December 1st 2022 (ML-Quant)

Quant ArXiv, SSRN, GitHub, RePec, Twitter, Reddit, Blogs, LinkedIn, and more.

What happened on ArXiv: (1) Deep BSDE solver (with jumps), (2) there are not a lot of quant paper written on how to model and predict using heterogeneous graphs, here is one don’t let the type of data put you off, it is a pretty good idea, (3) the FIN-RL team has produced good software so I am sure the recent paper would be good.

Note that the second ArXiv section (Sanity) is the top ArXiv papers from all the non-quant sections. The hope is that it could help inspire research in the quant space.

In SSRN land, (1) what does the performance of mean-variance efficient portfolios of monthly option look like (good). (2) not yet out, but looking forward to the release of ‘bonds with benefits’ by researchers at Quoniam. (3) Freshly released by researchers at TUM/Robeco the cross-section of emerging stock returns (using ML of course). (4) is there a crypto carry? on futures (5) Mihai Cucuringu and team at Oxford Stats forecasts realized covariances using graph-based methods.

And a few other tidbits, ESG factors inpact on sovereign bond markets. Gautier Marti’s slides on financial markets. Here we have 200-years of news-based sentiment. In podcast land, A discussion around alternatives designed to overcome the pitfalls of neural networks from Risk.net.

ArXiv Top

Text Representation Enrichment Utilizing Graph based Approaches:... (Score: 1.25) Sara Salamat, Nima Tavassoli, Behnam Sabeti, Reza Fahmi (2022-11-29) Graph neural networks (GNNs) have been utilized for various natural language processing (NLP) tasks lately. The ability to encode corpus-wide features in graph representation made GNN models popular i... (2 posts; 2 tweeters)

Motif-aware temporal GCN for fraud detection in signed... (Score: 1) Chong Mo, Song Li, Geoffrey K. F. Tso, Jiandong Zhou, Yiyan Qi, M (2022-11-22) Graph convolutional networks (GCNs) is a class of artificial neural networks for processing data that can be represented as graphs. Since financial transactions can naturally be constructed as graphs,... (3 posts; 3 tweeters)

A deep solver for BSDEs with jumps (Score: 1) Alessandro Gnoatto, Marco Patacca, Athena Picarelli (2022-11-08) The aim of this work is to propose an extension of the Deep BSDE solver by Han, E, Jentzen (2017) to the case of FBSDEs with jumps. As in the aforementioned solver, starting from a discretized version... (7 posts; 4 tweeters)

Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms (Score: 0.75) Sarah Kaakai, Anis Matoussi, Achraf Tamtalini (2022-11-29) Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two ... (8 posts; 3 tweeters)

Investor base and idiosyncratic volatility of cryptocurrencies (Score: 0.75) Amin Izadyar, Shiva Zamani (2022-11-23) This paper investigates how changes in investor base is related to idiosyncratic volatility in cryptocurrency markets. For each cryptocurrency, we set change in its subreddit followers as a proxy for ... (2 posts; 2 tweeters)

Simulation-based Forecasting for Intraday Power Markets: Modelling... (Score: 0.75) Simon Hirsch, Florian Ziel (2022-11-23) During the last years, European intraday power markets have gained importance for balancing forecast errors due to the rising volumes of intermittent renewable generation. However, compared to day-ahe... (3 posts; 3 tweeters)

A Comprehensive Survey on Enterprise Financial Risk Analysis:... (Score: 0.5) Yu Zhao, Huaming Du (2022-11-28) Enterprise financial risk analysis aims at predicting the enterprises' future financial risk.Due to the wide application, enterprise financial risk analysis has always been a core research issue in fi... (2 posts; 2 tweeters)

Confidence Interval Construction for Multivariate time series... (Score: 0.5) Aryan Bhambu, Arabin Kumar Dey (2022-11-25) In this paper we propose a novel procedure to construct a confidence interval for multivariate time series predictions using long short term memory network. The construction uses a few novel block boo... (2 posts; 2 tweeters)

HGV4Risk: Hierarchical Global View-guided Sequence Representation... (Score: 0.5) Youru Li, Zhenfeng Zhu, Xiaobo Guo, Shaoshuai Li, Yuchen Yang, Ya (2022-11-15) Risk prediction, as a typical time series modeling problem, is usually achieved by learning trends in markers or historical behavior from sequence data, and has been widely applied in healthcare and f... (2 posts; 2 tweeters)

Building Resilience in Cybersecurity -- An Artificial Lab Approach (Score: 0.5) Kerstin Awiszus, Yannick Bell, Jan Lüttringhaus, Gregor Svindland (2022-11-09) Based on classical contagion models we introduce an artificial cyber lab: the digital twin of a complex cyber system in which possible cyber resilience measures may be implemented and tested. Using th... (2 posts; 2 tweeters)

FinRL-Meta: Market Environments and Benchmarks for Data-Driven... (Score: 0.5) Xiao-Yang Liu, Ziyi Xia, Jingyang Rui, Jiechao Gao, Hongyang Yang (2022-11-06) Finance is a particularly difficult playground for deep reinforcement learning. However, establishing high-quality market environments and benchmarks for financial reinforcement learning is challengin... (2 posts; 2 tweeters)

