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Kolmogorov-Arnold Networks (KANs) for Time Series Analysis - paper posits that KANs are reasonable alternative to MLPs with several advantages…<a href="https://t.co/ofNs3aHRx9">https://t.co/ofNs3aHRx9</a> <a href="https://t.co/r5SO3t7QYA">pic.twitter.com/r5SO3t7QYA</a>
https://t.co/ofNs3aHRx90
2024/05/18
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2024/05/18 01:55
Liquid Factor Models (yes, is an Alpha Model)<br><br>Paper:<a href="https://t.co/APV3eQV3ly">https://t.co/APV3eQV3ly</a> <a href="https://t.co/dMFiQU0MaO">pic.twitter.com/dMFiQU0MaO</a>
https://t.co/APV3eQV3ly0
2024/05/16
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2024/05/15 23:55
Technical Analysis and Currency Trading: False Discoveries and Informative Covariates<br>The paper below has recently been revised. " We apply the new method to a large universe of currency technical trading rules, and construct a dynamic 30-currency portfolio that generates a… <a href="https://t.co/Dr46C2xqvi">https://t.co/Dr46C2xqvi</a>
https://t.co/Dr46C2xqvi0
2024/05/15
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2024/05/15 20:55
Ode to New Diffusion Applications<a href="https://t.co/k1ax8z49iy">https://t.co/k1ax8z49iy</a> <a href="https://t.co/qhupnQU81Z">pic.twitter.com/qhupnQU81Z</a>
https://t.co/k1ax8z49iy0
2024/05/15
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2024/05/15 00:55
Seven Sins of Quantitative Investing<br>Nice discussion by Deutsche Bank on common pitfalls and mistakes when backtesting. Several illustrative examples are provided. See link in tweet below. <a href="https://t.co/yiGhVySvXC">https://t.co/yiGhVySvXC</a> <a href="https://t.co/qYJQpeiRkZ">pic.twitter.com/qYJQpeiRkZ</a>
https://t.co/yiGhVySvXC0
2024/05/14
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2024/05/14 10:55
Great model! Here's an analysis I wrote on MOMENT: <a href="https://t.co/Is99JQV1dR">https://t.co/Is99JQV1dR</a>
https://t.co/Is99JQV1dR0
2024/05/13
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2024/05/13 10:55
Moment, a Time Series - <br>family of open-source foundation models for general-purpose time-series analysis (~LLM)<br><br>Python GitHub:<a href="https://t.co/Zj8Ppy0hAq">https://t.co/Zj8Ppy0hAq</a><br><br>Paper:<a href="https://t.co/FomYbtRhPc">https://t.co/FomYbtRhPc</a><br><br>Model Card:<a href="https://t.co/SESKZuxFeb">https://t.co/SESKZuxFeb</a> <a href="https://t.co/dZvHqJBN6X">pic.twitter.com/dZvHqJBN6X</a>
https://t.co/Zj8Ppy0hAq0
2024/05/13
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2024/05/13 00:55
Forecasting: theory and practice<br>"We provide an overview of a wide range of theoretical, state-of-the-art models, methods, principles, and approaches to prepare, produce, organise, and evaluate forecasts."<a href="https://t.co/j6MhsZuG8H">https://t.co/j6MhsZuG8H</a> <a href="https://t.co/8I69z8A2yD">https://t.co/8I69z8A2yD</a>
https://t.co/j6MhsZuG8H0
2024/05/12
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2024/05/12 20:55
"I construct strategies based on exchange rate jumps only, which perform better than pure momentum or reversal strategies with Sharpe ratios exceeding one." <a href="https://t.co/nUqAEX7lwP">https://t.co/nUqAEX7lwP</a>
https://t.co/nUqAEX7lwP0
2024/05/12
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2024/05/12 12:55
Perspectives on AI Agent Ops - report<a href="https://t.co/yHqauYMajV">https://t.co/yHqauYMajV</a> <a href="https://t.co/uzhlluPlM4">pic.twitter.com/uzhlluPlM4</a>
https://t.co/yHqauYMajV0
2024/05/11
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2024/05/11 04:55
AQR Paper: Can Machines Time Markets? The Virtue of Complexity in Return Prediction<a href="https://t.co/PIxMUqdctb">https://t.co/PIxMUqdctb</a> <a href="https://t.co/5dbwrXqowF">pic.twitter.com/5dbwrXqowF</a>
https://t.co/PIxMUqdctb0
