Quant Letter: June 2023, Week 2

Weekly quantitative finance newsletter

The quant world has been busy, there are a good amount of papers to take seriously this week. Like always I check SSRN, Arxiv, RePec, Github, LinkedIn, and many more channels weekly to highlight the best papers for a machine learning and quant finance crowd.

SSRN

Recently Published

Quantitative

Machine Learning for Finance: Hybrid model combining machine learning and asset-pricing models aids capital structure decisions in finance. (2023-06-01, shares: 33.0)

VIX ETPs and SPX Futures: VIX futures hedging activities can move SPX futures market for reasons unrelated to price discovery. (2023-06-06, shares: 4.0)

Optimal Pairs Trading: Optimal pairs-trading model with costly short-selling can be used to short sell overvalued assets. (2023-06-06, shares: 2.0)

Loss Aversion and Implied Volatility: Loss aversion can explain the stylized facts of implied volatility. (2023-06-07, shares: 3.0)

Measuring Transition Risk: Investment portfolios suffer moderate losses upon materialization of high transition risk scenario, sustainable funds perform better. (2023-06-01, shares: 4.0)

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