May 16th 2022

ArXiv Top

On Parametric Optimal Execution and Machine Learning Surrogates (Score: 4.35) Tao Chen, Mike Ludkovski, Moritz Voß (2022-04-18) We investigate optimal order execution problems in discrete time with instantaneous price impact and stochastic resilience. First, in the setting of linear transient price impact we derive a closed-fo... (23 posts; 10 tweeters)
Heterogeneous Information Network based Default Analysis on... (Score: 1.25) Zheng Zhang, Yingsheng Ji, Jiachen Shen, Xi Zhang, Guangwen Yang (2022-04-24) Risk assessment is a substantial problem for financial institutions that has been extensively studied both for its methodological richness and its various practical applications. With the expansion of... (15 posts; 5 tweeters)
Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning (Score: 1) Jay Cao, Jacky Chen, Soroush Farghadani, John Hull, Zissis Poulos (2022-05-10) We use deep distributional reinforcement learning (RL) to develop hedging strategies for a trader responsible for derivatives dependent on a particular underlying asset. The transaction costs associat... (4 posts; 4 tweeters)
Debt-Financed Collateral and Stability Risks in the DeFi Ecosystem (Score: 1) Michael Darlin, Leandros Tassiulas (2022-04-23) The rise of Decentralized Finance ("DeFi") on the Ethereum blockchain has enabled the creation of lending platforms, which serve as marketplaces to lend and borrow digital currencies. We first categor... (11 posts; 3 tweeters)
A Multivariate Hawkes Process Model for Stablecoin-Cryptocurrency... (Score: 0.75) Connor Oxenhorn (2022-05-12) Stablecoins, digital assets pegged to a specific currency or commodity value, are heavily involved in transactions of major cryptocurrencies. The effects of deviations from their desired fixed values ... (2 posts; 2 tweeters)
Machine learning techniques in joint default assessment (Score: 0.5) Margherita Doria, Elisa Luciano, Patrizia Semeraro (2022-05-03) This paper studies the consequences of capturing non-linear dependence among the covariates that drive the default of different obligors and the overall riskiness of their credit portfolio. Joint defa... (2 posts; 2 tweeters)
Joint mixability and negative orthant dependence (Score: 0.5) Takaaki Koike, Liyuan Lin, Ruodu Wang (2022-04-25) A joint mix is a random vector with a constant component-wise sum. It is known to represent the minimizing dependence structure of some common objectives, and it is usually regarded as a concept of ex... (7 posts; 2 tweeters)
Portfolio Diversification Revisited (Score: 0.5) Charles Shaw (2022-04-28) We relax a number of assumptions in Alexeev and Tapon (2012) in order to account for non-normally distributed, skewed, multi-regime, and leptokurtic asset return distributions. We calibrate a Markov-m... (11 posts; 2 tweeters)
Will claim history become a deprecated rating factor? An optimal... (Score: 0.5) Jiamin Yu (2022-04-25) With the popularity of Telematics and Self-driving, more and more rating factors, such as mileage, route, driving behavior, etc., are introduced into actuarial models. There are quite a few doubts and... (5 posts; 2 tweeters)
Momentum and Short-Term Reversals: Theory and Evidence (pages: 74) Narasimhan Jegadeesh Jiang Luo Avanidhar Subrahmanyam Sheridan (2022-03-30) How might markets exhibit both short-term reversals and longer-term momentum? Motivated by this question we develop a dynamic model which includes noise traders and investors who underreact to signals... (293 downloads; 747 views)
Anomaly or Possible Risk Factor? Simple-To-Use Tests (pages: 74) Benjamin Holcblat Abraham Lioui Michael Weber (2022-03-23) Basic asset pricing theory predicts high expected returns are a compensation for risk. However high expected returns might also represent an anomaly due to frictions or behavioral biases. We propose t... (287 downloads; 744 views)
Option Price Implied Information and REIT Returns (pages: 50) Jie Cao Bing Han Linjia Song Xintong Zhan (2022-03-23) We investigate stock return predictability by various option price-based measures using real estate investment trusts (REITs). REITs are more transparent and efficiently priced than general stocks but... (218 downloads; 896 views)
The Streaming Games: Analyzing the Revenue Models of Online Media Firms (pages: ) Anurag Garg Vashkar Ghosh Soohyun Cho Arunava Banerjee Shubho Ban (2022-03-23) The digitization of media and the growth of broadband internet has transformed the streaming video industry and the subscription video on demand (SVOD) industry in particular. Online content providers... (136 downloads; views)
Relative performance evaluation in organizations with information networks (pages: 7) Xiangyu Shi (2022-04-06) In this paper I study a principal-multiagent model where the principal adopts the relative performance evaluation (RPE) as the compensation strategy and where agents are connected in an information ne... (136 downloads; 86 views)
The Role of a Green Factor in Stock Prices. When Fama & French Go Green (pages: 39) Ricardo Gimeno Clara I. Gonzalez (2022-03-23) Concerns about climate change are now widespread and the risks for financial assets have become more evident. Investors are increasingly aware of the need to incorporate climate-related considerations... (89 downloads; 252 views)
