Quant Letter: April 2025, Week-3

Weekly (87th Edition)

ArXiv

Finance

Stylized Facts in Financial Markets: The article examines eleven financial market patterns across different regions and cryptocurrencies over 150 years, offering insights into their reliability and applicability. (2025-04-11, shares: 38)

Optimal Investment in Equity & Credit Default Swaps: The study investigates the use of credit default swaps (CDS) to reduce default risk in the equity market, indicating that optimal CDS policies cover both immediate equity losses and future trading losses. (2025-04-10, shares: 22)

Graph Neural Network Trading: The paper presents a new algorithm, Trading Graph Neural Network (TGNN), that predicts the impact of various factors on asset prices in trading networks, surpassing existing methods in prediction accuracy. (2025-04-10, shares: 17)

Large Language Models in Stock Market Simulation: The article presents an open-source framework for a simulated stock market, where large language models act as trading agents, allowing for analysis of market dynamics under different conditions. (2025-04-15, shares: 16)

Convergence of Hurst Parameter Estimation: The research extends the convergence result of a scale-invariant estimator, proving its consistent estimation of the Hurst parameter in rough stochastic volatility models. (2025-04-12, shares: 14)

GARCH-GRU Model for Financial Volatility Forecasting: The paper proposes a new GARCH-GRU model for financial volatility forecasting, showing better computational efficiency and forecasting accuracy than other models. (2025-04-13, shares: 13)

Pontryagin-Guided Portfolio Optimization: The article introduces the Pontryagin-Guided Direct Policy Optimization framework for solving large-scale portfolio optimization problems, capable of handling up to 50 assets and 10 state variables. (2025-04-15, shares: 11)

Portfolio Optimization: The article discusses a new method for portfolio optimization using principles like the Commonality Principle and introduces a new risk management framework. (2025-04-08, shares: 23)

Economics

Human vs ChatGPT: A study reveals that the latest versions of AI outperform humans in decision-making, showing nearly perfect Bayesian classifications, unlike humans and early AI versions that exhibit judgement biases. (2025-04-14, shares: 26)

Market Portfolio Decomposition: A new market-based portfolio variance has been derived, accounting for random trade volumes, which could help portfolio managers and macroeconomic model developers adapt to market realities. (2025-04-10, shares: 22)

Gender-Related Innovation Trends: A proposed trend-based modelling framework can analyze gender-related aspects of innovation processes in SMEs, identifying 13 scenarios and possible transitions, offering a practical solution for complex, data-scarce systems. (2025-04-11, shares: 15)

Culture's Impact on Migration: A study using UN migration data shows that cultural proximity significantly influences migration patterns, with wealthier countries' migrants choosing culturally similar destinations, and half of OECD countries showing a bias towards accepting culturally close migrants. (2025-04-11, shares: 14)

EV Purchase Factors: A study finds that consumers knowledgeable about electric vehicles and their environmental benefits, and who trust in the growth of charging stations, are more likely to consider buying one. (2025-04-14, shares: 13)

Global Food Network Robustness: Research on the global food supply network shows its increased robustness over time, but warns that severe shocks to key suppliers like the US and India could cause a systemic collapse. (2025-04-11, shares: 12)

Miscellaneous

DeepGreen Monitoring System: DeepGreen is a system that uses large language models to identify green-washing in corporations by analyzing their financial statements, showing that green practices can boost a company's asset return rate. (2025-04-10, shares: 16)

EthosGPT Human Values Mapping: EthosGPT is an open-source framework that uses large language models to assess and map human values globally, aiding in the creation of inclusive AI systems and promoting value diversity in accordance with the United Nations Sustainable Development Goals. (2025-04-14, shares: 16)\

SSRN

Recently Published

Quantitative

Global FOMO in Financial Markets: The Global Fear of Missing Out (FOMO) Index, using Google Trends data, forecasts lower stock returns, decreased volatility, and weaker Sharpe ratios, especially in democratic countries, showing the role of psychology and politics in finance. (2025-04-12, shares: 2.0)

