Quant Letter: October 2024, Week-3

Weekly (67th Edition)

SSRN

Recently Published

Quantitative

The Statistical Limit of Arbitrage: The paper examines the effect of statistical learning on arbitrage pricing, revealing that estimation errors can limit arbitrageurs from fully capitalizing on pricing errors. (2024-10-13, shares: 2.0)

Seismic White Noise Reduction: Implications for finance - the study shows that deep learning algorithms can effectively eliminate noise from seismic data, especially when the algorithm is trained to learn the signal instead of the noise. (2024-10-11, shares: 2.0)

Delegated Portfolio Management: The research focuses on optimal portfolio delegation in a random default time scenario, creating a theoretical model to analyze the investment process and portfolio manager's decisions. (2024-10-11, shares: 5.0)

Quality Signals and Market Performance: The article explores factors influencing post-Initial Coin Offerings (ICOs) market stability, suggesting that high-quality signals like venture capital backing can reduce market volatility and increase investor trust. (2024-10-12, shares: 7.0)

Financial

Machine Learning in Portfolios: The article explores the use of machine learning in finance, specifically in portfolio management, discussing its current drawbacks and potential future developments. (2024-10-15, shares: 8.0)

Optimal Hedge Fund Allocation: The research indicates that substantial investments in hedge funds can be justified by their diversification benefits, even without alpha, but these investments are greatly influenced by alpha assumptions. (2024-10-14, shares: 7.0)