Rating Triggers for Collateral-Inclusive XVA via Machine Learning... (Score: 0.5) Kevin Kamm, Michelle Muniz (2022-11-01) In this paper, we model the rating process of an entity by using a geometrical approach. We model rating transitions as an SDE on a Lie group. Specifically, we focus on calibrating the model to both h... (2 posts; 2 tweeters)

ArXiv Sanity Top

eDiffi: Text-to-Image Diffusion Models with an Ensemble of Expert Denoisers (Score: 209.79999999999927) Yogesh Balaji, Seungjun Nah, Xun Huang, Arash Vahdat, Jiaming Son (2022-11-02) Large-scale diffusion-based generative models have led to breakthroughs in text-conditioned high-resolution image synthesis. Starting from random noise, such text-to-image diffusion models gradually s... (336 posts; 319 tweeters)

POLICE: Provably Optimal Linear Constraint Enforcement for Deep... (Score: 34.80000000000002) Randall Balestriero, Yann LeCun (2022-11-02) Deep Neural Networks (DNNs) outshine alternative function approximators in many settings thanks to their modularity in composing any desired differentiable operator. The formed parametrized functional... (65 posts; 62 tweeters)

Token Turing Machines (Score: 18.950000000000003) Michael S. Ryoo, Keerthana Gopalakrishnan, Kumara Kahatapitiya, T (2022-11-16) We propose Token Turing Machines (TTM), a sequential, autoregressive Transformer model with memory for real-world sequential visual understanding. Our model is inspired by the seminal Neural Turing Ma... (34 posts; 34 tweeters)

Lila: A Unified Benchmark for Mathematical Reasoning (Score: 17.299999999999997) Swaroop Mishra, Matthew Finlayson, Pan Lu, Leonard Tang, Sean Wel (2022-10-31) Mathematical reasoning skills are essential for general-purpose intelligent systems to perform tasks from grocery shopping to climate modeling. Towards evaluating and improving AI systems in this doma... (41 posts; 36 tweeters)

Efficient Spatially Sparse Inference for Conditional GANs and... (Score: 16.5) Muyang Li, Ji Lin, Chenlin Meng, Stefano Ermon, Song Han, Jun-Yan (2022-11-03) During image editing, existing deep generative models tend to re-synthesize the entire output from scratch, including the unedited regions. This leads to a significant waste of computation, especially... (32 posts; 30 tweeters)

Estimating the Carbon Footprint of BLOOM, a 176B Parameter Language Model (Score: 16.299999999999997) Alexandra Sasha Luccioni, Sylvain Viguier, Anne-Laure Ligozat (2022-11-03) Progress in machine learning (ML) comes with a cost to the environment, given that training ML models requires significant computational resources, energy and materials. In the present article, we aim... (30 posts; 27 tweeters)

Inverse scaling can become U-shaped (Score: 10.55) Jason Wei, Yi Tay, Quoc V. Le (2022-11-03) Although scaling language models improves performance on a range of tasks, there are apparently some scenarios where scaling hurts performance. For instance, the Inverse Scaling Prize Round 1 identifi... (29 posts; 24 tweeters)

Could Giant Pretrained Image Models Extract Universal Representations? (Score: 8.95) Yutong Lin, Ze Liu, Zheng Zhang, Han Hu, Nanning Zheng, Stephen L (2022-11-03) Frozen pretrained models have become a viable alternative to the pretraining-then-finetuning paradigm for transfer learning. However, with frozen models there are relatively few parameters available f... (17 posts; 17 tweeters)

Monte Carlo Techniques for Addressing Large Errors and Missing Data in Simulation-based Inference (Score: 7.83) Bingjie Wang, Joel Leja, Ashley Villar, Joshua S. Speagle (2022-11-07) Upcoming astronomical surveys will observe billions of galaxies across cosmic time, providing a unique opportunity to map the many pathways of galaxy assembly to an incredibly high resolution. However... (4 posts; 3 tweeters)

Chinese CLIP: Contrastive Vision-Language Pretraining in Chinese (Score: 6.3) An Yang, Junshu Pan, Junyang Lin, Rui Men, Yichang Zhang, Jingren (2022-11-02) The tremendous success of CLIP (Radford et al., 2021) has promoted the research and application of contrastive learning for vision-language pretraining. However, while the publicly available CLIP mode... (16 posts; 13 tweeters)

SSRN Top

Note we are only looking at top papers in C and G JEL codes.