Conceptual Breakthroughs on Common Ownership and Competition: A Framework For Evaluating Policy (pages: 34) Martin C. Schmalz (2022-03-24) This paper provides a framework for evaluating policy proposals aimed at invigorating competition and improving corporate governance amid a high and increasing level of common ownership of product mar... (87 downloads; 378 views)
The Echo Chamber Effect Resounds on Financial Markets: A Social Media Alert System for Meme Stocks (pages: 41) Ilaria Gianstefani Luigi Longo Massimo Riccaboni (2022-03-18) The short squeeze of Gamestop (GME) has revealed to the world how retail investors pooling through social media can severely impact financial markets. In this paper we devise an early warning signal t... (44 downloads; 219 views)
Style Timing around the World (pages: 26) Javier Vidal-García Marta Vidal (2022-04-08) In this paper we examine whether mutual fund managers around the world are able to implement synchronization strategies with respect to different investment styles a fundamental aspect in the efficien... (40 downloads; 117 views)
Towards a Research Agenda on the Financial Economics of NFT’s (pages: 13) Lennart John Baals Brian M. Lucey Samuel A. Vigne Cheng Long (2022-03-30) This paper aims to serve as an exploratory agenda for future research on the financial economics of non-fungible token (NFT) from a scholarly perspective. By considering the current state of research ... (35 downloads; 78 views)
A Second Look at Subjective Wellbeing Using Differential Item Functioning Karen H. Larwin and Milton Harvey... The current investigation uses latent variable modeling to investigate Subjective Well-Being (SWB). As a follow-up to Larwin Harvey and Constantinou (2020) subjective wellbeing is presented through t... Journal of Statistical and Econometric Methods 2021 vol. 10 issue 2 2 (0.63 score)
Using Textual and Economic Features to Predict the RMB Exchange Rate Yi-Chen Chung Hsien-Ming Chou Chih-Neng Hung and Chihli Hung... This research proposes an integrated framework for the use of textual and economic features to predict the exchange rate of the TWD (Taiwan dollar) against the RMB (Chinese Renminbi). The exchange rat... Advances in Management and Applied Economics 2021 vol. 11 issue 6 8 (0.63 score)
The Performance of Trading Strategies Based on Deviations from Put-Call Parity of Stock Options Han-Ching Huang and Chien-Sheng Wen... According to Cremers and Weinbaum [6] we compute the implied volatility spread by option put-call parity theory. Then we build strategy based on implied volatility spread and compares it with OS 52-we... Advances in Management and Applied Economics 2021 vol. 11 issue 2 3 (0.63 score)
A Conditioned Forecasting Model: A-priori Screening Validation Testing Frank Heilig and Edward J. Lusk... Context The forecasting literature over the last three decades documents that judgmental conditions on the performance of the forecasting model are often used to rationalize the acceptance of the inte... International Business Research 2022 vol. 15 issue 5 63 (0.62 score)
Transcendental Logic-Based Formalism for Semantic Representation of Software Project Requirements Architecture Oleg V. Moroz Oleksii O. Pysarchuk and Tetiana I. Konrad... This article is devoted to the analysis of the situation that has arisen in the practice of using artificial intelligence methods for software development. Nowadays there are many disparate approaches... Computer and Information Science 2022 vol. 15 issue 2 15 (0.61 score)
Out of the Box Artificial Intelligence (OBAI): The Beginning of a New Era in Artificial Intelligence Satish Gajawada and Hassan M. H. Mustafa... The main purpose of writing this article is to unify all the OUT OF THE BOX ideas (under Artificial Intelligence) invented by the corresponding author of this work during the period (2013-2022) under ... Computer and Information Science 2022 vol. 15 issue 2 6 (0.6 score)
Exploring the Validity and Reliability of the WISC-IV: A Review of the Literature Vasilios Andrikopoulos... This study seeks to examine the psychometric properties namely the validity and reliability as well as the overall psychometric quality of the WISC-IV. For this purpose a systematic review of the lite... Journal of Social Science Studies 2021 vol. 8 issue 2 101 (0.54 score)
Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios Thiago de Oliveira Souza... This paper starts by successfully replicating all the main results in Kelly and Pruitt (2013) for the return on the market—and providing some evidence of market premium predictability—based on the... Critical Finance Review 2022 vol. 11 issue 2 361-373 (0.54 score)
Stability of Solutions to Systems of Nonlinear Differential Equations with Discontinuous Right-Hand Sides: Applications to Hopfield Artificial Neural Networks Ilya Boykov Vladimir Roudnev Ilya Boykov: Department of High... In this paper we study the stability of solutions to systems of differential equations with discontinuous right-hand sides. We have investigated nonlinear and linear equations. Stability sufficient co... Mathematics 2022 vol. 10 issue 9 1-16 (0.48 score)
