SSRN
Recently Published
Quantitative
Permutation-Invariant NN Analysis: The study explores permutation-invariant neural networks, which can process various data formats and generate results unaffected by the input data's sequence. (2024-05-02, shares: 4.0)
Explainable Autoencoder Anomaly Detection: The suggested model uses an explainable variational autoencoder to detect anomalies in multivariate time series data, overcoming issues of large data size, unknown anomalies, and unclear deep learning detection methods. (2024-05-07, shares: 2.0)
Fourier-Laplace Transforms: The article investigates the Fourier-Laplace transforms of various polynomial Ornstein-Uhlenbeck volatility models, linking it with the solution of an infinite dimensional Riccati equation. (2024-05-03, shares: 11.0)
Secure Vector Databases & Computation: The article explores the challenges and opportunities of recent advancements in computing and data engineering, proposing Secure Vector Databases and Secure Vector Computation as potential solutions for machine learning applications using post-quantum cryptographic techniques. (2024-05-04, shares: 2.0)
Financial
Duration and Leverage: The article reveals that the use of Treasury futures by mutual funds varies significantly over time and across funds, influencing the variation in aggregate Treasury futures open interest. (2024-05-03, shares: 2.0)
Vice Capital: The article explores the vice premium concept in investments, where businesses deemed socially unacceptable yield higher returns, and its impact on startup governance and economy. (2024-05-07, shares: 40.0)
Cryptocurrency Pricing: The article examines the differences in cryptocurrency pricing across 80 global exchanges, emphasizing the influence of exchange features and regulatory environments on arbitrage opportunities. (2024-05-03, shares: 4.0)
Price Manipulation in London 4pm Fix: Research indicates that large dealers can manipulate prices and increase costs in the foreign exchange market through coordinated trading and information sharing. (2024-05-07, shares: 2.0)
Designing Index Market: A study finds that retail investors favor a market where index providers have significant control over passive funds. (2024-05-03, shares: 2.0)
Recently Updated
Quantitative
Optimal Leverage: The research shows that stock returns are influenced by how much a company's actual leverage deviates from its target, especially during economic growth periods, introducing a new risk factor called VDOL. (2022-05-01, shares: 85.0)
Crowding in Mutual Funds: Mutual funds investing in the same stocks underperform by 1.4% annually compared to passive benchmark funds, due to high demand for liquidity and the related discount for owning liquid stocks. (2023-04-07, shares: 66.0)
Extreme Value Inference: A new study applies extreme value statistics to independent data with varying distributions, introducing a new asymptotic theory and its applications to the lifespan of identical twins and global earthquake energies. (2024-04-29, shares: 3.0)
Financial
Investor Disagreement at High: The study explores the impact of disagreement between retail and institutional investors on stock liquidity, efficiency, and returns, concluding that increased liquidity may decrease informational efficiency. (2021-11-06, shares: 294.0)
Risk Management Guidelines: The authors share risk management challenges in the crypto field and offer risk mitigation strategies based on their trading desk experiences. (2023-02-22, shares: 296.0)
Prices Analyst Impact on Cash Flow: The article suggests that analyst cash flow predictions are swayed by price changes not related to cash flow news, using a model that aligns subjective beliefs data with asset pricing models. (2023-05-10, shares: 394.0)
Frequency Domain Prediction: The study employs a machine learning approach to develop a new macroeconomic index for predicting stock returns, showing its significant predictive power and economic value in asset allocation, and its complementary relationship with investor sentiment. (2022-11-02, shares: 2.0)
ArXiv
Finance
Price-Aware AMM: Advanced Models: The article presents models for improving quotes in automated market making platforms, considering complex price changes and demand fluctuations. (2024-05-06, shares: 4)
Fourier-Laplace Transforms in Polynomial OU Volatility: The research investigates the Fourier-Laplace transforms of different volatility models, links them to the solution of a specific equation, and creates a numerical method for solving these equations for pricing options and volatility swaps. (2024-05-03, shares: 4) - also in SSRN.