Lottery Preference and Anomalies (pages: 91) Lei Jiang Quan Wen Guofu Zhou Yifeng Zhu (2020-06-04) We construct a lottery factor based on 13 commonly used lottery proxies and show that this factor adds significant explanatory power to prominent factor models for anomalies especially for anomalies i... (976 downloads; 3681 views)

Past-Winner Performance in Short-Run Strategies and the 52-week Price High (pages: 84) Chen Chen Chris T. Stivers Licheng Sun (2022-11-20) In short-term relative-strength strategies we find that past-winner stocks that are near their 52-week-high strongly outperform past-winner stocks that are far from their 52-week-high. But the perform... (284 downloads; 911 views)

Keeping Up with the Blackstones: Institutional Investors and Gentrification (pages: 91) Neroli Austin (2022-11-21) Policy makers worry that institutional investment in residential real estate drives up house prices and crowds out minority residents. Using mergers of private-equity backed firms to isolate quasi-exo... (182 downloads; 871 views)

Stock Price Crash Risk and Firms’ Operating Leverage (pages: 49) Xin Chang Louis T. W. Cheng Wing Chun (Kaz) Kwok George Wong (2022-10-05) We extend Jin and Myers’ (2006) model to derive the relation between stock price crash risk and operating leverage (i.e. the fraction of fixed costs in total costs). The model predicts that (i) firms’... (113 downloads; 449 views)

Distilling Liquidity Costs from Limit Order Books (pages: 40) Diego Amaya Jean-Yves Filbien Cedric Okou Alexandre F. Roch (2015-09-16) This paper proposes a method to compute ex-ante trading costs at the intraday level from limit order books. Using nearly 500 of the largest traded companies in the NYSE ArcaBook we show that these cos... (110 downloads; 884 views)

Environmental Variables and Stock Returns (pages: 64) William O. Brown Xiaoli Gao Yufeng Han Dayong Huang Fang Wang (2022-09-28) Individual environmental variables may contain information that is obscured inaggregate environmental scores. We apply machine learning methods to granular envi-ronmental variables and study whether t... (100 downloads; 335 views)

Implied Skewness and the Cross Section of Foreign Exchange Returns (pages: 41) Ákos Török (2022-11-22) The paper focuses on the relationship between the carry factor and option-implied skewnessfrom a currency portfolio perspective. I show that it possible to build ’crash-hedgedcarry’ as well as a ’skew... (82 downloads; 276 views)

Causal Effect of Information Costs on Asset Pricing Anomalies (pages: 52) Yong Hyuck Kim Zoran Ivkovich Dmitriy Muravyev (2021-02-22) Active investors strive to beat the market by obtaining an information edge a costly enterprise that reduces their net profits (Grossman and Stiglitz (1980)). We both causally identify and assess how ... (81 downloads; 373 views)

Ambiguity and information tradeoffs (pages: 55) Nihad Aliyev Xuezhong He (2022-10-11) Financial markets often witness unfamiliar shocks to the composition of traders. To investigate the effects of this phenomenon we develop a model where investors face ambiguity about the number of inf... (81 downloads; 661 views)

Global Spillovers of US Climate Policy Risk: Evidence from EU Carbon Emissions Futures (pages: 47) Micah Fields David Lindequist (2022-07-28) International climate policy risk spillovers arise when expected changes to climate policy stringency in one country affect expected climate policy stringency in another country. We provide evidence f... (63 downloads; 169 views)

Lucky to Work (pages: 40) Puja Bhattacharya Johanna Mollerstrom (2022-10-21) Most people regard inequalities as more acceptable when they reflect differences in effort rather than differences in luck. In practice however effort and luck are often intertwined. We study redistri... (28 downloads; 201 views)

Graph-based Methods for Forecasting Realized Covariances (pages: 40) Chao Zhang Xingyue (Stacy) Pu Mihai Cucuringu Xiaowen Dong (2022-11-11) We forecast the realized covariance matrix of asset returns in the U.S. equity market by exploiting the predictive information of graphs in volatility and correlation. Specifically we augment the Hete... (16 downloads; 22 views)

Options Portfolio Selection with Position Limits (pages: 32) Paolo Guasoni Eberhard Mayerhofer Mingchuan Zhao (2022-11-28) This paper examines the performance from 1996 to 2020 of mean-variance efficient portfolios of monthly options with all available strikes on each of the S&P 500 Nasdaq 100 and Dow Jones indexes using ... (7 downloads; 17 views)

Bonds with Benefits: Impact Investing in Corporate Debt (pages: ) Desislava Vladimirova Jieyan Fang-Klingler (2022-11-09) The growing regulatory focus on quantifiable sustainable investing shifts investors’ demand towardsimpact products thus challenging asset managers to align such portfolios with the primary target ofou... (5 downloads; views)

Machine learning and the cross-section of emerging market stock returns (pages: 89) Matthias X. Hanauer Tobias Kalsbach (2022-11-28) This paper compares various machine learning models to predict the cross-section of emerging market stock returns. We document that allowing for non-linearities and interactions leads to economically ... (4 downloads; 6 views)

Crypto Carry (pages: 51) Maik Schmeling Andreas Schrimpf Karamfil Todorov (2022-10-01) We document that the carry of crypto futures i.e. the difference between futures andspot prices can become very large (up to 60% p.a.) and varies strongly over time. Thisbehavior is most consistent wi... (3 downloads; 3 views)

