ArXiv
Finance
Ponzi Funds: The study suggests that investors' pursuit of high returns from active funds can predict ETF bubbles and crashes, and that a fund's liquidity can indicate its potential for inflated returns. (2024-05-21, shares: 4)
Deep Penalty Methods: A proposed deep learning algorithm for optimal stopping problems shows accuracy and efficiency in American option pricing, with its error bound by the loss function and other parameters. (2024-05-18, shares: 3)
Microstructure Modes: Research using a double coarse-graining procedure and Principal Component Analysis on electronic order books reveals stable parameters in a Vector Auto-Regressive model, but fails to account for the square-root law of price impact. (2024-05-17, shares: 3)
Continuity of Risk Measures: A study proves that a convex, order bounded above functional on a Banach lattice is automatically norm continuous, enhancing previous findings and applying to various deviation and variability measures. (2024-05-16, shares: 3)
Risk Sensitivity: Research identifies the conditions that make a risk or utility functional sensitive to large losses, demonstrating that Value at Risk and Expected Shortfall can become sensitive to large losses if properly adjusted. (2024-05-20, shares: 2)
Historical Trending
Optimal Information Acquisition: The study suggests that acquiring information early is beneficial in reducing investment risk, and those less risk-averse are more likely to seek extra information. (2024-05-15, shares: 3)
SSRN
Recently Published
Quantitative
Pricing Hybrid Asset-Volatility Derivatives: The article explains how the cost of hybrid asset-volatility derivatives can be estimated using the asset's implied volatility skew, assuming it's generated by a stochastic volatility model. (2024-05-16, shares: 37.0)
Building Arbitrage-Free Implied Volatility Surface: The paper explores the creation of arbitrage-free implied volatility surfaces based on relative entropy minimization, addressing numerical issues and their solutions, and their importance for arbitrage-free models. (2024-05-17, shares: 16.0)
RealTime Application Identification Through Network Packet Analysis: The article introduces a new method using AI and machine learning to identify the type of applications used by clients on public internet, improving security and controlling unwanted application usage. (2024-05-16, shares: 5.0)
Stock Market Volatility Models: The paper finds the simple regression model as the most accurate in predicting daily volatility of the NIFTY 50 index among eight forecasting models. (2024-05-17, shares: 2.0)
Common Ownership and Activism: The study suggests that common ownership can lead to anticompetitive outcomes, such as reduced wages and wealth transfer to shareholders. (2024-05-20, shares: 3.0)
Financial
Public Firms Transformation: The number of public firms in the US has decreased by half since the 21st century due to heavy legal burdens, but their economic influence remains the same. (2024-05-16, shares: 414.0)
Convex Volatility Method: Convex Volatility Interpolation (CVI), a new method for calibrating implied volatility surfaces using quadratic programming, has been introduced, eliminating the need for hyperparameter tuning. (2024-05-16, shares: 6.0)
Term Spreads and Recessions: Research shows that credit market sentiment affects the real economy through the term premium, with term spreads predicting recessions and affecting future growth. (2024-05-20, shares: 13.0)
Highfrequency Data Analysis: Recent studies on issues in high-frequency financial data analysis, such as nonstationarity and low signal-to-noise ratios, are categorized into data preprocessing and quantitative methods. (2024-05-20, shares: 6.0)
Portfolio Optimization for M6: The M6 forecasting competition paper introduces a data-driven approach that directly optimizes portfolio weights, achieving a 9.5 global rate of return and an information ratio of 5.045. (2024-05-21, shares: 3.0)
Recently Updated
Quantitative
SP500 Earnings Straddle Strategies: The study suggests that using straddle derivatives strategies around SP 500 earnings announcements can be profitable, but also risky and costly. (2024-05-08, shares: 3.0)
Public Data Ecosystems Evolution: The research identifies the elements that create value-adding public data ecosystems and how they evolve, based on a review of 148 studies. (2023-11-17, shares: 3.0)
Airline Stocks and Oil Price Volatility: The study finds a negative correlation between oil price volatility and international airline stock prices, recommending diversification and technology implementation to reduce fossil fuel reliance. (2024-04-04, shares: 3.0)