Variable Annuities: Surrender Option Analysis: The paper analyzes Variable Annuities, particularly the holder's right to early termination, and introduces a new method for non-monotone stopping boundaries. (2024-05-03, shares: 2)
Historical Trending
Optimal Estimation of Shortfall Risk: The research suggests a new method for estimating the potential risk of financial loss using limited data, which is resilient and provides superior statistical properties, surpassing traditional estimators in various loss distributions. (2024-05-01, shares: 3)
Calibration of Credit Rating Model: The study introduces algorithms for adjusting model parameters in credit rating transition models, using different methods for high and low-default portfolios, with tests indicating precise outcomes. (2024-05-01, shares: 3)
ArXiv ML
Recently Published
FeNNol: FeNNol is a new library for building, training, and running force-field-enhanced neural network potentials, providing a flexible and modular system for building hybrid models and fast potential evaluation. (2024-05-02, shares: 31)
Bayesian Few-Shot Classification: The research combines mirror descent-based variational inference with Gaussian process for few-shot classification, enhancing accuracy, uncertainty measurement, and faster convergence. (2024-05-02, shares: 15)
Adaptive Retrieval for k-NN Search: The authors suggest a sparse-matrix factorization technique for calculating latent query and item embeddings, enhancing recall and speed in cross-encoder models and reducing computational needs. (2024-05-06, shares: 14)
Generalized Framework for Fairness Risks: The paper presents a framework for post-processing machine learning models to ensure multi-group fairness in predictions, applicable in image segmentation, hierarchical classification, and text generation. (2024-05-03, shares: 12)
Historical Trending
Fourier Neural Operator for PDEs: The study introduces geo-FNO, a new framework for solving partial differential equations on any geometry, proving to be faster and more accurate than standard and machine learning-based solvers. (2022-07-11, shares: 126)
Diffusive Gibbs Sampling: The article introduces Diffusive Gibbs Sampling (DiGS), a new method for sampling from multi-modal distributions, which performs better in tasks like Bayesian neural networks and molecular dynamics. (2024-02-05, shares: 171)
Large Language Model Performance: Large language models may not be truly reasoning but overfitting to specific datasets, as shown by decreased accuracy on new benchmarks. (2024-05-01, shares: 1161)
RePec
Finance
AI in Finance: The article highlights the significant role of big data and AI in revolutionizing the finance industry, stressing the need for financial expertise combined with data analytics skills. (2024-05-08, shares: 26.0)
Factor-Based Cryptocurrency Investing: The study applies factor investing strategies to the cryptocurrency market, introducing a weekly rebalancing method and using the Newey–West standard error approach to tackle the market's high volatility and continuous trading. (2024-05-08, shares: 13.0)
Memory-Enhanced Momentum in Futures Markets: The research introduces a memory-enhanced momentum strategy for commodity futures markets, using variance ratios to predict the persistence of past winners and losers, surpassing traditional momentum strategies. (2024-05-08, shares: 12.0)
GitHub
Finance
Fixed Income Library for Bond Pricing: The piece reviews a library for pricing financial instruments like bonds and derivatives, featuring risk sensitivity tools. (2023-03-31, shares: 71.0)
Python Backtesting for Trading Strategies: The article presents a Python library for backtesting trading strategies. (2015-01-10, shares: 13080.0)
Trending
IBKR Docker GatewayTWS: The article provides instructions on operating IBKR GatewayTWS within a Docker container. (2021-11-10, shares: 142.0)
Pyinfra Automation: The article details how pyinfra, a Python tool, can automate infrastructure tasks, execute commands, manage configurations, and deploy services. (2014-10-19, shares: 3186.0)
Trending
OverflowAI OpenAI Partnership: OpenAI is collaborating with Stack Overflow to create OverflowAI, a tool that will use Stack Overflow's resources to enhance OpenAI's language models. (2024-05-07, shares: 2.0)