RePec Top

Analyzing Insolvency Prediction Models in the Period Before and After the Financial Crisis: A Case Study on the Example of US Firms George Giannopoulos Sophia Ali Sardar Rebecca Salti and Nicos S... Purpose: The study aims to assess the most accurate bankruptcy prediction model for US firms. Design/methodology/approach: Validating the accuracy of bankruptcy prediction models can provide managemen... International Journal of Finance Insurance and Risk Management 2022 vol. 12 issue 3 23-45 (0.82 score)

Taking an intelligence-led approach: How to improve understanding of financial crime threats through intelligence and analysis David Gilchrist David Gilchrist: Financial crime compliance e... The financial crime compliance landscape is evolving driven by a number of complementary factors: the move towards a more intelligence-led allocation of resources and advances in machine learning and ... Journal of Financial Compliance 2022 vol. 5 issue 4 315-323 (0.75 score)

Data matters: Best practices and strategies for the use of securities lending data — Revenue attribution performance measurement and alternative uses of lending data Nancy E. Allen Nancy E. Allen: Director and DataLend Global H... Securities lending data holds the key to unlock additional value from a securities lending programme. This paper dives into the data available today and the best practices and strategies for the use o... Journal of Securities Operations & Custody 2021 vol. 13 issue 2 139-149 (0.75 score)

Emanating confluence: The symbiotic relationship between artificial intelligence and data Ted W. Gross Ted W. Gross: Founder Asanatae Israel... This paper seeks to explain significant constructs within artificial intelligence (AI) including but not limited to: the impact of ‘information theory’; entropy especially in terms of ‘information ent... Applied Marketing Analytics: The Peer-Reviewed Journal 2021 vol. 7 issue 2 169-195 (0.75 score)

Keeping pace with dynamic markets: FINRA’s journey with AI-based surveillance techniques and tools Susan Tibbs Raghu Raman Chi-Keung Chow and Robert A. Gomez ... Trading markets are dynamic. The composition of trading centres and market behaviour are constantly evolving. The number of market events is also constantly increasing often in response to significant... Journal of Securities Operations & Custody 2021 vol. 14 issue 1 54-63 (0.75 score)

Identifying and mitigating ‘conduct risk’ in algorithmic FICC trading Alexander Culley Alexander Culley: Chartered Fellow of the Ch... From 31st March 2021 pursuant to the Senior Managers and Certification Regime (SMCR) British investment firms are required to have performed their first fitness and propriety assessments of persons ov... Journal of Financial Compliance 2021 vol. 4 issue 3 267-281 (0.75 score)

Work smarter not harder: Artificial intelligence’s critical role in mitigating financial crime risk Araliya Sammé Araliya Sammé: Head of Financial Crime Features... This paper explores the best methods financial institutions should employ when using an artificial intelligence (AI) programme in financial crime risk management. With the recent move towards AI and m... Journal of Financial Compliance 2021 vol. 4 issue 4 344-352 (0.75 score)

Predicting sovereign credit ratings for portfolio stress testing Jonas De Oliveira Campino Federico Galizia Daniela Serrano and ... This paper analyses the relationship between macroeconomic and credit cycles. It is not a straightforward relationship particularly in sovereign credit assessment. Modelling such a relationship requir... Journal of Risk Management in Financial Institutions 2021 vol. 14 issue 3 229-241 (0.75 score)

The legal and economic implications from recent UK spoofing cases Greg Leonard Yan Cao Marlene Haas and Gregory Mocek Greg Le... UK and US financial market regulators have intensified their efforts in securities and commodities markets to detect and pursue the type of disruptive trading behaviour referred to as ‘layering or spo... Journal of Financial Compliance 2020 vol. 4 issue 2 179-193 (0.75 score)

Conduct risks and their mitigation in algorithmic trading firms: A systematic literature review Alexander Culley Alexander Culley: Chartered Fellow of the Ch... Trading floors are evolving. While popular culture still reveres antiheroes such as Nick Leeson Jordan Belfort and Gordon Gekko dealing rooms have been gradually falling silent in our Digital Age. Inc... Journal of Financial Compliance 2020 vol. 4 issue 1 34-52 (0.75 score)

Modifying model risk management practice in the era of AI/ML Liming Brotcke Liming Brotcke: Sr Director — Model Validation... The model use of artificial intelligence (AI) and machine learning (ML) has caused unprecedented sensation around the wide applicability of these techniques. The rapid adoption of those alternative to... Journal of Risk Management in Financial Institutions 2020 vol. 13 issue 3 255-265 (0.75 score)

Sustainable profitability in volatile cyclical markets Hanna Sarraf Hanna Sarraf: Group Chief Risk Officer BankMed G... Market conditions are prone to change rapidly limiting the ability of lenders to mitigate losses. Furthermore lenders’ behaviour can often contribute to market volatility as lending initially drives u... Journal of Risk Management in Financial Institutions 2020 vol. 13 issue 2 182-189 (0.75 score)

Deep Growth-at-Risk Model: Nowcasting the 2020 Pandemic Lockdown Recession in Small Open Economies Mihail Yanchev... Accurate forecasting of the timing and magnitude of macroeconomic recessions caused by unexpected shocks remains an area where both statistical models and judgmental forecasts tend to perform poorly. ... Economic Studies journal 2022 issue 7 20-41 (0.69 score)