A Novel Method of Chinese Herbal Medicine Classification Based on Mutual Learning Meng Han Jilin Zhang Meng Han: Computer & Software School Ha... Chinese herbal medicine classification is an important research task in intelligent medicine which has been applied widely in the fields of smart medicinal material sorting and medicinal material reco... Mathematics 2022 vol. 10 issue 9 1-13 (0.48 score)
borg (#1 ML-Quant) Deduplicating archiver with compression and authenticated encryption.... (0.18 score) Days Since Last Update: 1; Created: 2015-05-12; Stars: 8289
tseries-patterns (#2 ML-Quant) trend / momentum and other patterns in financial timeseries... (0.15 score) Days Since Last Update: 25; Created: 2020-07-11; Stars: 128
python-cheatsheet (#3 ML-Quant) Comprehensive Python Cheatsheet... (0.15 score) Days Since Last Update: 5; Created: 2018-01-25; Stars: 28949
pgbm (#4 ML-Quant) Probabilistic Gradient Boosting Machines... (0.15 score) Days Since Last Update: 18; Created: 2021-05-17; Stars: 87
streamlit (#5 ML-Quant) Streamlit — The fastest way to build data apps in Python... (0.15 score) Days Since Last Update: 5; Created: 2019-08-24; Stars: 18926
pymc (#6 ML-Quant) Probabilistic Programming in Python: Bayesian Modeling and Probabilistic Machine Learning with Aesara... (0.15 score) Days Since Last Update: 5; Created: 2009-05-05; Stars: 6557
medium_articles (#7 ML-Quant) Scripts/Notebooks used for my articles published on Medium... (0.14 score) Days Since Last Update: 6; Created: 2018-10-28; Stars: 336
backtrader (#8 ML-Quant) Python Backtesting library for trading strategies... (0.14 score) Days Since Last Update: 5; Created: 2015-01-10; Stars: 8692
Binance-News-Sentiment-Bot (#9 ML-Quant) This is a fully functioning Binance trading bot that takes into account the news sentiment for the top 100 crypto feeds. If you like this project consider donating though the Brave browser to allow me... (0.14 score) Days Since Last Update: 6; Created: 2021-04-17; Stars: 1482
vaex (#10 ML-Quant) Out-of-Core hybrid Apache Arrow/NumPy DataFrame for Python, ML, visualization and exploration of big tabular data at a billion rows per second ... (0.13 score) Days Since Last Update: 6; Created: 2014-09-27; Stars: 7048

Blogs Top

The Fed Isn't Federal - And Other Odd Things In Finance (wilmott.com) To trained eyes this article may seem frivolous or obvious. But not all eyes in quantitative finance are trained inthe same way. The field is comprised of peopl ... (wilmott.com; 2022-05-15)
The Roundtrip (Shyam Sunder) Landing hard ... (stockviz.substack.com; 2022-05-15)
Algorithmic Trading Market Production Value, Gross Margin Analysis, Sales, Demand 2024 (jony toal) According to new market research report “Algorithmic Trading Market by Trading Type (FOREX, Stock Markets, ETF, Bonds, Cryptocurrencies)… ... (medium.com; 2022-05-12)
Sentiment Analysis in the Indian Stock Market (Part-1) (BetaQuants) The usage of technology brings a significant impact on the Indian stock market. Many kinds of technologies have changed the landscape of… ... (medium.com; 2022-05-12)
Selecting a Stock Market Data (Web) API: Not So Simple (Portfolio Optimizer) I am sometimes asked if I recommend any stock market data (web) API for a personal use, especially because I mention Alpha Vantage in a couple of previous posts1. See for example Repli ... (portfoliooptimizer.io; 2022-05-11)
Statistical Learning for Algorithmic Trading (Stany Vanhemelrijck) This article will serve as a brief introduction to statistical learning for algorithmic trading. It will start by explaining what… ... (medium.com; 2022-05-11)
Dali's Whiskers: How To Improve a Boxplot ⋆ Quantdare (Quantdare) How to present data to stakeholders in meaningful and efficient way: Tukey's enhanced boxplot with extended percentiles. ... (quantdare.com; 2022-05-11)
C++ will be used for the next 50-100 years in financial services (QuantNet Community) If you're toying with the idea of learning C++ for a job in financial services, drawn by the promise of huge pay but put off by the awareness that it's really not an easy language to earn -... ... (quantnet.com; 2022-05-11)
How Extreme Volatility Affects my Trading Algorithm (SlothTrading) It has been almost a week since the FED announced the interest rates rising and the whole market is bleeding very badly since then.Continue reading on Coinmonks » ... (medium.com; 2022-05-10)
Using Neo4j for Graphed Trading with the TD Ameritrade API: (Bryant Avey) Part 1 — Setting up the TDA Developer Account and Creating a Graph ... (medium.com; 2022-05-08)
Inside Edge (Shyam Sunder) beta for thee, lamborghini for me ... (stockviz.substack.com; 2022-05-08)
Stream Real Time Crypto Data for Your Trading Algorithms (Craig Mariani) In this article we will be discussing how to receive real time crypto data from an exchange using python. Most retail algo traders use data… ... (medium.com; 2022-05-08)
CTrader: Mid-Point Match Execution Algorithm (Fivos Raissis) Our latest progress on the CSuite library offering provides excellent insight into the obscure world of execution algorithms for efficient… ... (medium.com; 2022-05-07)
Using Neo4j for Graphed Trading with the TD Ameritrade API: (Bryant Avey) Part 1 — Setting up the TDA Developer Account and Creating a Graph ... (medium.com; 2022-05-05)
Achieving a well-diversified portfolio based on Graph Theory ⋆ Quantdare (Quantdare) Why not taking advantage of Graph Theory's potential in portfolio management? ... (quantdare.com; 2022-05-05)
