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ArXiv
Historical Trending
LSTM-ARIMA Hybrid in Algorithmic Investment: The study introduces LSTM-ARIMA, an algorithmic investment strategy that combines LSTM and ARIMA models, and proves its superior performance in risk-adjusted return measures across three equity indices. (2024-06-26, shares: 9)
AlphaForge: Formulaic Alpha Generation Framework: The paper introduces AlphaForge, a two-stage formulaic alpha generating framework that uses a generative-predictive neural network for factor generation and dynamic weight adjustment, showing improved performance in alpha factor mining. (2024-06-26, shares: 6)
Merton's Default Risk Model for Public Company: The paper expands Merton's structural model for public companies, assuming observed liabilities, and provides formulas for risk-neutral equity and liability values, default probabilities, and machine learning estimators of the model's parameters. (2024-06-26, shares: 5)
Finance
Dependence and Risk Aggregation: The research investigates the concept of dependence uncertainty and its effect on tail risk measures in relation to credit risk, showing that even minor positive dependence between losses can lead to perfectly correlated tails beyond a certain point. (2024-06-27, shares: 6)
Financial Metrics Analysis: The evaluation of the M6 Competition's performance assessment methods shows that most participants generated lower risk-adjusted returns and failed to outperform in raw returns, emphasizing the differing incentives between competitors and professional investors. (2024-06-27, shares: 2)
Economics
Credit Ratings & Capital Structure: The research uses double machine learning to show that credit ratings significantly influence a company's leverage ratio, with the impact varying based on the rating, and the shift from no impact to a positive impact is gradual. (2024-06-27, shares: 8)
Non-Linear Int'l Spillovers: The research explores the effects of the European Central Bank's Anti-Fragmentation Policy on non-ERM II, EU countries, finding significant evidence of non-linearities in the international spillovers of ECB policy. (2024-06-28, shares: 2)
Crypto & Blockchain
Global Compute Exchange: Revolutionizing Resource Allocation: The article discusses the Global Compute Exchange (GCX), a new platform that uses blockchain technology to create a secure marketplace for trading computational power. The platform aims to optimize resource use, stabilize pricing, and make access to computational resources more democratic. (2024-06-27, shares: 5)
SSRN
Recently Published
Quantitative
New Approximate Mixing Concept for Time Series: A new concept called approximate mixing for random variables on metric spaces provides a balance between traditional mixing assumptions and proves a central limit theorem for nonstationary time series on Hilbert spaces. (2024-07-01, shares: 9.0)
Impact of Margin Trading Ban on Crypto Exchanges: A study shows that a ban on margin trading in cryptocurrencies leads to less market volume and volatility, but more informed trading on Binance. (2024-07-01, shares: 3.0)
Economic Policy Uncertainty and Hedge Fund Returns: Hedge funds perform worse when there is economic policy uncertainty, especially those with high EPU beta funds due to their inability to predict EPU fluctuations. (2024-07-02, shares: 5.0)
Accuracy of Implied Volatility in Forecasting VaR: A comparison study reveals that option-implied volatility underestimates risk during market turbulence when estimating risk factor’s volatility in Value-at-Risk (VaR) computation. (2024-06-29, shares: 2.0)
PLOD Predictive Learning for Data Discovery: The PLOD algorithm, based on the BOD method, can accurately predict the desired utility function from data without needing the exact utility function, enhancing efficiency in data science and analytics. (2024-07-01, shares: 2.0)
Gibson-Schwartz Commodity Models: The article extends the Gibson and Schwartz 1990 and Schwartz and Smith 2000 twofactor models for commodity spot price to include stochastic volatility and correlation, improving match with volatility smiles and studying timevarying correlation in commodity markets. (2024-07-01, shares: 2.0)
Multimodal Foundation Models in Auditing Practices: The article proposes an AI-based multimodal auditing system that integrates data from diverse documents and allows auditors to complete tasks using natural language, demonstrating its feasibility through a simulation case study. (2024-07-01, shares: 2.0)
Financial
Markowitz and CAPM Limitations: The article questions the validity of the MeanVariance (MV) model and the Capital Asset Pricing Model (CAPM) due to market portfolio inefficiency and the failure of asset expected returns in beta under realistic constraints. (2024-06-27, shares: 2.0)
Esscher Algorithm for Default Probabilities: The article presents a new Esscher-based algorithm for determining default probabilities in structural credit risk models, providing a more accurate tail behavior than the traditional Merton model. (2024-06-29, shares: 2.0)
Ethereum Spot ETF Basis Trade: The study examines the possible profits and risks of basis trading with Ethereum futures contracts after the launch of Ethereum spot ETFs, and suggests alternative trading strategies and further research on long-term profitability. (2024-06-28, shares: 2.0)