Financial
Portfolio Management with Python: The lecture notes discuss portfolio management, highlighting the use of Python for practical applications and the importance of understanding different types of returns for accurate performance assessment. (2023-12-20, shares: 502.0)
Cheap Stock Options: The research investigates cheap stock - equity-based compensation granted pre-IPO at a lower price, finding it leads to greater IPO underpricing, lower post-IPO investment, and higher CEO compensation. (2022-04-20, shares: 152.0)
Insurance Investments: The study presents a theory connecting insurance premiums, insurers' investment behavior, and asset prices, showing that insurers with stable funding take more investment risks and earn higher returns. (2023-03-26, shares: 209.0)
Informed Trading Risk: The research uses abnormal undercutting activity to measure informed trading risk, finding it predicts imminent information events and positively predicts stock returns up to six months forward, especially for stocks with tight short sale constraints. (2024-02-02, shares: 192.0)
Hedge Fund Performance Decline: The study shows that top-performing hedge funds continue to add value, but their persistence has weakened and can only be observed using a specific method. (2023-11-06, shares: 370.0)
Stock and Option Market Response to ESG News: The research finds that negative ESG incidents have minimal immediate impact on stock prices but cause increased volatility for severe incidents, particularly those related to Natural Capital. (2023-06-21, shares: 2.0)
Future Value of Mutual Fund Investments: The paper suggests that mutual fund investment forecasts are best presented in currency terms and that the precision of past and predicted values can help analyze sampling errors. (2022-12-22, shares: 56.0)
Central Bank Haircut Policy: The study reveals that a decrease in the Eurosystem collateral framework leads banks to replace other high-quality government bonds with EU bonds, especially German banks. (2023-11-13, shares: 2.0)
Equity Premium Events: The research identifies equity premium events using daily S&P 500 option expirations, finding that economic, political events, and macroeconomic releases cause the largest abnormal equity premia. (2024-04-08, shares: 2.0)
ArXiv ML
Recently Published
Efficiency of CNNs: A novel approach to convolutional neural networks prioritizes computational efficiency over arithmetic complexity, resulting in faster, more accurate, and cost-effective models. (2024-04-04, shares: 35)
Strategy-Proof Auctions: The paper introduces a deep learning approach for ensuring strategy-proofness in auctions, offering statistical guarantees and proving its effectiveness through experiments. (2024-05-20, shares: 19)
Wasserstein Gradient Boosting for Regression: Wasserstein gradient boosting, a new type of gradient boosting, improves probabilistic prediction by approximating the output-distribution parameter's posterior distribution. (2024-05-15, shares: 35)
GitHub
Finance
Bisheng: LLM DevOps Platform: Bisheng is a platform designed for the development of AI applications. (2023-08-28, shares: 6806.0)
Fortitudo.tech: CVaR Portfolio Optimization: Python is utilized for portfolio optimization and stress-testing through Conditional Value-at-Risk and Entropy Pooling views. (2021-10-14, shares: 152.0)
DataDreamer: Synthetic Data Generation: DataDreamer Prompt is a tool designed to generate synthetic data and train alignment models. (2023-06-02, shares: 680.0)
Trending
Financial Time Series: The article analyzes patterns and momentum trends in financial timeseries data. (2020-07-11, shares: 204.0)
Pure Python Web Apps: The piece details the process of building web applications solely with Python. (2022-10-25, shares: 17078.0)
Fast Terminal File Manager: The article presents a fast terminal file manager created in Rust, using async IO. (2023-07-08, shares: 8932.0)
Python Frame Info: The article offers guidance on extracting information about the current operations of a Python frame, focusing on the executing AST node. (2019-05-25, shares: 309.0)
Llama3: The article explains the process of implementing llama3 via matrix multiplication. (2024-05-19, shares: 5772.0)
LinkedIn
Trending
TimeGEN-1: Nixtla + Microsoft Enterprise Model: Nixtla and Microsoft have launched TimeGEN-1, the first public cloud-based enterprise foundation model for time-series, simplifying accurate forecasting without the need for individual model training. (2024-05-22, shares: 1.0)
