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Quant LetterNo. 90

March 2025, Week 4

178 items across 9 sections, as sent to readers on 26 March 2025. Paper titles open their ML-Quant page; ↗ goes to the source.

Items
178
Papers
116
Sections
9
Issue
No. 90
View as MarkdownOpen in ClaudeOpen in ChatGPTOpen in PerplexitySite index for AI (llms.txt)

arXiv

Quantitative-finance and ML-for-finance preprints from arXiv.

26 items

Finance7

01

Dealing with Toxic Flow

The study shows Large Language Models are consistent and reproducible in finance and accounting research, even outperforming human experts.

19 shares42 citations todaySource ↗

03

AI Credit Default Prediction

The study presents an optimal dealing strategy for brokers, introducing an algorithm suitable for real-world trading.

15 shares3 citations todaySource ↗

04

Bayesian Portfolio Optimization

The research explores the properties of a signature volatility model, showing the price process is a true martingale under specific conditions.

14 shares5 citations todaySource ↗

05

Asset Selection for Index Tracking

The study shows that using AI language model, ChatGPT, in lending decisions can improve credit default predictions and increase profitability in finance.

13 shares19 citations todaySource ↗

06

Robust Risk Measures

The paper presents new Bayesian Optimization algorithms for portfolio allocation, reducing risk and meeting performance goals, proven through practical examples.

13 shares3 citations todaySource ↗

07

Practical Portfolio Optimization

The research introduces a two-step method for choosing and weighting assets for index tracking portfolios, resulting in reduced tracking errors and improved return-risk ratios with more assets.

13 sharesSource ↗

Economics6

01

Boreal Forest Stands

A new model suggests that large trees are vital for productivity and small trees are costly to harvest, with the ideal financial maturity size being 20-25 cm.

16 sharesSource ↗

02

Autonomous Driving Technology

A game-theoretical model advises autonomous driving manufacturers to bundle software and hardware to lower consumer entry barriers and use perpetual licensing to increase exit barriers.

15 shares1 citation todaySource ↗

03

Zero Hunger Program in Brazil

Brazil's Zero Hunger Program has significantly reduced income inequality and increased income security, particularly for the male labor force, offering insights for future policy development.

14 shares1 citation todaySource ↗

04

Global Green Hydrogen Cost Impact

A novel method has been created to include natural disaster risk in infrastructure investment decisions, potentially impacting the cost of energy production, as shown in country-specific hydrogen production costs.

12 shares1 citation todaySource ↗

05

Retrospective Merger Analyses

Research on three major U.S. airline mergers indicates a conflict between efficiency improvements and coordinated effects, implying that significant efficiency gains may be counterbalanced by coordinated effects.

11 shares2 citations todaySource ↗

06

Cursed Job Market

A study on 'cursedness' in economics reveals that as individuals become more 'cursed', or disregard others' strategies, they achieve less education, suggesting that 'cursedness' enhances efficiency in information transmission.

11 shares1 citation todaySource ↗

Miscellaneous1

01

Financial Wind Tunnel: Market Simulator

Market Simulator: The article introduces a new market simulator named Financial Wind Tunnel (FWT). This tool creates adaptable market dynamics for model testing, enhancing the performance and adaptability of models, especially in unstable market situations.

14 shares2 citations todaySource ↗

Crypto & Blockchain6

01

Informer in Algorithmic Investments

The article discusses the effectiveness of Informer architecture in developing automated Bitcoin trading strategies, with certain models performing better when trained on high-frequency data.

23 shares3 citations todaySource ↗

04

Dynamic Pricing in DeFi

Adaptive supply models in decentralized finance lending, like those used by Morpho and Euler, have proven to maximize revenue and welfare for both borrowers and lenders, surpassing static pricing methods.

15 shares2 citations todaySource ↗

05

Lattice Liability Networks

A novel mathematical framework has been created to improve comprehension of complex financial networks, offering a unified basis for analyzing systemic risk, resource allocation, and network stability.