GitHub Top

awesome-courses (#3 ML-Quant) :books: List of awesome university courses for learning Computer Science!... (0.18 score) Days Since Last Update: 0; Created: 2014-11-15; Stars: 44185

sftpgo (#8 ML-Quant) Fully featured and highly configurable SFTP server with optional HTTP/S, FTP/S and WebDAV support - S3, Google Cloud Storage, Azure Blob... (0.17 score) Days Since Last Update: 10; Created: 2019-07-20; Stars: 5126

Portfolio-Optimization-using-Genetic-Algorithm (#12 ML-Quant) Portfolio optimization using Genetic algorithm.... (0.1 score) Days Since Last Update: 4; Created: 2020-12-31; Stars: 28

2nd-edition-BOOK-AMAZON-Python-for-Finance-and-Algorithmic-Trading (#13 ML-Quant) ... (0.09 score) Days Since Last Update: 1; Created: 2022-08-06; Stars: 22

py-googletrans (#16 ML-Quant) (unofficial) Googletrans: Free and Unlimited Google translate API for Python. Translates totally free of charge.... (0.09 score) Days Since Last Update: 10; Created: 2015-06-05; Stars: 3183

MTH9879-Market-Microstructure-Models (#17 ML-Quant) A collection of homeworks of market microstructure models.... (0.09 score) Days Since Last Update: 22; Created: 2018-03-05; Stars: 68

algo-trader (#24 ML-Quant) Trading bot with support for realtime trading, backtesting, custom strategies and much more.... (0.08 score) Days Since Last Update: 24; Created: 2021-09-14; Stars: 199

transformer (#30 ML-Quant) Implementation of Transformer model (originally from Attention is All You Need) applied to Time Series.... (0.07 score) Days Since Last Update: 26; Created: 2019-11-22; Stars: 600

Blogs Top

How Much Are Bitcoin Returns Driven by News? (QuantPedia) The main theme of these days in the crypto world is unmistakenly clear, it's the mayhem connected with the collapse of the FTX empire, insolvencies of various lenders, and questions about underlying h ... (quantpedia.com; 2022-11-30)

How Often Should We Re-Optimize Trading Strategies? (medium.datadriveninvestor.com) And survive the ever changing market dynamics!Continue reading on DataDrivenInvestor » ... (medium.datadriveninvestor.com; 2022-11-26)

Net Zero Investment Portfolios - Part 1. The Comprehensive Integrated Approach (research-center.amundi.com) The emergence of net zero emissions policies is currently one of the most important topics among asset owners and managers. ... (research-center.amundi.com; 2022-11-23)

Hurst Exponent to Identify Trading Strategies (Tanmaay Kankaria) In this blog post, I aim to explain if a concept in fractal geometry called Hurst Exponent can be used to identify and implement momentum… ... (medium.com; 2022-11-23)

COP 27: not a lost COP after all (research-center.amundi.com) Only 0.1°C, but a symbolic victory on compensation and momentum in financial system overhaul. ... (research-center.amundi.com; 2022-11-22)

Podcasts Top

Damien Bisserier and Alex Shahidi on Risk Parity & Investing for All Market Environments (Meb Faber) Today’s guests are Damien Bisserier and Alex Shahidi, Co-CIOs of Evoke Wealth, a $20b+ billion RIA. They also entered the ETF game in 2019 when they launched the RPAR Risk Parity ETF.  In today’s epis (2022-11-30)

Trevor Jackson, "Impunity and Capitalism: The Afterlives of European Financial Crises, 1690-1830" (Cambridge UP, 2022) (Various) Whose fault are financial crises, and who is responsible for stopping them, or repairing the damage? Impunity and Capitalism: The Afterlives of European Financial Crises, 1690-1830 (Cambridge Universi (2022-11-30)

GestaltU with Alfonso Peccatiello on the Timing and Magnitude of Recession (Invest Resolve) Alfonso – also known as MacroAlf – joined Adam and Mike to discuss his most recent report entitled “Yes, But When Recession?” Our conversation covered: Alf’s experience managing a $20B multi-asset bo (2022-11-29)

Tim Walker and Lucian Morris, "The Handbook of Banking Technology" (John Wiley & Sons, 2021) (Various) In The Handbook of Banking Technology (John Wiley & Sons, 2021), Walker and Morris provide a first comprehensive view of the systems that support a bank. During the interview, they bring out the i (2022-11-28)

Using "Big Picture" Analysis to Guide Trading Decisions (Better Systems Trader) Are you looking for unique ways to use “Big Picture” analysis to guide your trading decisions? In this episode, Brent Penfold from indextrader.com.au joins me to share some interesting (and effective) (2022-11-28)

Antonov And Piterbarg 22/11/22 (Quantcast) A discussion around alternatives designed to overcome the pitfalls of neural networks. (2022-11-24)