SelfInflated Returns in Funds: Investors often confuse self-inflated returns with fundamental returns when investing in funds, creating a feedback loop similar to a Ponzi scheme. (2024-05-22, shares: 3.0)
Generative AI in Accounting: The use of language models like Chat-GPT in accounting research is problematic due to their unpredictable nature, biases in training data, and heavy moderation by the companies that own them. (2024-05-22, shares: 2.0)
Informative
Machine Learning in Finance Conference Registration: Registration is closing soon for a Machine Learning and Quantitative Finance Conference on 6th-7th June 2024. (2024-05-21, shares: 4.0)
EDHEC PhD Finance Research Seminar: An online EDHEC PhD in Finance #ResearchSeminar featuring Professor Raman Uppal is scheduled for 22nd May. (2024-05-22, shares: 1.0)
Top UK Quant MSc Program: Imperial College London's MSc Mathematics and Finance program, led by Jack Jacquier and Eyal Neuman, has topped QUANTNET 2024's ranking of Best UK Quant MSc programs. (2024-05-21, shares: 2.0)
Podcasts
Quantitative
US Treasury Futures Roll: In a podcast, Srini Ramaswamy and Ipek Ozil discuss the upcoming Treasury futures roll cycle and its dynamics. (2024-05-16, shares: 10)
HMMs in Ecology: Théo Michelot's research uses Hidden Markov Models to transform GPS location data into useful information for ecological studies. (2024-05-20, shares: 5)
Darren Voges: Darren Voges discusses the influential Yodlee credit card dataset and its market impact in a podcast interview. (2024-05-19, shares: 5)
Tony McManus Interview: Tony McManus talks about Bloomberg's approach to AI and GenAI, and the skills needed for graduates to join Bloomberg. (2024-05-16, shares: 3)
Miscellaneous
Kind new hedge fund hires ex-Citadel founder: Aquatic Capital Management operates differently from typical hedge funds. (2024-05-16, shares: 3)
Wall Street quant doubts A.I.: Wall Street quant Cliff Asness has shown doubt about the effectiveness of Artificial Intelligence. (2024-05-18, shares: 2)
Qube grows assets to 20bn: Qube Research & Technologies experienced a 22% increase in 2024, raising the company's assets from $16bn to $20bn. (2024-05-20, shares: 2)
Twitter
Quantitative
Liquid Factor Models: Article 1: The article explores the application of Liquid Factor Models for generating Alpha Model. (2024-05-16, shares: 3)
Kolmogorov-Arnold Networks: Article 2: The article proposes the use of KolmogorovArnold Networks (KANs) as a better option than MLPs for analyzing time series data. (2024-05-18, shares: 2)
Miscellaneous
Trendfollowing strategies beat equities: Article 1: Trendfollowing strategies offer comparable long-term returns to equities, performing particularly well when equities do not, without any correlation to them. (2024-05-22, shares: 0)
Interview with Clifford Asness: Article 2: A comprehensive interview was carried out with financial expert, Clifford Asness. (2024-05-22, shares: 0)
Paper with Code
Trending
NaiboWang EasySpider: Webcrawling is an essential research instrument for scientists in both computational and non-computational fields. (2024-05-22, shares: 25232.0)
googleresearch GIVT: The article introduces Generative Infinite-Vocabulary Transformers (GIVT), which produce sequences of vectors with real values rather than discrete tokens. (2024-05-19, shares: 1725.0)
sbailab LightAutoML: The article presents LightAutoML, an AutoML system designed specifically to cater to the unique needs of a large European financial services company. (2024-05-22, shares: 945.0)
KolmogorovArnold Networks: The paper demonstrates that Gaussian radial basis functions can effectively approximate 3-order B-splines in KolmogorovArnold Networks. (2024-05-19, shares: 168.0)
Platonic Representation Hypothesis: The article suggests that AI models, particularly deep networks, are developing increasingly similar representations. (2024-05-19, shares: 144.0)
Rising
UserFriendly News Scraper Fundus: The article presents Fundus, a tool designed for efficiently scraping large amounts of news articles. (2024-05-19, shares: 95.0)
Detecting Undertrained Tokens: The article discusses the problem of misalignment between tokenizer creation and model training in language models. (2024-05-16, shares: 86.0)
MarkLLM Toolkit: The intricate and numerous watermarking algorithms for large language models pose comprehension and evaluation difficulties for researchers. (2024-05-19, shares: 33.0)
Linearizing LLM: Linear transformers, an alternative to softmax attention, are gaining attention due to their fixed-size recurrent state that lowers inference cost. (2024-05-16, shares: 32.0)