Quant Letter: August 2023, Week 3

Weekly quantitative finance newsletter

ArXiv

Finance

Essential Factors from Order Flow Data: A new model has been suggested to better predict stock trends and improve order execution by analyzing high-frequency order flow data in stock investment. (2023-08-16, shares: 7)

Portfolio Selection with Topological Analysis: A two-stage method using Topological Data Analysis for building a stock investment portfolio consistently outperforms traditional methods across various time periods. (2023-08-15, shares: 6)

Company Similarity using Language Models: Large language models can learn company profiles from SEC filings, accurately replicating GICS classifications and reflecting financial performance metrics. (2023-08-15, shares: 5)