Robeco – The Cross-Section of Stock Returns before 1926 (and beyond) (The Best Investment Writing Volume 6) (Meb Faber) Today’s episode features Guido Baltussen, Bart Van Vliet and Pim Van Vliet reading their piece, The Cross-Section of Stock Returns before 1926 (and beyond) Guido Baltussen is Head of Robeco’s Factor (2022-11-21)

Measuring Web Search Behavior (Data Skeptic) On the show, Aleksandra Urman and Mykola Makhortykh join us to discuss their work on the comparative analysis of web search behavior using web tracking data. They shared interesting results from their (2022-11-21)

Eugene Fama – A Life in Finance (Meb Faber) Today’s guest is the legendary Professor Eugene Fama, a 2013 Nobel laureate and widely recognized as the “father of modern finance.” In today’s episode, we talk to Professor Fama about whether he thin (2022-11-20)

Dr Ataman Ozyildirim on the business cycle and leading economic indicators (Dimitri) In this episode, we hosted Dr Ataman Ozyildrim from The ConfereceBorad.  We discussed leading economic indicators and how important that is to track the business cycle in the economy provided his insi (2022-11-17)

Indicators vs Price Action (Better Systems Trader) Which is better for trading strategies - Indicators or Price Action? In this episode, Scott Welsh from scottwelshstrategies.com joins me to answer this eternal question. Here are some of the topics we (2022-11-14)

Pairs Trading (Patrick J Zoro) Professor Zoro speaks with Charles Dotson MFE '22 about his latest project on pairs trading. (2022-11-02)

ReSolve Riffs with Cem Karsan on Regime Change and Strategies to Navigate an Inflationary Decade (Invest Resolve) It was our great pleasure to welcome back Cem Karsan (also known as @jam_croissant on Twitter), Founder and Sr. Managing Partner at Kai Volatility Advisors. This deeply insightful conversation include (2022-11-01)

YouTube Top

Alexander Sokol’s Interview on Machine Learning in Finance at QuantMinds International 2022 (Various) Alexander Sokol, the founder, Executive Chairman, and Head of Quant Research at CompatibL gave an interview to QuantMinds’ Joanna Simpson about how machine learning can benefit the financial industry.... (2022-11-28)

The Truth on Quant Salaries (Dimitri Bianco) As prospect students look into quantitative finance as a career, many are excited when they hear you can make a half million dollars as a starting salary. While this could be possible it is extremely ... (2022-11-27; Views: 1)

SONIA and SOFR in the post-Libor customer and interbank markets: Moorad Choudhry & Kevin Liddy (Quants Hub & BTRM) SONIA and SOFR in the post-Libor customer and interbank markets: a Q&A discussion between Prof. Moorad Choudhry and Kevin Liddy (Faculty BTRM). The BTRM looks at how the new replacement RFRs in GBP an... (2022-11-24; Views: 0)

Peter Carr Brooklyn Quant Experience (BQE) Seminar Series: Luyao Zhang (NYU Tandon School of Engineering) The Department of Finance and Risk Engineering welcomed Luyao Zhang, Assistant Professor of Economics and Senior Research Scientist at the Data Science Research Center at Duke Kunshan University (DKU)... (2022-11-21; Views: 0)

Risk Parity & Budgeting with Python | Python for Quant Finance Meetup (Yves Hilpisch) Link to the Gist: https://bit.ly/pqf_risk | This talk from the 23rd Python for Quant Finance Meetup (https://pqf.tpq.io) contrasts traditional mean-variance portfolio allocation with the risk parity/b... (2022-11-20; Views: 4)

2022 CompatibL Platform (CompatibL) A multi-award winning enterprise platform for trading and risk management. Cloud or on-prem deployment. Features: * Real-time pricing, desk risk, and limits * Regulatory market and credit risk * Book ... (2022-11-18; Views: 2)

SoFiE Seminar with Stefan Nagel and Stefano Giglio (Society for Financial Econometrics) Host: Dacheng Xiu (The University of Chicago Booth School of Business) Presenter: Stefan Nagel (The University of Chicago Booth School of Business) Paper: "When do cross-sectional asset pricing factor... (2022-11-14; Views: 0)

What Is Intrinsic Value? Using the Bird Test (Dimitri Bianco) What is intrinsic value? This question comes up a lot with crypto currencies, blockchains, finance, and economics. While people continue to debate it, today I will provide my non-textbook definition b... (2022-11-13; Views: 7)

Peter Carr Brooklyn Quant Experience (BQE) Seminar Series: Federico Maglione (NYU Tandon School of Engineering) The Department of Finance and Risk Engineering welcomed Federico Maglione, Research Fellow of the Quantitative Finance Research Group at Scuola Normale Superiore, on November 3rd to present "Compound ... (2022-11-11; Views: 4)

Dr. Kevin Webster: "Getting More for Less - Better A/B Testing via Causal Regularization" (Cornell Financial Engineering Manhattan CFEM) Abstract: Causal regularization solves several practical problems in live trading applications: estimating price impact when alpha is unknown and estimating alpha when price impact is unknown. In addi... (2022-11-10; Views: 2)