13 shares1 citation todaySource ↗

06

Fintech Challenges in Finance

Despite its potential to transform financial markets and corporate finance, blockchain technology must address issues like regulation, environmental sustainability, and links to illegal activities to fully supplant traditional finance.

12 sharesSource ↗

Historical Trending6

01

Square-Root Price Impact Dynamics

A new econophysics model unifies several empirical laws, including the square-root law of price impact, and provides insights into price dynamics, price-movement statistics, and volatility.

248 shares3 citations todaySource ↗

02

No-Arbitrage Conditions in 1D Diffusion Market

A study identifies conditions for no-arbitrage in one-dimensional diffusion markets, highlighting potential effects like the impossibility of unlimited profit with limited risk under certain conditions.

20 shares2 citations todaySource ↗

03

High-Frequency Trading Label Unbalance

A deep learning framework with label imbalance adjustment methods has effectively predicted high-frequency return in the Chinese future market, addressing the issue of label imbalance in high-frequency trading.

20 sharesSource ↗

05

Deep Hedging of Green PPAs

The paper suggests a machine learning-based deep hedging method to handle risk in Green Power Purchase Agreements, which face price and weather risks.

17 shares1 citation todaySource ↗

06

Asymptotic Properties of GLS Estimator

The study investigates the GLS estimator in multivariate regression with varying and autocorrelated errors, concluding that the resulting Wald statistics are still reliable under these circumstances.

16 shares2 citations todaySource ↗

SSRN

Working papers in finance and economics from SSRN.

60 items

Quantitative30

08

Ethical Data Governance

The article discusses the ethical concerns of data governance systems in businesses, emphasizing the need for strong models to avoid biases from AI and machine learning.

3 shares2 citations todaySource ↗

09

Emerging Markets Debt

The paper analyzes the traits, returns, and risks of different emerging markets bonds from 2003 to 2025, highlighting growth in local-currency market and changes in emerging debt value.

3 sharesSource ↗

10

GoldAdjusted GDP

The research uses AI to study nominal GDP per capita in fifteen major economies from 2000 to 2023, noting significant differences in gold-adjusted output between advanced and emerging economies.

5 sharesSource ↗

11

Corporate Bond ETFs Risk Profile

The article reveals that corporate bond ETFs have lower liquidity risk but higher intermediary risk than the bonds they hold, especially for high-yield ETFs and those with less liquid portfolios.

3 sharesSource ↗

12

Tube Heat Transfer Prediction

The paper compares models for predicting the heat transfer coefficient, including traditional correlations and machine learning methods, using a large experimental data set.

2 sharesSource ↗

13

Russian Banks Efficiency

The research assesses the efficiency of Russian banks from 2000 to 2023, identifying influencing factors and future trends, and notes a general decline in bank efficiency due to economic and political crises.

3 sharesSource ↗

14

Machine Learning Asset Pricing

The article forecasts the prices of financial innovation-themed ETFs using machine learning, finding that ARIMA and Prophet models perform better than LSTM for shorter datasets.

2 sharesSource ↗

15

Human Cognition Reinforcement Learning

The study investigates how confirmation bias leads to polarization, introducing a new belief formation model based on reinforcement learning and examining how sample size impacts polarization.

4 sharesSource ↗

24

Airline Crew Optimization

The paper proposes a solution combining optimization and machine learning to recover disrupted airline crew schedules, indirectly considering passenger disruption costs.

3 sharesSource ↗

25

Diversifying Stock with CRUTs

The research suggests that combining charitable trusts with tax-aware strategies can optimize wealth preservation and charitable impact by helping investors diversify stock.

3 sharesSource ↗

26

Persimmon Export in Azerbaijan

The study reveals that Azerbaijan's increased persimmon exports have made it a key product in the non-oil sector, with a comparative advantage in date exports.

3 sharesSource ↗

27

Wireless Networks with ML

The machine learning system uses the BAT computational approach and a neural network to minimize network redundancy and reduce energy use, extending sensor life.

2 sharesSource ↗

28

Predictive Consumer Demands

The review explores the use of predictive analytics in anticipating consumer demands, personalizing products, optimizing supply chains, and discusses emerging trends and challenges.