Recently Updated
Market Impact of 0DTE Options: The increased trading of SP 500 index options that expire on the same day reduces stock market volatility due to market makers' intraday rebalancing of the index. (2024-06-17, shares: 6.0)
Deep Learning for Text: The research provides an in-depth review of deep learning techniques for text summarization, including different structures, attention mechanisms, and recent evaluation metrics. (2023-07-15, shares: 2.0)
Corporate Bond Spillovers: The study finds that bond peer momentums, particularly those with shared analyst linkage, can predict future bond returns in the corporate bond market. This strategy can yield significant profits, especially for bonds with less investor attention and higher arbitrage costs. (2023-03-31, shares: 3.0)
ArXiv ML
Recently Published
Persona Data Creation: A new method for creating synthetic data uses 1 billion diverse personas, potentially transforming large language model research and development. (2024-06-28, shares: 258)
BMW Task Automation: A proposed agent engineering framework offers a scalable and flexible workflow for multiple autonomous agents to collaborate across various domains. (2024-06-28, shares: 13)
Dataset Recovery: A new task called dataset size recovery aims to determine the number of samples used to train a model, with a method called DSiRe proposed for this purpose. (2024-06-27, shares: 12)
Cross-lingual Sentiment Analysis: The study finds Small Multilingual Language Models (SMLM) excel in zero-shot cross-lingual sentiment analysis, while Large Language Models (LLM) perform better in few-shot scenarios. (2024-06-27, shares: 11)
Costaware Bayesian Optimization: The paper suggests using the Gittins index from the Pandora's Box problem in economics as a function for cost-aware Bayesian optimization. (2024-06-28, shares: 7)
Forensic Linguistics Explainability: The research investigates the explainability of machine learning in forensic authorship profiling, finding that lexical features and place names play a significant role in the classification process. (2024-04-29, shares: 20)
RePec
Finance
Machine Learning for Financial Forecasting: The research shows machine learning models effectively predict stock price movements during unstable periods like the Russia-Ukraine war, but not during stable periods. (2024-07-03, shares: 33.0)
Forecasting Accuracy in Markets: The study reveals that different models are more effective for different assets like gold, cocoa, and the S&P500 index, impacting risk management strategies. (2024-07-03, shares: 31.0)
Optimal Consumption-Investment with Alternative Data: The study presents a new duality theory for optimal consumption-investment problem, using alternative data like social media commentary and pandemic data for predicting stock trends, and offers a unique smooth solution for an agent with constant relative risk aversion. (2024-07-03, shares: 22.0)
Statistical
XGBoost for LGD Approximation: The study uses machine learning to enhance the accuracy of Loss Given Default (LGD) estimation in situations with limited cash-flow data, using a European mortgage portfolio. (2024-07-03, shares: 25.0)
Interpretable Machine Learning: Interpretable machine learning proves superior in modeling corporate bond recovery rates, offering valuable insights into recovery rate determinants. (2024-07-03, shares: 39.0)
Machine Learning for Liquidity Estimation in US Treasury Bonds: The research uses machine learning to determine the predictive power of liquidity variables in economic fluctuations, with private sector data proving more useful than public sector data. (2023-12-25, shares: 34.0)
Research-Practice Gap in Accounting Journals: The research uses machine learning to measure the gap between research and practice in accounting academia, identifying a significant topic-related gap that is more evident in the USA than in Europe. (2023-12-15, shares: 6.0)
GitHub
Finance
Time Series ML Toolkit: The article offers a detailed guide on using machine learning methods for analyzing time series data. (2022-12-20, shares: 883.0)
Algo Trading System: The piece explores a trading system that utilizes algorithms for its operations. (2022-09-17, shares: 655.0)
Vanilla Deep Hedging: The article explains the process of setting up a basic Deep Hedging engine. (2022-06-30, shares: 169.0)
Trading Calendars: The piece discusses how to use exchange calendars with pandas for trading applications. (2016-12-07, shares: 747.0)
RL Baselines3 Framework: The article introduces a training structure for Stable Baselines3 reinforcement learning agents, featuring hyperparameter optimization and pretrained agents. (2020-05-05, shares: 1884.0)
Trending
Gemma Cookbook: The article provides a collection of guides and examples for utilizing Google's Gemma open models. (2024-05-27, shares: 99.0)
Mirascope: The piece introduces a simple approach for building with LLMs. (2023-12-05, shares: 549.0)
PyOD: The article presents a robust and scalable Python library designed specifically for detecting anomalies and outliers. (2017-10-03, shares: 8230.0)
