in stock prices, suggesting stocks closing just above round numbers tend to rise, while those just below tend to fall. (2024-03-08, shares: 0)
- __[Fourier Series & FFT Applications](https://twitter.com/carlcarrie/status/1766088581783724479)__: The article celebrates Jean Baptiste Joseph Fourier's invention of Fourier series in the 18th century and explores its current use in Fast Fourier Transforms (FFTs). (2024-03-08, shares: 0)
- __[Computational Methods for Economists with Python](https://twitter.com/carlcarrie/status/1766739234159833585)__: Richard W. Evans offers tutorials and Python code for popular computational methods in economics. (2024-03-10, shares: 0)
- __[Structured Products & the Vix](https://twitter.com/quantseeker/status/1766119042396426521)__: The article debates the ability of structured products to control the Volatility Index (Vix). (2024-03-08, shares: 0)
- __[Order Clustering & Price Patterns](https://twitter.com/quantseeker/status/1766179993833422960)__: The article examines the effect of order clustering around whole dollar levels on stock price trends. (2024-03-08, shares: 0)
- __[FT AQRs Cliff Asness on Efficient Markets](https://twitter.com/carlcarrie/status/1766239243825799515)__: Cliff Asness discusses efficient markets, momentum fundamentals, and AI in natural language processing, highlighting the trend of savvy investors moving towards passive investing. (2024-03-08, shares: 0)
- __[BQE Lecture Series](https://www.youtube.com/watch?v=ardzpIZmXO0)__: NYU Tandon's Department of Finance and Risk Engineering hosted a lecture by Xin Zhang from the University of Vienna on the Wasserstein Space of Stochastic Processes. (2024-03-07, shares: 0)