LinkedIn Top

Posted by Marcos Lopez de Prado (Comments: 12) I look forward to meeting colleagues from around the world at QuantMinds International. On Tuesday, November 8 I will give the plenary address, "The Future of Quantitative Investing."https://lnkd.in/d... (2022-11-07; Score: 9; Likes: 283)

Liked by Jacques Joubert (Comments: 67) I am delighted to announce the publication of our book on quantum machine learning and optimisation in finance Jack Jacquier Prof. Alexander Lipton Marcos Lopez de Prado Michael Cuthbert Ray O. Johnso... (2022-11-03; Score: 9; Likes: 364)

Liked by Gautier Marti (Comments: 0) Last week at QuantMinds International, a gathering of some of the world’s leading quantitative finance experts and emerging talent, four of ADIA’s Quantitative Research & Development team presented to... (2022-11-16; Score: 7; Likes: 72)

Posted by Antoine Savine (Comments: 7) Thanks, everyone for all the awesome birthday wishes. Here is a pic of the best gift ever from my daughter in Canada. Could not be more proud.... (2022-11-17; Score: 6; Likes: 92)

Posted by Thierry Roncalli (Comments: 35) Lecture Notes in Sustainable FinanceNext week, I begin to teach my first course in Sustainable Finance for this new academic year. It's time for me to transform the presentation slides into lecture no... (2022-11-15; Score: 6; Likes: 709)

Liked by Prof. Alexander Lipton (Comments: 86) Correlation has been permanently suspended from Twitter for impersonating Causation #causalai #causalinference #causality... (2022-11-12; Score: 6; Likes: 3045)

Liked by Saeed Amen (Comments: 18) My review of the book ``Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions" by Prof. Warren Powell is published by Quantitative Finance. #machinelearning ... (2022-11-29; Score: 5; Likes: 152)

Posted by Graham Giller (Comments: 15) Buy Peter Cotton’s excellent book Microprediction and learn how he’s trying to put artisan data scientists like me out of a job! https://amzn.to/3UayejK... (2022-10-31; Score: 5; Likes: 156)

Liked by Alec Schmidt (Comments: 7) In a recent article (Costly Trading, https://lnkd.in/e-sDZWK9) Michael Isichenko discusses optimal #execution of a #portfolio with non-stochastic #alpha, quadratic #risk aversion and linear #costs.He ... (2022-10-31; Score: 5; Likes: 133)

Liked by Matthew Dixon (Comments: 2) I'm pleased to learn that BIS's project Mariana: CBDCs in Automated Market Makers, https://lnkd.in/dGXAQP3E, decided to implement the original ideas of Artur Sepp and me about Automated Market Making ... (2022-11-29; Score: 4; Likes: 105)

Posted by Thierry Roncalli (Comments: 9) Net Zero Investment Portfolios - Part 1. The Integrated ApproachNew publication of Amundi Institute about net zero portfolios. With Inès Barahhou, Mohamed BEN SLIMANE, FRM and Noureddine Oulid Azouz, ... (2022-11-25; Score: 4; Likes: 256)

Liked by Thierry Roncalli (Comments: 24) In this post I introduce "Schur Complementary Portfolios" to unify Modern Portfolio Theory and Machine Learning methodology. I summarize Hierarchical Risk Parity (HRP) developed by Marcos Lopez de P... (2022-11-22; Score: 4; Likes: 371)

Liked by Dr Miquel Noguer i Alonso (Comments: 5) Why are there so few woman in quantitative finance, let alone in science in general? CFM contributes as it can to restore some balance. We fund and co-supervise three women PhD in quant finance, as we... (2022-11-19; Score: 4; Likes: 141)

Liked by Gautier Marti (Comments: 10) Celebrating 10 years in the UAE today. 🇦🇪I still remember the day I arrived like it was yesterday. 😊What an amazing journey it has been so far! 🤩... (2022-11-17; Score: 4; Likes: 167)

Posted by Wesley Gray, Ph.D. (Comments: 2) Is there a theoretical foundation behind industry and factor momentum?Read blog by Tommi Johnsen in comments field.... (2022-11-15; Score: 4; Likes: 19)

Liked by Jonathan Regenstein (Comments: 2) It was such a great pleasure to join Niels Kaastrup-Larsen and Robert Carver as their guest in the Top Traders Unplugged podcast series. Thanks for the invitation, guys!For more than an hour we went o... (2022-11-12; Score: 4; Likes: 125)

Posted by Saeed Amen (Comments: 0) Thanks everyone who came to my talk at QuantMinds International on how we forecast inflation at Turnleaf Analytics using machine learning & alt data and how we speed up our Python tech stack! (Thanks ... (2022-11-10; Score: 4; Likes: 88)

Liked by Igor Halperin (Comments: 1) New post on the Portfolio Optimizer blog about using a Brownian motion model to monitor a trading strategy -> https://lnkd.in/ekP4TvGkThis post is based on the article "You are in a drawdown. When sho... (2022-11-10; Score: 4; Likes: 103)