MakeMore: The piece introduces an autoregressive character-level language model designed to boost productivity. (2022-06-09, shares: 2259.0)
LinkedIn
Trending
JP Morgan Names Italian Tech Research Chief: Marco Pistoia, an Italian tech inventor with 622 patents, has been appointed by J.P. Morgan as the head of technological research in quantum computing. (2024-07-01, shares: 5.0)
SSMC AI Research Center Opening: The Sheikh Shakhbout Medical City (SSMC) has launched a new AI Research Center, planning future partnerships with ADIA Lab. (2024-06-29, shares: 4.0)
Universality and Myths in Mean-Variance Optimization: A recent article in the Journal of Portfolio Management debunks myths and explains mean-variance equivalence in portfolio management. (2024-07-02, shares: 8.0)
Replicating Machine Learning for Empirical Asset Pricing: A new blog post replicates significant portions of the Machine learning for empirical asset pricing study in R, addressing common student issues. (2024-06-28, shares: 3.0)
Conformal Prediction at Seconde École Thématique Thélem Assurances: A second thematic school on Conformal Prediction, a machine learning method for valid prediction intervals, was conducted in collaboration with Thélem Assurances and the University of Orleans. (2024-06-29, shares: 3.0)
Informative
ESG Ratings & Volatility: The article explores a study investigating whether a company's ethical internal practices can lead to reduced unpredictable risk. (2024-06-28, shares: 3.0)
Macro Factors & Equity Allocation: The article examines how macroeconomic trends can be used to forecast the performance of major equity sectors in developed countries over a quarter of a century. (2024-06-30, shares: 3.0)
Female Thought Leaders in Finance: The article shares the author's pride in being recognized as a female leader revolutionizing the finance, banking, and insurance sectors through AI and technology. (2024-06-27, shares: 5.0)
23 Best Paper Award Winners: The 2023 Best Paper Award on Causal Research in Investments by ADIA Lab has been won by three papers, each awarded $100,000. (2024-06-29, shares: 3.0)
AB Testing Paper Wins Award: Kevin Webster's paper on improving A/B testing through causal regularization has won the ADIA lab best paper award. (2024-06-28, shares: 9.0)
Machine Learning in Quantitative Finance: The Machine Learning in Quantitative Finance Conference will take place in Amsterdam from September 16-18, focusing on sharing research and views. (2024-06-28, shares: 2.0)
Podcasts
Quantitative
Backtesting AI Trading: Dave Mabe, CTO at Trade Ideas and a successful independent trader, is featured on the Confessions of a Market Maker podcast. (2024-06-27, shares: 6)
Stablecoin Growth Treasury Market: Teresa Ho and Pankaj Vohra, Short Duration strategists, discuss the growth of the stablecoin market and its potential impact on the Treasury market. (2024-06-27, shares: 5)
Michael Sonenscher: Michael Sonenscher's book Capitalism: The Story Behind the Word delves into the history and evolution of capitalism, with a focus on public debt, war finance, and labor division. (2024-06-30, shares: 4)
Largecap Investing: Kathleen McCarragher discusses her investment experiences, views on AI and growth opportunities, and advice on team building and leadership in a conversation with Goldman Sachs’ Betsy Gorton. (2024-06-28, shares: 4)
News
Quantitative
Arrowpoint Launches Hedge Fund: Jonathan Xiong, former co-CEO of Millennium’s Asia operations, has started a new hedge fund, Arrowpoint Investment Partners, with over $1bn in assets. (2024-07-02, shares: 5)
BlackRock to Acquire Preqin for £2: BlackRock plans to acquire UK-based private markets data provider Preqin for £2.55bn ($3.2bn), merging Preqin’s data and research tools with Aladdin’s workflow capabilities. (2024-07-01, shares: 3)
Miscellaneous
Baupost Cuts Team: Baupost Group, led by Seth Klarman, has reduced about 19% of its investing staff in a major restructuring, marking the largest staff cut in the hedge fund's 42-year history, according to Bloomberg. (2024-07-01, shares: 2)
Abu Dhabi Office Shortage: Abu Dhabi's Al Maryah Island is facing an office space shortage due to the successful attraction of top hedge funds. (2024-07-02, shares: 2)
IRS Apologizes to Ken Griffin: The IRS has apologized to Citadel founder Ken Griffin for the unauthorized release of his tax returns. (2024-06-28, shares: 1)
Citadel and Millennium Gain: Citadel and Millennium, two hedge fund giants, have reported strong gains in the first half of the year. (2024-07-02, shares: 1)
Citi Accused of Excel AI Attempt: Job opportunities are being created within Citi due to its disorganized data. (2024-06-27, shares: 1)
Paper with Code
Trending
DSP for Transformers: The first article highlights the significance of enhancing multidimensional transformers for handling long sequences in different fields. (2024-07-01, shares: 1240.0)
StepDPO: Longchain Reasoning for LLMs: Large Language Models (LLMs) have difficulty with mathematical reasoning due to the requirement for detailed and accurate reasoning chains. (2024-07-01, shares: 62.0)
Adammini: Fewer Learning Rates, Better Results: By dividing parameters into blocks and assigning a single optimal learning rate to each, over 90% of learning rates could be eliminated without causing damage. (2024-06-28, shares: 61.0)