Performative Market Making
The research shows how financial models can shape market processes and influence price changes, enabling market makers to use dominant strategies.
5 shares1 citation todaySource ↗
Quant LetterNo. 108
August 2025, Week 1
95 items across 7 sections, as sent to readers on 7 August 2025. Paper titles open their ML-Quant page; ↗ goes to the source.
- Items
- 95
- Papers
- 43
- Sections
- 7
- Issue
- No. 108
arXiv
Quantitative-finance and ML-for-finance preprints from arXiv.
13 items
Finance6
LossVersus-Rebalancing
The study introduces a mathematical model that views a CFAMM position as a portfolio of perpetual American CI options, aiding liquidity providers in estimating future costs and optimizing parameters.
5 shares4 citations todaySource ↗
AMM Liquidity Modeling
The paper presents a mathematical model for a CFAMM position, providing a practical framework for liquidity providers to control future costs and optimize position parameters.
5 shares4 citations todaySource ↗
Multi-Agent Trading System
The article introduces a new multi-agent system for financial trading that uses competition to analyze market data and make decisions, proving more effective than traditional methods in tests.
3 shares8 citations todaySource ↗
Stochastic Control Methods
The paper examines the maximum principle and dynamic programming principle in mean-variance portfolio selection of jump diffusions, studying their interrelation.
2 shares1 citation todaySource ↗
MeanVariance Portfolio Selection
The article delves into the link between the maximum principle and dynamic programming principle for mean-variance portfolio selection of jump diffusions, with a focus on the ties between the adjoint processes and value function.
2 shares1 citation todaySource ↗
Economics1
AI Adoption in Higher Education: Evidence from Elite College
Evidence from Elite College: More than 80% of students at a selective U.S. college have started using AI for academic purposes within two years of the release of ChatGPT. The usage varies across different subjects and student demographics, and institutional policies may affect usage patterns and have varying impacts.
1 shares19 citations todaySource ↗
Miscellaneous2
Arbitrage Analysis
Polymarket, a prediction market platform, has shown instances of arbitrage due to mispriced dependent assets, leading to an estimated $40 million in guaranteed profits, a study reveals.
4 shares13 citations todaySource ↗
LLMGuided RL Trading
A proposed hybrid system uses large language models to create high-level trading strategies, directing reinforcement learning agents and showing better return and risk metrics than standard reinforcement learning.
3 shares8 citations todaySource ↗
Crypto & Blockchain1
Ethereum MEV Transaction Re-Ordering
Two MEV builders, capable of manipulating transaction orders, now generate almost 80% of Ethereum blocks. This has led to frequent 'sandwich attacks' and indicates a need for changes like gas fee priority or private transaction pools.
2 shares1 citation todaySource ↗
Historical Trending3
AI Spatial Distribution Dynamics in Japan
The study uses Tokyo to analyze the impact of AI on urban distribution, suggesting AI could counteract 60-80% of productivity loss due to aging.
18 sharesSource ↗
Volatility Modeling with Rough Paths
The research compares Malliavin calculus and rough path theory for calibrating implied volatility surfaces, finding the latter more accurate in situations with rough or non-Markovian volatility.
5 shares1 citation todaySource ↗
Information Geometry of Lévy Processes
The paper investigates the information geometry of Lévy processes, calculating the α-divergence and the Fisher information matrix, with potential uses in financial modeling.
3 shares1 citation todaySource ↗
RePEc
Economics working papers from RePEc's NEP field reports.
30 items
Finance6
Enhanced Emerging Market Portfolio Performance
A new Automated Adaptive Trading System may help stabilize emerging markets during downturns, addressing issues caused by the rise of algorithmic trading and passive investing.
27 sharesSource ↗
Efficient Volatile KSE-30 Equity Identification
Machine learning has been utilized to identify assets driving downward trends in the Pakistan Stock Exchange, suggesting a portfolio optimization strategy for effective asset allocation.
25 sharesSource ↗
Risk Parity Optimization
Accounting for fat-tailed returns in risk parity portfolio optimization can lessen sensitivity to volatility shocks, decrease portfolio turnover during market instability, and enhance risk-adjusted returns.