2024/05/11
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2024/05/11 04:55
Short Interest and Aggregate Stock Returns: International Evidence<br><br>Short interest predicts stock returns negatively in most countries. <a href="https://t.co/Pt2ycyuOTM">https://t.co/Pt2ycyuOTM</a>
https://t.co/Pt2ycyuOTM0
2024/05/10
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2024/05/10 09:55
Commodity Prices and Currencies<br><br>"...changes in a country's commodity export prices predict its exchange rate." <a href="https://t.co/uRy4TrINHD">https://t.co/uRy4TrINHD</a>
https://t.co/uRy4TrINHD0
2024/05/09
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2024/05/09 22:55
New Erb & Harvey study on the drivers of <a href="https://twitter.com/hashtag/gold?src=hash&ref_src=twsrc%5Etfw">#gold</a> prices. On ETFs, China, Costco buyers, and difficulties with finding reliable data. Correlation or causation? <a href="https://twitter.com/jsblokland?ref_src=twsrc%5Etfw">@jsblokland</a> <a href="https://twitter.com/camharvey?ref_src=twsrc%5Etfw">@camharvey</a> <a href="https://t.co/zsioCcNr5S">https://t.co/zsioCcNr5S</a> <a href="https://t.co/twyFuhRTF6">pic.twitter.com/twyFuhRTF6</a>
https://twitter.com/hashtag/gold?src=hash&ref_src=twsrc%5Etfw0
2024/05/08
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2024/05/08 07:55
Interesting white paper from the AQR crew of <a href="https://twitter.com/CliffordAsness?ref_src=twsrc%5Etfw">@cliffordasness</a> on the virtue of complexity in return prediction.<br><br>Complex models (number of predictors > number of observations) better capture nonlinearities, leading to improved return predictions and “evolutionary, not… <a href="https://t.co/2w9WOpLkP3">pic.twitter.com/2w9WOpLkP3</a>
https://twitter.com/CliffordAsness?ref_src=twsrc%5Etfw0
2024/05/07
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2024/05/07 20:55
Lasse Pedersen at Copenhagen Business School offers a great course in "Big Data Asset Pricing" with really useful lecture notes.<br><br>Topics include: Empirical asset pricing, working with asset-pricing data, multiple testing issues and the factor zoo, machine learning, and more.… <a href="https://t.co/4BXMdGCvfl">pic.twitter.com/4BXMdGCvfl</a>
https://t.co/4BXMdGCvfl0
2024/05/07
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2024/05/07 11:55
Building Energy Prediction is a time-series problem. SARIMA, XGBoost & firefly metaheuristic algorithms (MetaFA-LSSVR) were benchmarks confirming the superior prediction ability of memory-based models (Seq2Seq & RNN)<br><br>Paper:<a href="https://t.co/W22azqxpbV">https://t.co/W22azqxpbV</a><br><br>Code:<a href="https://t.co/Z4VGIKvL5U">https://t.co/Z4VGIKvL5U</a> <a href="https://t.co/2jLgoTxfoz">pic.twitter.com/2jLgoTxfoz</a>
https://t.co/W22azqxpbV0
2024/05/06
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2024/05/06 10:55
Earnings Conference Call Analyzer - LLM paper <a href="https://t.co/0gJwfZk9Up">https://t.co/0gJwfZk9Up</a><br><br>FinX StockX <a href="https://t.co/rKbCtXn8Jg">pic.twitter.com/rKbCtXn8Jg</a>
https://t.co/0gJwfZk9Up0
2024/05/05
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2024/05/05 02:55
Systemic Risk detection using intraday 1 minute data / realized eigenvalues - paper<a href="https://t.co/WLtud3AIBc">https://t.co/WLtud3AIBc</a> <a href="https://t.co/v74KQpbrej">pic.twitter.com/v74KQpbrej</a>
https://t.co/WLtud3AIBc0
2024/05/05
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2024/05/05 02:55
New paper on carry strategies and their potential diversification benefits <a href="https://t.co/hTkSFenCuo">https://t.co/hTkSFenCuo</a>
https://t.co/hTkSFenCuo0
2024/05/03
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0
2024/05/03 21:55
Corporate bond factors: "...integrated multifactor portfolios outperform mixed multifactor portfolios." <a href="https://t.co/I6pfuzTcbb">https://t.co/I6pfuzTcbb</a>