2 sharesSource ↗

29

Investment in Cannabis

The paper finds that investing in the cannabis industry offers high volatilities and returns but also low correlations with overall stock markets, other sin industries, or cryptocurrencies.

3 sharesSource ↗

30

Quantum Ising Financial Market

The paper uses the quantum two-dimensional Ising model to compare the explanatory power of rational versus irrational agents in financial market price dynamics.

3 sharesSource ↗

Financial30

01

Recursive Utility Accounting

The article presents a new model that uses recursive utility functions to value equity based on accounting information, offering fresh insights into accounting information and equity valuation.

6 sharesSource ↗

02

Feds SMCCF Analysis

The effectiveness of the Secondary Market Corporate Credit Facility in stabilizing the US corporate bond market during the COVID-19 pandemic is analyzed, highlighting the positive impact of the Federal Reserve's actions.

4 sharesSource ↗

03

Nonlinear Taxation

The research characterizes arbitrage in securities markets with nonlinear taxation, identifying conditions for arbitrage and demonstrating the use of stochastic convex optimization in analyzing market frictions.

3 sharesSource ↗

04

Investor-Induced Contagion

The study investigates the contagion mechanism from cryptocurrency to stock markets, identifying the wealth effect as the main driver and stressing the need for protection against cyberattacks.

3 sharesSource ↗

05

Tax Losses Options

The paper presents a new framework that models carryforward tax losses as short call options on portfolio value, offering a new perspective to evaluate tax-motivated trading decisions.

3 sharesSource ↗

06

Dual Trading Fee Competition

The research explores the influence of dual traders on price discovery, finding that alternative trading venues reduce pricing errors in closing auctions due to the mitigating effect of dual traders on market makers' overnight inventory costs.

4 sharesSource ↗

07

ESG Investment Considerations

The article discusses considerations for investment managers investing in environmental, social, and corporate governance standards, including firm exclusion, ESG integration, third-party ESG ratings, and impact on financial performance.

3 sharesSource ↗

08

Syndicated Loan Market Activity

The research examines the secondary market for syndicated term loans, identifying key players, trading patterns, and the influence of nonbank participation.

3 sharesSource ↗

09

DeFi Potential Risks

The article discusses the opportunities and risks of financial services offered by centralized and decentralized finance organizations in the crypto finance sector.

3 sharesSource ↗

10

Rate Hikes vs. QT

The paper equates interest rate hikes and quantitative tightening, estimating that a $2.2 trillion passive rolloff of Treasury securities equals a 29 basis point increase in the federal funds rate.

3 sharesSource ↗

11

ESG Controversies in Strategies

The research incorporates ESG controversy data into equity and corporate bond strategies, suggesting that shorting ESG-controversial firms improves risk-adjusted returns and lowers ESG risk.

2 sharesSource ↗

12

Social Media Sentiment Signals

The study creates daily market sentiment and attention indexes from social media posts, indicating that sentiment extrapolates from past returns and attention predicts negative returns.

3 sharesSource ↗

13

Textbased Data Analysis

The paper presents a method to increase the frequency of economic time series using newspaper articles, revealing plausible patterns in the predicted high-frequency counterparts.

2 sharesSource ↗

14

Alaali-ICR Framework Debt

The article introduces the Alaali Interest Coverage Ratio, a dynamic framework that detects hidden credit risks in cyclical industries, incorporating volatility adjustments, ESG penalties, and a stability buffer.

2 sharesSource ↗

15

Asset Pricing in Options Markets

The research demonstrates that the frequency of rebalancing deltahedged option returns impacts the magnitude of observed returns, proposing a new adjustment method using lagged hedge ratios.

2 sharesSource ↗

18

Derivative Usage in ETFs

Around 60% of ETFs use derivatives, with different segments showing unique preferences for derivative use, impacting market competition significantly.

3 sharesSource ↗

19

Violent Conflict and Cross-Border Loans

Violent conflicts decrease overall cross-border lending but increase financing for military and dual-use industries, showing strategic credit redirection by global lenders during conflicts.