Ditch Volatility (CAIAAssociation) By Sorina Zahan, Ph.D., Founder of Aiperion, an R&D, consulting and technology firm that exists to change the way we all think about risk. ... (caia.org; 2022-05-05)
Cross Asset Investment Strategy (Amundi Institute) Find the latest edition of our Research team's monthly publication. ... (research-center.amundi.com; 2022-05-04)
Granger causality test in pairs trading (Alexander Pavlov) Many traditional pairs trading strategies use cointegration tests for pair selection. If a pair of stocks is found to be cointegrated then… ... (medium.com; 2022-05-03)
AI Trading System: How Does Fast Cash Network(FCN) Work? (Emmanuel Okonkwo) While humans remain a big part of the trading equation, Artificial intelligence (AI) is gradually becoming the game-changer for the… ... (medium.com; 2022-05-03)
Should your backtest be vectorized? (Quantitools) There is a point in most strategic designs and quantitative investments rationals nowadays where you start to realize you need a backtest… ... (quantitools.medium.com; 2022-05-03)
Directed Market Makers: Another Path to Internalization? (Optiver) In exchange for greater quoting obligations, directed market makers (DMMs) receive special privileges in the U.S. options market, like larger allocations of orders. We ask whether the DMM model still ... (optiver.com; 2022-05-02)
Dollar-cost averaging strategy (DCA (Cedefihedge) About ... (cedeedf.medium.com; 2022-05-02)
Boaz Weinstein on Credit Investments (Bloomberg) Bloomberg Radio host Barry Ritholtz speaks with Boaz Weinstein, who is founder and chief investment officer of Saba Captal Management. Prior to launching Saba as an independent firm in 2009, Weinstein (2022-05-13)
#414 – Tim Laehy – All About Coinbase (COIN) With The Company's Former CFO (Meb Faber) Today’s guest is Tim Laehy, a long-time CFO that’s taken 3 companies public and raised over $3 billion dollars in his career. In today’s episode, we’re talking all things Coinbase! Tim was previously (2022-05-13)
Alex Lipton (Quantcast) Lipton on automated FX market-making and the perils of stablecoins (2022-05-13)
Jennifer Castle (Pierre Pinson) Jennifer Castle is an Economics Fellow at Magdalen College, Oxford University and a research fellow at Climate Econometrics, Oxford University.Jennifer talks about economic forecasting models and the (2022-05-12)
The People Data Labs Episode (Various) In this episode I speak to Ben Eisenberg of People Data Labs, the provider of B2B and professional data.In our conversation, Ben and I discuss PDL’s evolution and what can be achieved with records cov (2022-05-12)
ReSolve Riffs with Vincent Deluard on the Historical Trajectory of Inflation and Market Implications (Invest Resolve) Vincent Deluard is the Global Macro Strategist for StoneX, where he advises institutional investors on asset allocation and risk management. He joined us for an awesome conversation that covered topic (2022-05-11)
Fundamental Quant CEO Milind Sharma (Dimitri) Milind Sharma is the QuantZ / QMIT CEO with a deep background in quantamental investing. His experience started with a solid education from Carnegie Mellon with the Milind Sharma is the QuantZ / QMIT (2022-05-10)
#413 – Antti Ilmanen, AQR – Investing Amid Low Expected Returns: Making the Most When Markets Offer the Least (Various) Today’s guest is Antti Ilmanen, Principal and Global Co-head of the Portfolio Solutions Group at AQR Capital Management and author of Investing Amid Low Expected Returns: Making the Most When Markets (2022-05-09)
#364: Symbolic Math with Python using SymPy (Michael Kennedy ) We're all familiar with the data science tools like numpy, pandas, and others. These are numerical tools working with floating point numbers, often to represent real-world systems. But what if you exa (2022-05-07)
Alex Gurevich on Global Macro Investing Strategies (Bloomberg) Bloomberg Radio host Barry Ritholtz speaks with Alex Gurevich, the founder and chief investment officer of San Francisco-based global macro investment firm HonTe Advisors. Gurevich, who has more than (2022-05-07)
Episode #83: Martin Schmid Designing Algo's to Beat the Market (Market Maker) PHD in algorithmic game theory. CEO & Co-Founder of EquiLibre Technologies- a company that is using game theory and reinforcement learning to build the next generation of algorithmic trading. Prev (2022-05-05)
Eduardo Repetto: Building Better Portfolios, From Aeronautics To Avantis (CFA Society) Our guest today is Eduardo Repetto, Chief Investment Officer for Avantis Investors. Avantis was established to help clients achieve their investment goals through a persistent focus on providing well- (2022-05-05)
#411 – Kai Wu, Sparkline Capital – Investing in Innovation, Intangible Value, & Web3 (Various) Today’s guest is Kai Wu, founder and CIO of Sparkline Capital, an investment management firm applying state-of-the-art machine learning and computing to uncover alpha in large, unstructured data sets. (2022-05-04)
ReSolve Riffs with Meb Faber (Invest Resolve) It had been a while since we riffed with our good friend Meb Faber (co-founder and the Chief Investment Officer of Cambria Investment Management), and as always, he didn’t disappoint. Our thought-prov (2022-05-02)