Autonomous RAG with Llama3: Llama3, a new AI model, has shown promising results in autonomous RAG, indicating potential advancements for the forthcoming GPT4. (2024-05-07, shares: 2.0)
Deep Hedging in Financial Markets: Researchers have created Deep Hedging, a machine learning model designed to improve dynamic trading strategies in financial markets. (2024-05-07, shares: 1.0)
Global Asset Management Crowding: A Journal of Banking and Finance study shows that crowding in the global asset management industry results in underperformance compared to passive index funds due to increased liquidity demand. (2024-05-07, shares: 1.0)
Intel TBB: Parallel Programming Insights: Intel Threading Building Blocks (TBB) is a software library that simplifies parallel programming in C++, enabling developers to create efficient parallel applications without focusing on multi-threading implementation details. (2024-05-07, shares: 2.0)
Informative
Cheap Talk Reporting: A scientific analysis shows the commonality of cheap talk about sustainability in business reports, which can harm a company's reputation. (2024-05-07, shares: 2.0)
Data Resource and Finance Forum: Emlyon business school students and professors visited Fuzhou Data Exchange Center to explore recent developments in data resource and finance. (2024-05-07, shares: 1.0)
Podcasts
Quantitative
Dr Meir Statman: Well Being: Dr. Meir Statman discusses his book A Wealth of Well Being and his research on behavioral finance and investment decisions in a podcast. (2024-05-02, shares: 13)
US Term Funding Premium: Srini Ramaswamy and Ipek Ozil explore the link between US swap spreads and a type of term premium in a podcast. (2024-05-02, shares: 9)
News
Quantitative
Citadel Hires AI Scientist for NY Quant Role: Citadel is hiring more quantitative analysts, also known as quants. (2024-05-07, shares: 3)
Hedge Funds Bullish on Consumer Stocks Trend: Hedge funds have shown increased optimism towards consumer stocks in the week ending 3 May, influenced by a weakening US labour market and potential interest cuts hinted by Federal Reserve Chair Jerome Powell. (2024-05-07, shares: 3)
Jane Street Mobile Gaming Entry: The article debates whether Figgie could be considered as Pit the younger. (2024-05-07, shares: 0)
Quantitative
Big Data Asset Pricing: Article 1: Lasse Pedersen from Copenhagen Business School provides a detailed course on Big Data Asset Pricing, discussing empirical asset pricing, multiple testing problems, and machine learning. (2024-05-07, shares: 8)
Drivers of Gold Prices: Article 2: A study by Erb and Harvey investigates the elements affecting gold prices, such as ETFs, China, Costco buyers, and the difficulty of obtaining trustworthy data. (2024-05-08, shares: 2)
Carry Strategies Diversification: Article 3: A recent paper examines carry strategies and their possible advantages for portfolio diversification. (2024-05-03, shares: 2)
Miscellaneous
Systemic Risk Detection: The article explores the use of 1-minute intraday data to identify systemic risk in financial systems. (2024-05-05, shares: 1)
Return Prediction Complexity: The article reviews an AQR white paper discussing the advantages of using complex models for return predictions. (2024-05-07, shares: 0)
Energy Prediction with Memory Models: The article investigates different algorithms for predicting building energy use, emphasizing the superior predictive power of memory-based models. (2024-05-06, shares: 0)
Earnings Call Analyzer: The article presents an Earnings Conference Call Analyzer, a tool designed for financial analysis. (2024-05-05, shares: 0)
Videos
Quantitative
Datadriven Finance Webinar: Will Cong presented a data-driven approach to corporate finance and AI-guided decisions at an ABFR seminar. (2024-05-06, shares: 0.0)
AI in Finance Recording: A raw screen recording from the Workshop on AI in Finance at Texas State University San Marcos is accessible on GitHub. (2024-05-07, shares: 5.0)
Paper with Code
Automatic Tensorized Optimization Framework: A new framework has been created to automatically enhance deep learning models for specific tensor computations. (2024-05-07, shares: 9577.0)
KAN for MLPs: Kolmogorov-Arnold Networks (KANs), based on the Kolmogorov-Arnold theorem, are suggested as possible replacements for MultiLayer Perceptrons (MLPs). (2024-05-04, shares: 4923.0)