4 sharesSource ↗

20

Wealth Attraction Legislation

The Wealth Attraction Law proposes that wealth is drawn through personal ability, scarcity, and social recognition, challenging traditional wealth accumulation theories.

3 sharesSource ↗

22

AI in Capital Markets: Cases and Risks

Cases and Risks: AI has revolutionized capital markets but also poses challenges like ethical issues, regulatory uncertainty, and systemic risks, necessitating comprehensive regulatory measures.

3 sharesSource ↗

23

Market Risk Premium Variance

A study shows that during recessions, both market risk premium and variance increase, but the risk premium is less reactive than conditional variance.

3 sharesSource ↗

26

Data Networked Asset

A study suggests that interfirm data sharing influences operational, financial, and stock market performances, as well as product-design choices.

2 sharesSource ↗

27

Attentive Market Timing

Managers exploit stock mispricing due to investors' inattention to public information, especially in customer-supplier link settings.

3 sharesSource ↗

29

Challenges 24-Hour Trading

The article explores the challenges of 24-hour trading, including technological, financial, and regulatory issues, and proposes potential solutions.

2 sharesSource ↗

30

Dynamic Spending Internal Soft Habit

In consumption-habit ratio models, optimal behavior involves extensive consumption-smoothing and risk-taking, with withdrawal rates usually lower than portfolio returns.

2 sharesSource ↗

RePEc

Economics working papers from RePEc's NEP field reports.

30 items

Finance6

01

Enhanced EM Portfolios with AATS

A new Automated Adaptive Trading System may help stabilize emerging markets during downturns, countering challenges posed by algorithmic trading and passive investing.

27 sharesSource ↗

04

Adaptive Market Hypothesis

The research finds that trading strategies based on the Sharpe Ratio are more profitable than the buy-and-hold strategy in global markets, supporting the Adaptive Market Hypothesis.

15 sharesSource ↗

05

Novel Window Analysis

The study introduces a new method for assessing decision-making units' efficiency over time, using the Whale Optimization Algorithm, and applies it to forex investment strategies and utility firms in the Ho Chi Minh City Stock Exchange.

11 sharesSource ↗

06

Monitoring Poverty in Lebanon

The paper uses a new data augmentation technique to study poverty in the Middle East and North Africa, specifically Lebanon, using alternative data sources when traditional income data is scarce or unavailable.

10 sharesSource ↗

Statistical5

01

BRM Incomplete Data Prediction

The BRM method is introduced for analyzing incomplete data sets, showing improved predictive performance for both linear and nonlinear models.

20 sharesSource ↗

02

NMDIS Equity Premium Prediction

A new machine learning strategy, N-MDIS, is proposed for better equity premium prediction, outperforming previous strategies with logistic regression.

19 sharesSource ↗

04

News Sentiment Risk Management

The influence of news sentiment on stock return volatility is reevaluated, showing that accurately measured news sentiment significantly impacts intraday stock return volatility.

16 sharesSource ↗

Machine Learning7

01

Machine Learning for M&A

A study shows machine learning models are more effective than traditional methods in predicting Chinese corporate merger and acquisition activities using 60 variables.

28 sharesSource ↗

02

Tail Risk Management

New probabilistic deep learning frameworks have been proposed for estimating financial risk measures, improving capital allocation in financial institutions.

27 sharesSource ↗

03

Bond Market Volatility in China

Machine learning methods accurately predict Chinese stock market volatility using the volatility of long-term treasury bond contracts, outperforming traditional models.

24 sharesSource ↗

04

Lot Streaming and Scheduling

The article proposes a new algorithm and machine learning model to improve efficiency and accuracy in the Lot Streaming and Scheduling Problem with stochastic product arrival times.

16 sharesSource ↗

05

Dynamics in Chinese Financial Markets

The paper introduces a new machine learning technique for analyzing and modeling complex time series, providing a potential alternative to the Box-Jenkins methodology in financial modeling.

13 sharesSource ↗

07

Housing Market Connectedness

The research uses machine learning to study the international housing market, finding that the US housing market is the main source of systematic shocks and its interest rate is a key global predictor of spillover intensities.