Michael Lewis on His Journey to Wall Street (Bloomberg) Bloomberg Radio host Barry Ritholtz speaks with author Michael Lewis, whose books include “Flash Boys: A Wall Street Revolt,” “Moneyball: The Art of Winning an Unfair Game,” “Liar’s Poker” and “The Fi (2022-04-29)
#363: Python for .NET and C# developers (Michael Kennedy ) Are you coming to Python from another language and ecosystem? It can seem a bit daunting at first. But Python is very welcoming and has a massive array of tools and libraries. In this episode, I speak (2022-04-29)
#410 – Chris Bloomstran, Semper Augustus – Buffett, Berkshire, & Investing During The Energy Transition (Various) Today’s guest is Chris Bloomstran, President & Chief Investment Officer of Semper Augustus. In today’s episode, we touch on a lot. Chris shares why the best investors are those who can pivot, why (2022-04-27)
#409 – Meb’s Corner – Ben Rollert, Composer – Democratizing Access To Quantitative Investment Strategies (Various) Today’s guest is Ben Rollert, co-founder & CEO of Composer, a platform for investing in and building quantitative investment strategies for free in an easy to use, no-code solution. In today’s epi (2022-04-26)
ReSolve Riffs with Kris Abdelmessih on Exploring Life Under the (Option) Surface (Invest Resolve) We were joined this week by Kris Abdelmessih, who spent most of his career as an options trader and now writes about the relationship between money, work and creativity in the Moontower blog and weekl (2022-04-26)
#409 – Meb’s Corner – Ben Rollert, Composer – Democratizing Access To Quantitative Investment Strategies (Various) Today’s guest is Ben Rollert, co-founder & CEO of Composer, a platform for investing in and building quantitative investment strategies for free in an easy to use, no-code solution. In today’s epi (2022-04-26)
Mark Jenkins on Leveraged Finance and Pension Plans (Bloomberg) Bloomberg Opinion host Barry Ritholtz speaks with Mark Jenkins, who is head of global credit at the investment firm The Carlyle Group. Carlyle has more than $300 billion of assets under management; it (2022-04-22)
Swing Trading (Patrick J Zoro) Patrick has a quant discussion with Rekhit Pachanekar on Swing Trading. Rekhit is a quant researcher at Quantinsti and creating courses in the field of algo trading and machine learning. He is the co (2022-04-21)
#362: Hypermodern Python Projects (Michael Kennedy ) What would a modern Python project look like? Maybe it would use Poetry rather than pip directly for its package management. Perhaps its test automation would be controlled with Nox. You might automat (2022-04-21)
Tech vs FinTech vs Risk Quant (Dimitri) As my journey unfolds I am at a cross road of firms in tech, fintech, and banking (risk quant). All of the opportunities have their pros and cons however making this decision is really challenging. Sh (2022-04-19)
CFA Society New York Events (Alternative Data) (Various; Manual) ...Fintech Leadership Group Meeting (2022-05-23)
SoFie Seminar Series (Sydney Ludvigson ; Manual) Professor of Economics at New York University and NBER... (2022-05-23)
NYU Courant Mathematical Finance & Financial Data Science Seminar (Igor Halperin; Manual) AI Research Associate at Fidelity Investments. His research focuses on using methods of reinforcement learning information theory and physics for financial problems...Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations (2022-05-24)
Stanford GSB - Finance Seminars (Adrien Verdelhan; Manual) Stephens Naphtal Professor of Finance and a Professor of Finance at the MIT Sloan School of Management... (2022-05-25)
AI & BIG DATA IN FINANCE RESEARCH FORUM (LEA STERN; Manual) Assistant Professor in the Finance and Business Economics Department at the Foster School of Business University of Washington....VENTURE CAPITAL (MIS)ALLOCATION IN THE AGE OF AI (2022-05-26)
BACHELIER FINANCE SOCIETY ONE WORLD SEMINARS (ONLINE) (Charles-Albert Lehalle ; Manual) Global Head - Quantitative Research & Development... (2022-05-26)
Chicago Booth Econometrics and Statistics Colloquium (Michael McCracken; Manual) Chief Executive Officer at Flat Creek Resources... (2022-05-26)
BACHELIER FINANCE SOCIETY ONE WORLD SEMINARS (ONLINE) (Charles-Albert Lehalle ; Manual) Global Head - Quantitative Research & Development... (2022-05-26)

YouTube Top

Using Gamma Scalping to Solve Negative Theta | Quantitative Trading Strategies (Quantra) Video from the course Quantitative Trading Strategies and Models https://quantra.quantinsti.com/course/quantitative-trading-strategies-models ***START FOR FREE*** We will implement a “gamma scalping” ... (2022-05-14; Views: 117)
ABFR Webinar with Svetlana Bryzgalova and Guofu Zhou (AI & Big Data in Finance Research Forum) Missing Financial Data Presenter: Svetlana Bryzgalova (London Business School) Discussant: Guofu Zhou (Washington University in St. Louis) Host: Lin William Cong (Cornell University) April 28, 2022 12... (2022-05-13; Views: 1)
CFA Institute Information Session: Python and Data Science for Investment Professionals (QuantUniversity Channel) Powered by Restream https://restre.am/yt Join CFA Institute and QuantUniversity for an information session about the upcoming CFA Institute Professional Learning course: Python and Data Science for In... (2022-05-12; Views: 8)