16 sharesSource ↗
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 ↗
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 foreign exchange investment strategies and utility companies in the Ho Chi Minh City Stock Exchange.
11 sharesSource ↗
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
BRM for Predictions
The BRM method is introduced for analyzing data with blockwise missing patterns, reducing data imputation and enhancing predictive performance.
20 sharesSource ↗
New Momentum Indicator Strategy
A new N-MDIS strategy using machine learning is proposed to improve the accuracy of equity premium prediction.
19 sharesSource ↗
Product Market Competition and Zero-Leverage
The study suggests that firms are more likely to adopt zero-leverage policies as product market competition increases, particularly those with high earnings volatility.
18 sharesSource ↗
News Sentiment Management
The paper indicates that accurately measured news sentiment significantly impacts stock return volatility, with GPT-4 potentially outperforming RavenPack.
16 sharesSource ↗
Stochastic Machine Learning for Production Technologies
A modified version of Stochastic Gradient Boosting is proposed to estimate production possibility sets, reducing overfitting and enhancing performance in high-dimensional settings.
16 sharesSource ↗
Machine Learning7
Machine Learning for M&A
A study reveals that machine learning models are more effective than traditional methods in predicting Chinese corporate merger and acquisition activities.
28 sharesSource ↗
Tail Risk Management
New probabilistic deep learning frameworks have been proposed for estimating financial risk measures, outperforming existing methods and aiding in better capital allocation.
27 sharesSource ↗
Bond Market Volatility in China
Machine learning methods can more accurately predict Chinese stock market volatility using the volatility of long-term treasury bond contracts, a study finds.
24 sharesSource ↗
Lot Streaming and Scheduling
The article proposes a new algorithm and machine learning model for the Lot Streaming and Scheduling Problem (LSSP) with unpredictable product arrival times, aiming to enhance efficiency and accuracy.
16 sharesSource ↗
Dynamics in Chinese Financial Markets
The paper introduces a novel statistical machine learning method for decomposing and analyzing complex time series, providing a potential alternative to the Box-Jenkins method, as shown with COVID-19 financial data.
13 sharesSource ↗
Monetary Policy Frictions and Nonperforming Loans
The article develops a monetary policy frictions index using financial news and enhances the dynamic stochastic general equilibrium model with machine learning, indicating significant effects on Chinese banks' nonperforming loans.
12 sharesSource ↗
Housing Market Connectedness
The paper explores the global housing market's interconnectedness using quantile connectedness models and machine learning, highlighting the US market's role as the primary transmitter of systematic shocks and the influence of its interest rate.
10 sharesSource ↗
Deep Learning2
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 ↗
Multifrequency Data Fusion for Carbon Price Prediction
The newly introduced Multifrequency Data Fusion Carbon Price Prediction Model (MFF-CPPM) has shown superior accuracy in predicting carbon trading prices in different market situations.
10 sharesSource ↗
Historical Trending10
Predicting VIX Trends
The research uses machine learning to forecast the CBOE Volatility Index, finding that weekly jobless claim data is a significant factor, improving trading strategy resilience.
23 sharesSource ↗
Stock Price Prediction
Traditional machine learning models are more effective than advanced deep learning models in predicting stock price direction in the Eurozone banking sector, a comparative analysis reveals.
13 sharesSource ↗
AI Capability Impact
The study indicates that AI capability directly affects firm performance, with a data-driven culture mediating this relationship and AI infrastructure being a vital resource.
5 sharesSource ↗
Climate Discussions
The study emphasizes the role of communication and a comprehensive approach in addressing climate change, using machine learning to analyze social media discussions on the subject.
4 sharesSource ↗
Dark Patterns in Retail
The paper investigates the problem of dark patterns in the retail investment sector, studying the use of behavioral sciences and AI to improve regulation and safeguard investors.
2 sharesSource ↗
Young Informal Workers in the EU
The research profiles young informal workers in the EU27, aiming to understand how Covid-19 has impacted youth employment informality.