Liked by Saeed Amen (Comments: 5) A massive Blockchain engineering advancement that will power the next generation of the Web and it's by Jump Trading!Ken Bowles at Jump Trading speaks at Solana Breakpoint, Lisbon, on Firedancer (http... (2022-11-07; Score: 4; Likes: 96)

Liked by Gautier Marti (Comments: 14) Delighted to announce my presentation "Blockchain and Distributed Ledgers in Retrospective and Perspective" on the Innovation Stage of QuantMinds in Barcelona on Wednesday, 9 November 2022, 10:20 - 11... (2022-11-07; Score: 4; Likes: 178)

Posted by Harvey Stein (Comments: 0) Don't miss Nick Westray's presentation on extracting alpha from the order book!Tuesday, November 15th, 6p:00 pm. Reception at 7:30 pm.... (2022-11-07; Score: 4; Likes: 21)

Liked by Dr Miquel Noguer i Alonso (Comments: 9) Just out: Zipline 2.3, updated for use with Python 3.10, and the latest NumPy/pandas versions. Now also with wheels for Windows to facilitate installation: https://lnkd.in/eUBzb9Q. Also updated: compr... (2022-11-29; Score: 3; Likes: 88)

Posted by Thierry Roncalli (Comments: 6) ESG scoringA new version of the Handbook of Sustainable Finance is available. Chapter 2 is organized in 3 parts: ESG data (sovereign vs. corporates, data sources, taxonomy, controversies, alternative ... (2022-11-29; Score: 3; Likes: 128)

Liked by jean-philippe bouchaud (Comments: 2) If you train a DNN with lots of noisy labels, you can see the effect of this in the layer weight matrices. Just another amazing feature of Random Matrix Theory.To learn more, check out: http://weightw... (2022-11-27; Score: 3; Likes: 74)

Liked by Álvaro Cartea (Comments: 5) When using exploration, a.k.a. randomized controls, in reinforcement learning, how can you judiciously decide on what distribution to draw from? One common answer is to use the Gibbs measure induced b... (2022-11-25; Score: 3; Likes: 181)

Posted by Wesley Gray, Ph.D. (Comments: 3) Several studies show momentum works in global equities, corporate bonds, currencies, and commodities.Does momentum work within option markets?Read blog by Elisabetta B. in comments field.... (2022-11-22; Score: 3; Likes: 21)

Liked by Igor Halperin (Comments: 1) We’re excited to present Petter Kolm, a distinguished expert in the financial industry, as one of the speakers at our upcoming event on AI Innovation in Asset Management. Prof. Dr. Petter Kolm is the ... (2022-11-22; Score: 3; Likes: 14)

Posted by jean-philippe bouchaud (Comments: 4) Organized economic and social structures emerge from the interactions between different sub-parts. Indeed, these interactions allow for coordination and cooperation to take place, without which such e... (2022-11-22; Score: 3; Likes: 76)

Twitter Top Links

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12. Cheat sheets are a great way to quickly learn or refresh your memory on various aspects of the #python programming language, here is a great article listing various sources for these #cheatsheet https://t.co/axomZyNSk8 - Direct link (tweet) - ManQuantTech (2.0; 2022-11-24)

13. Redis Explained - An in-depth tutorial https://t.co/BhkikW189z https://t.co/MCXcMy35Tq - Direct link (tweet) - fullstackpython (24.0; 2022-11-08)

14. The Unscented Kalman Filter allows to deal with nonlinear systems in a different way than the Extended Kalman Filter. Find how it works in this post by Alejandro Pérez Sanjuán #DataScience #assetmanagement #Finance https://t.co/Op7pyZPaP6 - Direct link (tweet) - quantdare (1.0; 2022-11-16)

15. The Heterogeneous Response of Real Estate Asset Prices to a Global Shock https://t.co/iKNI8EZs2j #QuantLinkADay https://t.co/QKhbtJaAfO - Direct link (tweet) - saeedamenfx (2.0; 2022-11-15)

16. Nice intro to modern Pandas style https://t.co/vsWflFiS8U - Direct link (tweet) - ManQuantTech (1.0; 2022-11-28)

17. I look forward to meeting colleagues from across the world at QuantMinds International. On Tuesday, November 8 I will give the plenary address, "The Future of Quantitative Investing." https://t.co/Hjyd3Qm4l8 - Direct link (tweet) - lopezdeprado (2.0; 2022-11-06)

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19. How to Benchmark (Python) Code https://t.co/J7BIxV6wC2 - Direct link (tweet) - fullstackpython (6.0; 2022-11-22)

20. DictDataBase A Python NoSQL database that uses dicts, and provided thread and process safety. https://t.co/4U6EZprtp3 - Direct link (tweet) - PythonHub (1.0; 2022-11-04)

21. (Almost) 200 Years of News-Based Economic Sentiment "The world of news has become increasingly negative". https://t.co/WYcfKa1LBM https://t.co/8qlBh7jksH - Direct link (tweet) - msamonov (0.0; 2022-11-02)

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23. some brief notes from complex networks 2022: https://t.co/r84lS9ug1Y - Direct link (tweet) - GautierMarti1 (0.0; 2022-11-16)

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