Heteroskedasticity and Autocorrelation | Quantitative Trading Strategies and Models (Quantra) Video from the course Quantitative Trading Strategies and Models https://quantra.quantinsti.com/course/quantitative-trading-strategies-models ***START FOR FREE*** Welcome to this video lecture! The ob... (2022-05-12; Views: 112)
Quantamental CEO Milind Sharma (Dimitri Bianco) Milind Sharma is the QuantZ / QMIT CEO with a deep background in quantamental investing. His experience started with a solid education from Carnegie Mellon with the Milind Sharma is the QuantZ / QMIT ... (2022-05-10; Views: 24)
Welcome to DeepMind: Embarking on one of the greatest adventures in scientific history (DeepMind) At DeepMind, we’re embarking on one of the greatest adventures in scientific history. Our mission is to solve intelligence, to advance science and benefit humanity. To make this possible, we bring tog... (2022-05-05; Views: 467)
Posted by jean-philippe bouchaud (Comments: 38) Prices are very, very far from (geometric) Brownian motions. Return distributions are fat-tailed, volatility is “rough”, i.e. clustered in a scale invariant way, negative returns increase future volat... (2022-04-27; Score: 11; Likes: 575)
Posted by Harvey Stein (Comments: 66) I’m happy to share that I’m starting a new position as Senior VP, Quant Research at Two Sigma!... (2022-05-03; Score: 9; Likes: 500)
Posted by Prof. Alexander Lipton (Comments: 2) Continuing my previous post, I'm happy to present the latest episode of Quantcast with the quant finance editor at Risk.net, Mauro Cesa, https://lnkd.in/dYp4hA2r). In addition to stablecoins, we also ... (2022-05-13; Score: 8; Likes: 42)
Posted by jean-philippe bouchaud (Comments: 1) In 1972, the future Nobel Prize winner Philip Anderson published an article in "Science" entitled "More is Different", in which he explained the concept of emergence in a remarkably clear manner: the ... (2022-05-05; Score: 7; Likes: 18)
Posted by Artur Sepp (Comments: 9) I will talk about modeling the dynamic of implied volatility surfaces of crypto assets (#btc, #eth ) at Imperial College in London on Wednesday the 18th May. I will present an arbitrage-free framework... (2022-05-04; Score: 7; Likes: 170)
Posted by Gautier Marti (Comments: 1) come and join us in Paris Thursday the 31st of May in Paris for this workshop organized with the Finance and Insurance Rebooted (FaIR) initiative of the Institut Louis Bachelier.It will be great to di... (2022-04-26; Score: 7; Likes: 33)
Liked by Igor Halperin (Comments: 8) Tuesday, May 24, 5:30PM-6:45PM (Eastern Time): Join us for Igor Halperin's online talk "Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations" in NYU... (2022-05-13; Score: 6; Likes: 86)
Posted by Charles-Albert Lehalle (Comments: 4) I am very happy that three years after the preprint, our paper "Transaction cost analytics for corporate bonds" with Renyuan Xu and Xin Guo is now published in Quantitative Finance.We started this wor... (2022-04-27; Score: 6; Likes: 208)
Posted by Petter Kolm (Comments: 2) May 10, 5:30PM-6:45PM (Eastern Time): Join us for Sebastian Jaimungal's online talk "Reinforcement Learning with Dynamic Convex Risk Measures" in NYU Courant's Mathematical Finance & Financial Data Sc... (2022-04-22; Score: 6; Likes: 57)
Posted by Prof. Alexander Lipton (Comments: 2) Excited to offer you the latest podcast with Anthony Scaramucci. It starts at the 42nd minute in the following link, https://www.mooch.fm/. We discussed many aspects raised in my book with Adrien Trec... (2022-04-22; Score: 6; Likes: 47)
Liked by Alexis Marchal (Comments: 1) Optimization of loss functions by gradient descent, a widely used approach for #deeplearning is plagued by the existence of multiple local minima. Yet such algorithms perform well for certain neural... (2022-04-21; Score: 6; Likes: 139)
Posted by Matthew Dixon (Comments: 7) For me personally, one of the holy grails is to tie machine learning and finance to climate change - that is using ML in finance to tackle some of the most challenging problems of our time. In additio... (2022-05-12; Score: 5; Likes: 92)
Liked by Peter Cotton, PhD (Comments: 52) Coinbase said in its earnings report Tuesday that it holds $256 billion in both fiat currencies and cryptocurrencies on behalf of its customers. Yet the exchange noted that in the event it ever declar... (2022-05-11; Score: 5; Likes: 53)
Posted by Prof. Alexander Lipton (Comments: 18) Section 8.4.5 of my and Adrien Treccani, Ph.D.'s book Blockchain And Distributed Ledgers: Mathematics, Technology, And Economics, https://lnkd.in/dPuCJjxf published in 2021, is called Dynamically Stab... (2022-05-10; Score: 5; Likes: 73)
Posted by Mauro Cesa (Comments: 2) For the latest Quantcast, I’m joined by Prof. Alexander Lipton, global head of quantitative R&D at ADIA. He talks about his latest work with Artur Sepp on their automated market making framework for c... (2022-05-13; Score: 4; Likes: 35)
Liked by Saeed Amen (Comments: 4) “In this period of dramatic structural change, I do not care about technology. Tech is the least important part of the next 20 years.” Paul Donovan, Chief Economist at UBS Global Wealth Management, sa... (2022-05-12; Score: 4; Likes: 82)