10 sharesSource ↗

Deep Learning2

01

Oil Price Forecasting: ML vs. DL

ML vs. DL: Deep learning methods have been found to be more effective than traditional machine learning in predicting oil prices, especially during crises.

31 sharesSource ↗

Historical Trending10

01

Predicting VIX Trends

The article discusses a machine learning approach to predict the CBOE Volatility Index, highlighting weekly jobless claim data as a significant factor.

23 sharesSource ↗

02

Stock Price Prediction

The study reveals that traditional machine learning models outperform deep learning models in predicting Eurozone banking sector stock prices.

13 sharesSource ↗

03

AI Capability Impact

The paper suggests that AI capability directly affects firm performance, with a data-driven culture and AI infrastructure playing key roles.

5 sharesSource ↗

04

Climate Discussions

The article underscores the need for effective communication and a comprehensive strategy to address climate change, using machine learning to study social media discussions.

4 sharesSource ↗

05

Dark Patterns in Retail Protection

The research investigates the use of dark patterns in retail investment, focusing on the role of behavioral sciences and AI in improving regulation and investor protection.

2 sharesSource ↗

09

Bank Performance Determinants

The paper analyzes factors influencing banks' performance, proposing new research areas related to digital transformation, artificial intelligence, and COVID-19 impact.

1 sharesSource ↗

Papers with code

Papers that shipped their code, from the Papers with Code feed (2023-25).

9 items

Trending4

03

Multimodal ChainofThought Reasoning Survey

The study expands the application of chain-of-thought reasoning to multimodal contexts, underlining its growing prominence in research, particularly when combined with multimodal large language models.

144 shares

Rising5

01

D Task Point Representations

The paper discusses the effectiveness of a self-supervised point cloud model in performing various 3D tasks with limited data and minimal computation.

118 shares

02

Large Language Model Reasoning

Large Language Models (LLMs) are highlighted for their impressive capabilities in managing complex tasks.

116 shares

03

SelfSupervised Learning in Molecular Graphs

Graph Self-Supervised Learning (GSSL) is presented as a powerful tool for generating embeddings without the need for expert labelling, particularly useful in molecular graphs.

110 shares

04

Reinforcement Learning in Small LLMs

The article discusses the challenges of enhancing the reasoning abilities of Large Language Models (LLMs), especially in situations with limited resources and extensive datasets.

105 shares

GitHub

Repositories the letter featured.

10 items

Finance5

01

Financial Astrology ML Research

The article explores the application of machine learning in forecasting market trends using planetary cycles and cosmic energy.

45 shares

05

Reinforcement Learning GSM8K RLVR

The article introduces a simplified method to experiment with Reinforcement Learning on GSM8K, influenced by RLVR and Deepseek R1.

69 shares

Trending5

01

AI Framework

The article talks about a community-based AI automation framework that combines language models with specific tools for tasks such as web search crawling and Python code execution.

2,895 shares

02

Chromium Library

The article presents Pydoll, a library that automates chromium-based browsers without a WebDriver, enhancing performance and web scraping through Python's asynchronous features.

2,849 shares

03

CVPR 2025

The article discusses the CVPR 2025 VGGT Visual Geometry Grounded Transformer, a new technology in the field of visual geometry.

1,905 shares

04

Web Assistant

The article outlines a fully local web research and report writing assistant, designed to streamline and simplify the research process.

5,941 shares

05

vLLM Stack

The article details vLLM’s reference system for K8S-native cluster-wide deployment, focusing on community-driven performance optimization.

866 shares

News

Industry news: funds, hiring, markets and regulation.

20 items

Quantitative10

07

Half Moon Capital urges Dropbox change

Half Moon Capital, an activist hedge fund, is pressuring Dropbox to abolish its dual-class share structure that gives CEO Drew Houston a supermajority vote.

4 shares

08

Hedge fund dominance raises UK risks

Hedge funds such as Brevan Howard Capula and Millennium have upped their leveraged bets on UK government bonds, sparking worries about potential gilts market instability.