Financial Data Repository and Python Code for ML: The authors offer raw financial report data and Python code to help download and parse these documents, addressing the difficulty of extracting specific sections from long documents. (2025-04-10, shares: 3.0)

Portfolio Choice Mental Framing Effects: The study reveals systematic decision errors in dynamic portfolio choice, highlighting the importance of problem framing and supporting a libertarian paternalistic approach to choice architecture design. (2025-04-14, shares: 4.0)

AI Algebra for Quantitative Finance: The research presents a tensor-based framework that expands AI's algebraic foundations to quantitative finance, proving its effectiveness in simulating a portfolio of systematic investment strategies. (2025-04-10, shares: 2.0)

Media Bias in Stocks: The study reveals that national stock market indices perform poorly when influenced by daily media coverage, particularly negative news and significant index changes. (2025-04-11, shares: 2.0)

Ultra Short-Dated Spreads: The research shows that ultra short-dated option spreads, specifically zero-day-to-expiration SP 500 Index iron condors, provide a reliable advantage that can be scaled for fund deployment, especially when entered just before market close. (2025-04-13, shares: 2.0)

Jet Genie Research Paper: JetGenie, an AI-based conversational system, is designed to simplify airline ticket booking through intelligent automation and real-time support, providing a personalized solution for modern travelers. (2025-04-14, shares: 3.0)

Recently Updated

Quantitative

VIX Index Relationship with Bond Spreads: Structural Breaks & Threshold Effects: The article explores the growing use of cloud data integration and machine learning in managing specific data in biopharmaceutical supply chain operations. (2022-12-22, shares: 2.0)

Bias in Securities Litigation Event Studies with Volatility & Beta Shifts: The study analyzes the link between implied equity volatility and corporate bond spreads during financial crises using statistical methods. (2024-03-01, shares: 3.0)

Machine Learning in Empirical Asset Pricing: The paper suggests a regime switching model to estimate beta and volatility, addressing traditional event study methodology's limitations during volatility shifts. (2025-03-14, shares: 2.0)

Financial

Options Trading Impact: The research indicates that active options trading can decrease price volatility and enhance hedging effectiveness in futures markets, as shown by the 1936 US commodity options trading ban. (2025-04-01, shares: 5.0)

Videogame Investments: The study reveals that financial returns on videogame attributes, such as CSGO skins, surpass most traditional and alternative assets, offering diversification benefits. (2025-04-08, shares: 7.0)

Real Estate Portfolios: The paper shows that listed real estate can match the performance of direct real estate and enhance the returns of a multiasset portfolio. (2015-02-01, shares: 5.0)

Grain Market Speculation: The research finds that speculators did not trigger volatility in futures markets during the interwar period, but rather entered volatile markets without increasing volatility. (2022-12-01, shares: 3.0)

Turbulent Expectations: The book introduces a unified paradigm that views the capital market as a rational learning machine, with a focus on the equity risk premium puzzle. (2025-04-02, shares: 4.0)

Intraday Volatility Forecasting: The paper presents a new model for predicting high-frequency intraday conditional discrete return densities and volatility using deep learning, which surpasses empirical nonparametric forecasting rules and Space State Models. (2024-03-01, shares: 3.0)

Impact of Short Selling Constraints on Investment: Firm value can be increased by short selling constraints, but large costs or bans can negatively impact it and affect corporate investment decisions. (2024-04-20, shares: 3.0)

Earnings Announcement Disclosures and LLM: Firms' earnings announcements' textual disclosures contain crucial information, explaining more stock return variation than traditional financial measures. (2025-02-25, shares: 3.0)

Stock Investment: p-index Approach: A study using European put options to measure asset risk found that materials sector stocks in China's SSE 50 index had the highest annual return rates. (2024-11-20, shares: 3.0)

Rationally Turbulent Expectations: The book introduces a new paradigm that views the capital market as a rational learning machine, with expectations being more volatile due to risk instability. (2025-04-02, shares: 4.0)

RePec

Finance

Enhanced Emerging Market Portfolio Performance: A second-generation Automated Adaptive Trading System may stabilize emerging markets during downturns, countering challenges posed by algorithmic trading and passive investing. (2025-04-16, shares: 27.0)