Posted by Álvaro Cartea (Comments: 0) New paper "Algorithmic Collusion in Electronic Markets: The Impact of Tick Size". This is joint work with Patrick Chang (Oxford-Man Institute) and Jose Penalva (Universidad Carlos III de Madrid & Asso... (2022-05-11; Score: 4; Likes: 64)
Liked by Matthew Dixon (Comments: 2) If you enjoy doing quantitative financial research, have an advanced degree in a highly quantitative field, and have proven experience working with fundamental, market, analytics, and/or alternative d... (2022-05-08; Score: 4; Likes: 79)
Liked by Alec Schmidt (Comments: 20) Is volatility "rough"?A series of papers in the last few years have suggested that 'volatility' is best modeled using fractional processes with Hurst exponent H< 0.5, so with paths 'rougher' than Bro... (2022-05-08; Score: 4; Likes: 191)
Liked by Matthew Dixon (Comments: 5) I might have long forgotten what a time-changed Brownian motion is, but I still remember the image of an energetic scholar riding his bike on campus; and I still remember his last words to a graduatin... (2022-05-07; Score: 4; Likes: 60)

Twitter Top Links

About to kick off tonight's Technical Incerto reading club, with Chapters 24-25. Join now: https://t.co/VR6g7p5uFo - Direct link (tweet) - RichmanRonald (10.0; 2022-04-25)
Open Source Cross-Sectional Asset Pricing (w/ @TomZ_Econ ) in print! https://t.co/nlcGSXGmqU Also, this CFR volume looks sweet. It's like a 2022 update on major issues in empirical asset pricing. https://t.co/Fxslwg1eWY - Direct link (tweet) - achenfinance (5.0; 2022-05-03)
"The Hurst exponent can be used to...detect whether a market is trending, mean-reverting, or just random...There are multiple ways to estimate the Hurst exponent [in Python]." https://t.co/E1OzE6htf8 https://t.co/IGqsijVIUR - Direct link (tweet) - macro_srsv (24.0; 2022-05-02)
Today's reading list: 1. https://t.co/DT2MLgkO0Y 2. https://t.co/wwpE5Iq5Fx 3. https://t.co/Ml25VUTgpf 4. https://t.co/9EaPxVlNmw 5. https://t.co/ciKTXl5Eu7 6. https://t.co/tMk4BjZVfc https://t.co/Coj27pH7qO - Direct link (tweet) - QuantSymplectic (27.0; 2022-05-13)
Today's reading list: 1. https://t.co/7iKu4DPXI6 2. https://t.co/z4usCJZtCb 3. https://t.co/aHeBVheRb6 4. https://t.co/RmTZrkHeip 5. https://t.co/WsdaOzBMZI 6. https://t.co/fr0PGHAR0Y https://t.co/HBTyEiWOPe - Direct link (tweet) - QuantSymplectic (24.0; 2022-04-29)
"We examine the out-of-sample performance of 240 stock market anomalies enhanced by 49 machine learning algorithms and over 260 individually trained models across an international data sample...from 1980 to 2019. We demonstrate significant returns." https://t.co/cTAru8yj9D https://t.co/aoQKEHDujy - Direct link (tweet) - macro_srsv (18.0; 2022-05-06)
I will talk about modeling the dynamic of implied volatility surfaces of crypto #btc #eth assets at Imperial College in London the 18th May. I will present an arbitrage-free framework equipped with a stochastic volatility model. https://t.co/aMkGqwDvfJ - Direct link (tweet) - ArturSepp (10.0; 2022-05-04)
#2 Interesting Qfin Repos: areed1192/python-sec, A simple python library that allows for easy access of the SEC website so that someone can parse filings, collect data, and query documen, https://t.co/RjtKvfhXem , Forks: 35, Stars: 79 #PythonFinance, #quantfinance - Direct link (tweet) - BPyfinance (2.0; 2022-04-30)
#1 Interesting Qfin Repos: OpenBB-finance/OpenBBTerminal, Investment Research for Everyone, Anywhere., https://t.co/9979LjhaW6 , Forks: 1264, Stars: 11764 #PythonFinance, #quantfinance - Direct link (tweet) - BPyfinance (2.0; 2022-04-30)
8 Visualizations with Python to Handle Multiple Time-Series Data by Boriharn K in @TDataScience https://t.co/6zWQLV0rCX - Direct link (tweet) - erykml1 (1.0; 2022-05-06)
Performance of #ml deep-learning and and statistical models in R #Rstats GitHub https://t.co/4NofXM8KL1 https://t.co/EM39EUAzwA - Direct link (tweet) - carlcarrie (13.0; 2022-04-25)
Things you don’t need to start algorithmic trading: • A PhD in math • A $100,000 account • 10 years experience Things you do need: • Python on your laptop • A paper trading account • A desire to make progress daily Start with PyQuant News. https://t.co/uwTlL9mtPN - Direct link (tweet) - pyquantnews (8.0; 2022-04-17)
In my latest @TDataScience article I covered estimating the performance of an ML model in the absence of ground truth https://t.co/fPgS45wOw5 - Direct link (tweet) - erykml1 (1.0; 2022-05-12)
Detection of price support and resistance levels in Python by @yourdatateacher in @TDataScience https://t.co/4tovUUmxiG - Direct link (tweet) - JigneshTrade (12.0; 2022-04-22)
FINNSTATS showcases how to add new calculated variables to a data frame using the transmute() function in R: https://t.co/TecbNs4ePs #rstats #DataScience https://t.co/B0i46PnihU - Direct link (tweet) - IBKR_QB (2.0; 2022-04-19)
QuantMinds International is back in Barcelona for 2022, from 7-10 November! We’ll be bringing together the leading minds in the industry to share their insights to set you up for 2022 and beyond! Catch up on the event highlights from 2021: https://t.co/Ni8GLYWZLV #QuantMinds - Direct link (tweet) - QuantMinds (4.0; 2022-04-21)
191 formulaic stock Alphas Python GitHub: https://t.co/6MNQkOq0uo based in part on 101 Alpha Paper: https://t.co/3v2fmuVK16 and 151 Trading Strategies paper: https://t.co/VtmSncQOUN Paper (Chinese, so set browser to translate) https://t.co/egRNqucF1k - Direct link (tweet) - carlcarrie (7.0; 2022-04-28)
