Quant Letter: August 2025, Week-2
103rd Edition
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ArXiv
Finance
Time Series Model for Financial Simulator: A new financial model has been developed for an online app that simulates wealth processes, using annual returns of three asset classes and an improved valuation measure. (2025-08-08, shares: 18)
Optimal Liquidity Provision in AMMs: The research investigates the earnings of passive liquidity providers in automated markets, suggesting that optimal fees should balance volume attraction and revenue generation, and dynamic fees can enhance results. (2025-08-11, shares: 7)
Free Lunches in Real Market: The article disputes the belief that risk-free profit opportunities don't exist in real markets, showing that they can exist and be theoretically accounted for using the benchmark approach. (2025-08-09, shares: 5)
Event-Aware Sentiment Factors in Financial Tweets: The study shows how large language models can be used in financial semantic annotation and alpha signal discovery, indicating that social media sentiment can be a useful predictor in financial forecasting. (2025-08-10, shares: 2)
Economics
Fed Communication in COVID-19 Crisis: A study reveals that the Federal Reserve's response to the COVID-19 pandemic was more reactive, focusing on financial stability and market volatility. (2025-08-06, shares: 12)
Risk Factors in Global Supply Chain Investing: A study on global supply chain infrastructure investment risk factors shows that portfolios with higher ESG scores have stronger connections with other portfolios, with COVID-19 altering these connections. (2025-08-06, shares: 10)
Balanced Stock Networks: The research introduces a refined structure for stock networks that only includes significant correlations, offering a more precise depiction of stock relationships and highlighting key market subsystems that react to economic changes. (2025-08-07, shares: 6)
Miscellaneous
AI Integration in Startup Evaluation: The article proposes a comprehensive Systematic AI-driven Startup Evaluation (SAISE) Framework to improve the fragmented approach to integrating AI into startup evaluation. (2025-08-07, shares: 8)
Deformed Semi-Circle Law in Correlated Time Series: The study investigates the eigenvalue of the Wigner random matrix derived from a time series with temporal correlation, discussing the deformation of the semi-circle law and its moments of distribution and convergence. (2025-08-10, shares: 1)
Crypto & Blockchain
Blockchain Analysis: A study of 44 million Ethereum transactions reveals distinct patterns, showing differences between human and automated transaction behaviors in blockchain ecosystems. (2025-08-06, shares: 11)
Ethereum Transaction Re-Ordering: The Ethereum study also shows that smart contract transactions exhibit sublinear scaling and bursty, algorithm-driven activity, unlike the consistent behavior of externally owned account transactions. (2025-08-06, shares: 11)
Fiscal Spillovers: Two MEV builders produce nearly 80% of Ethereum blocks, paying almost $14 million monthly to remain in the top quartile, with sandwich attacks accounting for nearly 15% of MEV payments to the validator. (2025-08-06, shares: 8)
US Stimulus Checks and Crypto Flows: A paper using detailed cryptocurrency data finds a temporary rise in cryptocurrency outflows from the US after stimulus checks, with a maximum fiscal spillover of 2.52%. (2025-08-08, shares: 2)
Historical Trending
Unravelling Prediction Markets: Polymarket, a prediction market platform, has been exploited for arbitrage due to mispriced dependent assets, leading to an estimated $40 million in guaranteed profits. (2025-08-05, shares: 60)
Modeling Rebalancing in AMMs: A paper presents a model of a constant-function automated market maker (CFAMM) as a portfolio of exotic options, offering a practical framework for liquidity providers to estimate future costs and optimize position parameters. (2025-08-05, shares: 19)
International Welfare Comparisons: A study offers a model of a constant-function automated market maker (CFAMM) as a portfolio of exotic options, providing a practical framework for liquidity providers to estimate future costs and optimize position parameters. (2025-08-05, shares: 19)
Multilateral Indices: A paper discusses the bias in multilateral index numbers used in cross-country economic comparisons, suggesting improved bounds for cost-of-living index and supporting the interpretability of many contemporary methods. (2025-04-23, shares: 17)
ArXiv ML
Deep Linear Network Training: A theoretical analysis of gradient descent dynamics in deep linear networks reveals the wider is better effect and hyperparameter transfer effects, offering insights into training dynamics for power law structured data. (2025-02-04, shares: 26)
Rankify: Python Retrieval Toolkit: Rankify is a new open-source toolkit that integrates retrieval, re-ranking, and retrieval-augmented generation, providing a consistent platform for researchers to improve retrieval and re-ranking methods. (2025-02-04, shares: 24)
BFSProver: Scalable Tree Search: The article introduces BFS-Prover, a scalable framework for automatic theorem proving using Lean4, which enhances performance through strategic data filtering, sample efficiency, and length normalization. (2025-02-05, shares: 23)
Large Learning Rates: The study explores memorization in denoising score matching, revealing a regularization mechanism driven by large learning rates that prevents excessive closeness to the empirical optimal score, thus reducing memorization. (2025-02-05, shares: 14)
GitHub
Finance
JAX World Codebase: The article explores a JAX-based codebase that offers high performance and scalability for world modeling. (2025-05-14, shares: 56.0)
Open Source Fund: The article focuses on the Quantitative Open Source Foundation and its role. (2025-08-05, shares: 175.0)
ColBERT Search: The article talks about ColBERT, a cutting-edge neural search technology presented at several international conferences. (2020-05-25, shares: 3534.0)
TDengine Database: The article presents a high-performance, scalable timeseries database specifically designed for Industrial IoT scenarios. (2019-07-11, shares: 24215.0)
EvgeniaVolkovaJaneStreet: A proposed solution has been presented for the Jane Street 2024 Kaggle contest. (2025-01-13, shares: 156.0)
Reddit
Career Reflections (2025-08-07, shares: 82.0)
Math Practice (2025-08-06, shares: 79.0)
Jane Street Research (2025-08-10, shares: 114.0)
Quant Trader (2025-08-07, shares: 345.0)
Fudge (2025-08-06, shares: 162.0)