Sharpe Ratio in Global Indices: The research finds that Sharpe Ratio Minimae and Maximae trading strategies are more profitable than the buy-and-hold strategy in global markets, supporting the Adaptive Market Hypothesis. (2025-04-16, shares: 15.0)

Novel Window Analysis for HFT: The study introduces a new window analysis method for assessing decision-making units' efficiency over time, using the Whale Optimization Algorithm to identify stable trading strategies and companies. (2025-04-16, shares: 11.0)

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. (2025-04-16, shares: 10.0)

Statistical

BRM for Predictions with Missing Patterns: The blockwise reduced modeling (BRM) method improves data analysis with missing patterns by using pretrained ensemble models, resulting in superior predictive performance. (2025-04-16, shares: 20.0)

News Sentiment and Investment Risk Management with Language Models: A study reevaluates the role of news sentiment in stock return volatility, finding that accurately measured news sentiment significantly impacts intraday stock return volatility. (2025-04-16, shares: 16.0)

Stochastic Machine Learning for Non-Overfitted Convex Production Technologies: An adaptation of Stochastic Gradient Boosting is proposed for Data Envelopment Analysis (DEA), reducing overfitting and performing well in high-dimensional settings. (2025-04-16, shares: 16.0)

GitHub

Finance

Algorithmic Trading Books: The article recommends two books and provides related source codes to help readers understand algorithmic trading. (2018-02-22, shares: 496.0)

Arbitrage-Free IV Surface Generation: The article shares a code repository for creating an ArbitrageFree Implied Volatility Surface using Variational Autoencoders. (2022-01-20, shares: 30.0)

Synthetic Data Generation: The article explores the process of generating synthetic data for tabular data. (2018-05-11, shares: 2588.0)

Apache ECharts Data Visualization: The article presents Apache ECharts, a powerful tool for creating interactive charts and visualizing data in browsers. (2013-04-03, shares: 63061.0)

Monte Carlo Algorithms: The article showcases a set of Monte Carlo and Markov Chain Monte Carlo algorithms through straightforward examples. (2017-09-04, shares: 376.0)

Trending

Visual NoCode Editor: The article explores a visual nocode editor specifically created for shadcnui components. (2025-03-13, shares: 1038.0)

Investing Research Roundup: The latest investing research roundup discusses topics including the predictability of bond and stock returns, timing momentum, disagreement in option markets, and notable finance blogs. (2025-04-15, shares: 0)

Run GitHub Actions Locally: This piece provides a guide on how to operate GitHub Actions in a local setting. (2019-01-02, shares: 59615.0)

JavaScript Animation Engine: The article introduces a new JavaScript engine designed for animations. (2016-03-13, shares: 57164.0)

OpenSource Python Toolkit: The piece presents a Python toolkit that is open-source and designed for creating, evaluating, and deploying advanced AI agents. (2025-04-01, shares: 2260.0)

Open Protocol: The article discusses an open protocol that enables communication and interoperability among opaque agentic applications. (2025-03-25, shares: 5219.0)

Reddit

Quantitative

Nonparametric Volatility (2025-04-13, shares: 58.0)

Domain Knowledge vs Math (2025-04-11, shares: 94.0)

Options Flow Database (2025-04-10, shares: 79.0)

Creativity in Alpha (2025-04-09, shares: 549.0)

Graduate Quant Trader Learning (2025-04-11, shares: 198.0)

Rising

Jane Street Interview Day (2025-04-09, shares: 139.0)

Paper with Code

Trending

Foundation Agents (2025-04-11, shares: 650.0)

More Generalization (2025-04-11, shares: 436.0)

Language Model Quantization (2025-04-13, shares: 328.0)

Rising

LocAgent GraphGuided LLM Agents (2025-04-13, shares: 233.0)

NdLinear Representation Learning (2025-04-13, shares: 100.0)

MultiSWEbench Issue Resolving Benchmark (2025-04-11, shares: 70.0)