Quant Letter: December 2025, Week-2

114th Edition

ArXiv

Finance

RL for Financial Decisions: Reinforcement learning improves financial decision-making by simplifying complex investment problems, emphasizing clear explanations and strong reliability over complex algorithms. (2025-12-11, shares: 2)

Unified Risk-Neutral Pricing: The paper presents a new approach to pricing zero-coupon bonds that aligns them with equity options for more accurate interest rate modeling. (2025-12-11, shares: 1)

MeanVariance Portfolio Optimization with Jumps: This study uses Reinforcement Learning to solve the Mean-Variance Portfolio Optimization problem, creating a profitable investment strategy that adapts to changing preferences over time. (2025-12-10, shares: 1)

Local vs Global Balance in Finance: The study uses local balance shifts in signed networks to find better-performing assets in financial crises. (2025-12-11, shares: 1)

DeepSVM: Physics-Informed Volatility: DeepSVM is a machine learning model that accurately calibrates stochastic volatility without labels, but needs better regularization for derivatives. (2025-12-08, shares: 1)

Economics

Automated Corruption Index: An automated corruption index using Brazilian municipal audit reports is efficient and more reliable than manual methods in detecting corruption. (2025-12-10, shares: 0)

Workflow is Key: The DeepNews Framework is designed to improve long-form financial writing by enhancing coherence and minimizing inaccuracies using advanced retrieval and planning techniques. (2025-12-10, shares: 0)

LLMs Excel in CFA: An evaluation of reasoning models on CFA mock exams shows that models like Gemini 3.0 Pro and GPT-5 perform well, achieving high pass rates in professional testing. (2025-12-09, shares: 0)

AI Agent Usage Patterns: A study of AI agent use with the Comet browser reveals that personal productivity and learning are the main reasons users interact with these tools. (2025-12-08, shares: 0)

Investment and Insurance Strategies: An economic agent makes choices to maximize utility by adjusting consumption, investing in safe and risky assets, and insuring against losses on a depreciating good, using a strategy from the Hamilton-Jacobi-Bellman equation. (2019-03-02, shares: 1)

RePec

Finance

Automated Trading for Emerging Market Performance: Increasing algorithmic trading and passive investing are raising risks in emerging markets during downturns, leading to the creation of a new trading system aimed at loss prevention. (2025-12-14, shares: 9)

Risk Parity Optimization with Heavy-Tailed Returns: A new portfolio optimization method, based on risk parity and non-Gaussian return distributions, is proposed to improve stability and minimize turnover in volatile markets. (2025-12-14, shares: 9)

Adaptive Market Hypothesis via Sharpe Ratio Strategies: Research indicates that Sharpe Ratio Minimae and Maximae strategies outperform traditional buy-and-hold approaches across global markets, supporting the Adaptive Market Hypothesis through observed profitability cycles. (2025-12-14, shares: 8)

Evaluating Trading Strategies: A new method in Window Data Envelopment Analysis connects decision-making units to enhance efficiency assessments, applied to foreign exchange and utility investments. (2025-12-14, shares: 5)

Statistical

Machine Learning

Machine Learning for Tail Risk: Two advanced probabilistic deep learning frameworks are developed to improve Value at Risk and Expected Shortfall estimates, aiding financial institutions in better capital allocation. (2025-12-14, shares: 6)

Quantile Connectedness in Housing Markets: The international housing market study finds that house price shocks mainly originate from the US market, indicating US interest rates impact global stability. (2025-12-14, shares: 5)

Predicting VIX Trends with ML: Machine learning can better predict the VIX by using jobless claims, improving trading strategies related to market volatility. (2024-08-23, shares: 12)

Dark Patterns in Retail Investment: The article explores dark patterns that exploit retail investors online and suggests using behavioral science and AI to create effective regulations. (2024-11-25, shares: 1)

GitHub

Finance

Automated Trading with Real-Time Data: A library that automates trading ideas with DTN IQFeed and Interactive Brokers, also supporting Alpaca, Phemex, and Telegram alerts. (2016-07-24, shares: 617)

Language Model Evaluation Framework: A framework created to assess and evaluate large language models effectively. (2023-11-14, shares: 1574)

Python Derivatives Pricing Implementation: A Python tool that implements a willow tree lattice method for pricing financial derivatives. (2017-10-06, shares: 314)

LangGraphGemini AI Equity Evaluator: An AI-based tool named LangGraphGemini used for evaluating U.S. stock equities. (2025-11-30, shares: 27)

High-Performance Financial Charting Library: An open-source Python library for financial data visualization with technical indicators, utilizing FastAPI and uPlot. (2025-12-02, shares: 71)

Trending

Claude Toolkit: AI Workflow: Claude Code offers optimized commands and workflows to boost teamwork and adaptability in coding projects. (2025-11-23, shares: 11)

BERTTopic: Topic Modeling: BERT and cTFIDF techniques are used to create clearer topics for better understanding and interpretation of information. (2020-09-22, shares: 7237)

Hacker News Capsule: LLM Analysis: A study examines Hacker News discussions from a decade ago, utilizing large language models to analyze trends and insights. (2025-12-10, shares: 232)

NubsKrawlrus: Kafka in Rust: A Rust-based solution provides a high-performance alternative to Kafka, aimed at improving data processing efficiency. (2025-09-17, shares: 1114)

Twitter

FX Anomalies and Currency Risk Premia Resource: CurrencyFactors.com is a new website that provides detailed historical data on 11 currency factors, catering to those interested in foreign exchange anomalies and currency risk. (2025-12-12, shares: 2)

Quant Crises: The article explains the market crises of 2025, caused by quantitative trading strategies. It outlines how these strategies led to instability and the effects on the financial markets. (2025-12-12, shares: 1)

Orderbook Imbalance: Please share the articles or their key points, and I will summarize them for you. (2025-12-07, shares: 45)

Python Quant Interviews: Please provide the articles or their main points so I can create the summaries for you. (2025-12-08, shares: 3)

Paper with Code

DeepCode: Doc-to-Code Synthesis: DeepCode is an autonomous framework that improves the process of turning documents into code, surpassing human experts with its advanced optimization techniques. (2025-12-10, shares: 11739)

GRAPE: Positional Encoding Framework: GRAPE is a new framework for positional encoding that combines rotations and logit biases to enhance the performance of existing methods like RoPE and ALiBi. (2025-12-10, shares: 39)