@ArturSepp @EmanuelDerman Need to read this paper but thinking about a recent Glasserman paper ( https://t.co/8jrB46Zabc ) and perhaps having time-depending weights would be helpful - Direct link (tweet) - MarcosCarreira (2.0; 2022-05-01)
AbleMarkets Minute 20220425: who is driving #selloff today? #fintwit #fintwitter https://t.co/gqjyLSMxnz - Direct link (tweet) - irenealdridge (2.0; 2022-04-25)
Follow the IBKR Quant Blog for the latest #FinTech stories featuring R, Python, C++, Java and other programming languages. https://t.co/9o8WR1UsPG #DataScience #rstats https://t.co/T7yswXQ3qa - Direct link (tweet) - IBKR_QB (1.0; 2022-04-20)
Has anyone used experiment tracking tools from MLOps in the context of trading strategies? You would easily be able to track the number of trials, opening the door for advanced tearsheets that compute the prob of overfitting. Thinking of this idea: https://t.co/x48ApFAluc - Direct link (tweet) - JacquesQuant (2.0; 2022-05-13)
“For European options, the SABR model has an asymptotic solution, which allows closed form representation of the implied volatility.” Read more from Andrey Itkin and Dmitry Muravey: https://t.co/5VEuo2swhT #QuantMinds #SABR - Direct link (tweet) - QuantMinds (2.0; 2022-04-25)
Is it possible to outperform the market using a Random Forest on Financial Ratios? by Alfredo Timermans Pastor #datascience #MachineLearning #Finance https://t.co/qZ6pAqxdvH - Direct link (tweet) - quantdare (1.0; 2022-04-28)
cc @mathbabedotorg https://t.co/SNqC2VwUyB https://t.co/Qh3uJjHz98 - Direct link (tweet) - MarcosCarreira (1.0; 2022-04-28)
The Journal of Financial Data Science (@PM_Research_) has published and excellent new paper by Laudy, Denev and Ginsberg. Building Probabilistic Causal Models Using Collective Intelligence https://t.co/8wemPQe2Ce @Alexander_Denev - Direct link (tweet) - lopezdeprado (5.0; 2022-05-03)
I've realized I have not written articles in a looong time. Here is a new one: How #institutional #investor activity shapes the markets and what's in store (with @AbleMarkets): https://t.co/91gY2H28ZS - Direct link (tweet) - irenealdridge (1.0; 2022-05-05)
Deepnote is a new kind of data notebook that's built for collaboration - #Jupyter compatible, works magically in the cloud, and sharing is easy as sending a link. It's also 100% free to get started. https://t.co/5KbdyS6Efa #Python #DataScience #DataScientists #MachineLearning https://t.co/JFmmLf0xPE - Direct link (tweet) - PythonWeekly (8.0; 2022-05-02)
Permissions in Django https://t.co/ZxAguqS8Rd https://t.co/sWGy6MU944 - Direct link (tweet) - fullstackpython (11.0; 2022-04-25)
Python Weekly - Issue 547 https://t.co/jHHbDVJpGL #python #fastapi #django #flask #jupyter #deepnote #machinelearning #pandas #datascience #deeplearning #nft #nfts #docker #micropython #artificialintelligence #trello #aws #lambda #ai #cicd #whatsapp #ios #zapier #pytorch #pygame https://t.co/Ja6JwrlwFo - Direct link (tweet) - PythonWeekly (7.0; 2022-04-28)
8 Visualizations with Python to Handle Multiple Time-Series Data Visualization ideas to avoid overlapping lines in the multiple time-series plot. https://t.co/pw2MNAZUwQ - Direct link (tweet) - PythonHub (9.0; 2022-05-11)
Python is About to Become 64% Faster — Python 3.10 vs. Python 3.11 Benchmark Get excited about Python 3.11 — It’s finally the time for significant ... https://t.co/XFyfsf16fC - Direct link (tweet) - PythonHub (7.0; 2022-04-30)
Lesser-known Django builtin commands https://t.co/UHa1tHcJiM https://t.co/1c3Wo0zAmS - Direct link (tweet) - fullstackpython (6.0; 2022-05-14)
cool idea - "We use Bloomberg online status data to characterize sell-side equity analysts' work habits: average workday length is positively related to the quantity and the timeliness of analyst forecasts" https://t.co/8AjZ39Kg7N - Direct link (tweet) - msamonov (0.0; 2022-05-09)
Why not taking advantage of Graph Theory's potential in portfolio management? by Gonzalo Sainz Ponce #datascience #assetmanagement #Finance https://t.co/8TLNzKXRjj - Direct link (tweet) - quantdare (0.0; 2022-05-05)
Notebooks democratised Python by making it more accessible via the web browser. Will PyScript take this one step further by making it accessible via the web browser *alone*? (plus the many other use cases that this brings us!) https://t.co/qGMXEMz6CH #python - Direct link (tweet) - ManQuantTech (0.0; 2022-05-12)
f-strings introduced in Python 3.6 made string formatting more code terser but you can still make mistakes, and @CodeReviewDr has done the investigation for us to show how prevalent some of these mistakes are in popular codebases https://t.co/KrwXQ5sTde #python - Direct link (tweet) - ManQuantTech (0.0; 2022-05-13)
Assessing the Accuracy of Exponentially Weighted Moving Average Models for Value-at-Risk and Expected Shortfall of Crypto Portfolios https://t.co/X8Tisn8Huz #QuantLinkADay https://t.co/vzkuXo9Z29 - Direct link (tweet) - saeedamenfx (0.0; 2022-04-25)
Applications of topological data analysis (#TDA) to images, time series, correlation matrices, and graphs, with the Euler characteristic and the Fréchet mean. https://t.co/zojYGtlG4g - Direct link (tweet) - zoonek2 (0.0; 2022-05-03)

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