2 sharesSource ↗
Resource Management in Cloud Computing
The article discusses how artificial intelligence can improve resource management in cloud environments, boosting DevOps workflows' performance and efficiency.
2 sharesSource ↗
EGovernance and Citizen Participation
The review investigates the link between e-governance initiatives and citizen participation, emphasizing the need for interdisciplinary research to assess these initiatives' effectiveness.
2 sharesSource ↗
Bank Performance Determinants
The paper analyzes literature on factors influencing banks' performance, proposing new research areas in digital transformation, artificial intelligence, and the COVID-19 pandemic.
1 sharesSource ↗
Online Gig Work Satisfaction Scale
The study tests the Work Need Satisfaction Scale (WNSS) among online gig workers, suggesting modifications to the scale to better reflect the specifics of online platform work.
1 sharesSource ↗
GitHub
Repositories the letter featured.
10 items
Finance5
AI for ML
The article delves into an advanced AI and machine learning system, highlighting large language models, generative AI, and industry applications.
3,158 shares
LeadLag Finance
The piece investigates the use of LeadLag relationship discovery for identifying market leaders and followers for strategic portfolio building.
23 shares
ML Design Case Studies
The article offers a vast database of 450 machine learning system design case studies from a variety of companies.
292 shares
Advances in FinML
The article features exercises and summaries from the book Advances in Financial Machine Learning by Marcos Lopez de Prados.
27 shares
LLMQuant
The article examines the assets of LLMQuant, a firm specializing in machine learning and AI.
313 shares
Trending5
Cloud Tier Comparison
The article evaluates and compares the free services offered by major cloud providers like AWS, Azure, GCP, and Oracle.
5,373 shares
QwenImage
QwenImage is a sophisticated image generation model capable of intricate text rendering and precise image editing.
1,902 shares
OpenAI Models
The article explores gptoss120b and gptoss20b, two heavyweight language models developed by OpenAI.
8,830 shares
Grok CLI
The piece presents an open-source AI agent that incorporates Grok's features into your terminal.
1,346 shares
Design Principles
The article introduces a Periodic Table of System Design Principles, providing a comprehensive overview of design concepts.
956 shares
News
Industry news: funds, hiring, markets and regulation.
18 items
Quantitative9
Hazeltree boosts liquidity
Hazeltree collaborates with TreasurySpring to incorporate fixed-term investment products into its treasury management platform.
6 shares
Capital Fund Management expands in NYC
Capital Fund Management is moving its New York office to grow its investment and fundraising activities in North America.
5 shares
StoneCastle Securities appoints MD
StoneCastle Securities hires Colin Ives as Managing Director to broaden its private credit trading scope.
5 shares
Marex expands brokerage team
Marex adds Patterson McDonald to its New York sales team to improve its global prime brokerage and outsourced trading services.
4 shares
Client Capital Return
Honeycomb Asset Management is cutting its public equities portfolio and returning capital to investors due to market concerns.
4 shares
Hedge Funds Reduce Exposure
Hedge funds are decreasing their US equities exposure for the fourth consecutive week due to trade war uncertainties and overpriced stocks.
4 shares
TNS Adds Exchange Connectivity
Transaction Network Services has broadened its market data and connectivity by providing direct access to six major Latin American equities and derivatives exchanges.
4 shares
Smooth Operational Transitions
As alternative asset managers expand and diversify, they face challenges like talent gaps, rising costs, outdated systems, and disjointed processes, affecting their capital raising and product introduction capabilities.
3 shares
Poor Start Hedge Funds
Quantitative hedge funds focusing on trend-following strategies are facing difficulties this year due to abrupt reversals, policy shocks, and stagnant markets.
3 shares
Miscellaneous9
Dalio Leaves Bridgewater
Billionaire Ray Dalio has sold his remaining ownership stake in Bridgewater Associates, the hedge fund he founded 50 years ago.
2 shares
Citigroup Grows Hiring in Asia
Citigroup is planning to expand its Asia rates and prime brokerage teams by up to 10 due to increased activity from hedge fund clients.