4 shares

09

EDS expands advisory team

Equity Data Science has strengthened its advisory team by bringing on board industry experts Perry Boyle, Jay Chandler, Phil Vilhauer, and Vikas Kalra.

3 shares

10

Hedge funds consider UST selfclearing

Hedge funds with substantial exposure to US Treasury trades are seeking a SEC exemption to clear repo trades through their own affiliated clearing entities.

3 shares

Miscellaneous10

01

TNS Expands in Zurich

Transaction Network Services has introduced ultralow latency connectivity services for hedge funds and investors at the Equinix ZH4 data centre in Zurich.

3 shares

03

Founder Liable for Weiss Collapse

Jefferies Strategic Investments and Leucadia Asset Management Holdings have won a lawsuit against George Weiss, who now owes millions due to the collapse of Weiss MultiStrategy Advisers.

3 shares

04

Arini Teams Up with Lazard

Lazard and Arini Capital Management have partnered to expand direct lending solutions across the EMEA region.

3 shares

05

European Retail Traders Challenge Hedge Funds

European retail traders are challenging hedge funds like Marshall Wace and Millennium by holding short positions in certain stocks, mirroring the 2021 GameStop event in the US.

2 shares

06

Hedge Fund Side Gig

Participating in quant competitions could potentially land you profitable side jobs or internships at Jane Street.

2 shares

10

Digital Assets Funds Stop Outflow

According to CoinShares, digital asset investment products saw a reversal from a five-week outflow trend, with inflows hitting $644m last week.

2 shares

Podcasts

Episodes on markets, quant methods and economics.

10 items

Quantitative5

01

EM Sustainable Debt Asset Class

In a podcast, Goulden, Heriz, Harvey, and Meyers discuss the annual report on the EM fixed income sustainable debt asset class.

9 shares

02

EM Monetary Policy Challenges

Goulden and Siddiqui discuss the impact of recent market developments on the EM fixed income asset class in a podcast.

8 shares

03

Managed Futures Carry Update

Hoffstein, Butler, and Gordillo discuss the impact of macro market shifts on managed futures strategies in a live Q&A.

7 shares

04

Navigating Volatile Markets

Hatfield shares strategies for income-focused investing that can endure economic uncertainty across various asset classes.

6 shares

05

Debunking Investment with Barry Ritholtz

In a podcast, Ritholtz discusses the risks of relying on experts for investment advice, the dangers of panic selling, and the value of experiences over possessions.

6 shares

Related5

01

Global Rates: US vs. EUR Breakevens

US vs. EUR Breakevens: In a podcast, Francis Diamond and Phoebe White analyze the differing performances in DM inflation breakevens and HICP swaps recorded on March 21, 2025.

5 shares

02

MacroVoices: Headline Driven Markets

Headline Driven Markets: MacroVoices hosts Erik Townsend and Patrick Ceresna invite Lyn Alden to discuss various topics including the stock market, diversification strategies, and cryptocurrencies.

5 shares

03

Global FX: Tariffs Expectation

Tariffs Expectation: Arindam Sandilya, Patrick Locke, and James Nelligan discuss the future of foreign exchange ahead of the April 2nd tariff announcement in a podcast recorded on March 21, 2025.

5 shares

04

Global Commodities: Oil Vigilantes

Oil Vigilantes: Natasha Kaneva discusses the trend of oil prices trading below their fair value and the actions of the OPEC alliance in a podcast recorded on March 21, 2025.

4 shares

05

Water, AI, Data Centers

In a podcast, Alex Burr, Elisa Piscopiello, and Shichen Zhao discuss the global challenge of improving access to clean water and the role of technology in this effort.

2 shares

X / Twitter

Posts from quant researchers on X.

3 items

Quantitative2

01

Latest Investing Research

The article discusses recent investment research, focusing on CrossAsset Momentum, the impact of political uncertainty on return predictability, LLMs, news sentiment trading, and options.

2 shares

Miscellaneous1

01

CTA Dispersion Chart

Apologies, but the provided information doesn't contain enough context to generate a summary for each article.

0 shares

Reddit

Threads from r/quant, r/algotrading and friends.

10 items

Quantitative5

Rising5

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