2 shares
Digital Assets Funds See Record Inflows
Digital asset investment products saw $1.9bn in inflows last week, bringing the monthly total to a record $11.2bn, as per CoinShares' report.
2 shares
Tech Salaries in 2025: PMs vs. Data Engineers
PMs vs. Data Engineers: The article suggests a renaissance period is beginning for product managers.
1 shares
Balyasny's Quant Research Interns
The article provides valuable tips and guidance from expert Giuseppe Paleologo.
1 shares
JPMorgan Engineer's CV Tip
The article explores strategies that, while not guaranteeing employment, could boost job prospects.
1 shares
ISS Urges Rejection of Malibu Life Deal
The article reveals ISS's recommendation for Third Point Investors Limited shareholders to reject the proposed purchase of Malibu Life Reinsurance SPC.
0 shares
Credicorp Ltd. Report
The article scrutinizes the business operations and performance of Credicorp Ltd.
0 shares
HFT Firm Enhances Compliance After Jane Streets Accusations
The article discusses Susquehanna's strategies to avoid attracting attention from Jane Street.
0 shares
Podcasts
Episodes on markets, quant methods and economics.
10 items
Quantitative5
Investment Gurus
Mark Mattson, founder of a $11.5 billion investment firm, advocates for hard work, evidence-based investing, and diversification, rejecting quick-rich schemes and focused investing.
13 shares
Asset Allocation Change
Henry McVey, KKR's Head of Global Macro & Asset Allocation, explores the current macroeconomic situation, spotlighting opportunities in Europe and Japan, and the effects of a falling US dollar.
13 shares
OVVO Labs
Fred Viole, founder of OVVO Labs, is transforming finance with his statistical framework using partial moments and nonlinear and nonparametric statistics (NNS) for macroeconomic forecasts and portfolio optimization.
10 shares
EM Fixed Income
Jonny Goulden and Anezka Christovova discuss recent market trends and their effects on the emerging markets fixed income asset class.
9 shares
Interest Rate Expectations
Ben Bennett, Head of Investment Strategy Asia, talks about the steepening yield curve, the interplay of politics and economic data, and robust earnings from US tech giants.
8 shares
Related5
EM Fixed Income Update
Jonny Goulden and Anezka Christovova discuss the effects of recent market trends on the EM fixed income asset class in a 2025 podcast.
8 shares
Global FX Recap
In a 2025 podcast, Meera Chandan and Jay Barry examine the impact of key events like FOMC Payrolls Refunding and Trade deals on FX and rates.
5 shares
BoE Meeting Preview
Allan Monks and James Nelligan discuss the risks of the BoE policy meeting and give an overview of the UK economy and pound sterling in a 2025 podcast.
5 shares
India: The Next Big Play
The Next Big Play: Yujun Lin and Ivan Han explore the potential of India's markets as a valuable addition to investment portfolios in an Interactive Brokers Singapore episode.
4 shares
Tariff Shockwaves in Markets
Natasha Kaneva and Greg Shearer discuss the effects of trade negotiations and tariffs on India and China's oil purchases and the copper market in a 2025 podcast.
4 shares
X / Twitter
Posts from quant researchers on X.
4 items
Quantitative2
Investing Research Roundup
The article explores recent investment research on topics like cryptocurrency, mutual fund trading, low-risk investing, volatility forecasting, trend following, and highlights significant blogs, repositories, and podcasts.
6 shares
Miscellaneous2
Interview with Shariz Iqbal
The second interview with Shariz Iqbal, also known as Words of Rizdom, attracts 37k views on its debut day.
0 shares
Microsoft Report on AI Jobs
A Microsoft study discloses the professions most impacted by the advent of artificial intelligence.
0 shares
Threads from r/quant, r/algotrading and friends.
10 items
Quantitative5
Live Data Integration
15 shares
IMC SWE vs SIG QT Comparison
30 shares
Virtu Financial Forecast
53 shares
Rising5
Quant research grind
41 shares
Feb 3 disaster for XAUUSD EAs
43 shares
Accelerated optimisation
16 shares
Top algo trading types
121 shares
Algo trading tips for beginners
58 shares