https://t.co/I6pfuzTcbb0
2024/05/01
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2024/05/01 14:55
Great article on Jane Street <a href="https://t.co/TbzndHHMwW">https://t.co/TbzndHHMwW</a>
https://t.co/TbzndHHMwW0
2024/04/30
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2024/04/30 12:55
Hmmm<br><br>New Paper: CRISPR-GPT: An LLM Agent for Automated Design of Gene-Editing Experiments<br><br>How do you validate the LLM CRISPR design creation? <br><br>What could go wrong?<br><br> <a href="https://t.co/HpdhRoTNEG">https://t.co/HpdhRoTNEG</a>
https://t.co/HpdhRoTNEG0
2024/04/30
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2024/04/30 11:55
really good article on Jane Street<br><br>Jane Street is big. Like, really, really big<br><br>An article only someone like <a href="https://twitter.com/RobinWigg?ref_src=twsrc%5Etfw">@RobinWigg</a> could write. Nice job!<a href="https://t.co/2UGRibm9KS">https://t.co/2UGRibm9KS</a>
https://twitter.com/RobinWigg?ref_src=twsrc%5Etfw0
2024/04/29
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2024/04/30 00:55
Great episode! <a href="https://t.co/VMZb5VZ7Ym">https://t.co/VMZb5VZ7Ym</a>
https://t.co/VMZb5VZ7Ym0
2024/04/26
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2024/04/26 13:55
The often called emergent ChatGPT mystery has apparently been solved:<br><br>To 'delve' or not to delve - that is the question. <br><br>The answer has been found... <br><br>in Nigeria...<br> <a href="https://t.co/PVzYRaB9Ix">https://t.co/PVzYRaB9Ix</a>
https://t.co/PVzYRaB9Ix0
2024/04/25
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2024/04/25 12:58
"Cryptocurrencies. If You're Gonna Do It, Do It Right"<br><br>Note from <a href="https://twitter.com/ManGroup?ref_src=twsrc%5Etfw">@ManGroup</a> on allocating to crypto.<a href="https://t.co/tjbzPm8Old">https://t.co/tjbzPm8Old</a> <a href="https://t.co/0jfZZV6GcV">pic.twitter.com/0jfZZV6GcV</a>
https://twitter.com/ManGroup?ref_src=twsrc%5Etfw0
2024/04/25
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0
2024/04/25 11:58
A new paper by Goyenko et al. uses machine learning to predict trading volume and find volume to be “highly predictable”. Predictors include technical signals, firm characteristics, calendar information, and earnings schedules. <br><br>Volume predictability is incorporated into a… <a href="https://t.co/aRwBS4ZRGY">pic.twitter.com/aRwBS4ZRGY</a>
https://t.co/aRwBS4ZRGY0
2024/04/23
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0
2024/04/23 12:55
Interesting illustration of the finding that analyst forecast dispersion tends to predict stock returns negatively in the cross-section. <a href="https://t.co/tA2EkElhis">https://t.co/tA2EkElhis</a>
https://t.co/tA2EkElhis0
2024/04/22
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2024/04/22 20:55
The risk of rare disasters is one of many explanations put forward to explain why equities should be subject to a risk premium. However, estimating such risks is challenging due to the scarcity of macroeconomic disasters. <br><br>This paper pools data from over 40 countries and… <a href="https://t.co/lxYnJVKs0q">pic.twitter.com/lxYnJVKs0q</a>
https://t.co/lxYnJVKs0q0
2024/04/22
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2024/04/22 19:55
The finance sector is realizing that over the past several decades, it has lost millions, even billions, of dollars due to uncalibrated models.<br><br>What's the most effective technology for calibrating these models without reengineering the whole pipelines?<br><br>Undoubtedly, <a href="https://twitter.com/hashtag/conformal?src=hash&ref_src=twsrc%5Etfw">#conformal</a>… <a href="https://t.co/laUjuqJO93">pic.twitter.com/laUjuqJO93</a>
https://twitter.com/hashtag/conformal?src=hash&ref_src=twsrc%5Etfw0
2024/04/22
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2024/04/22 12:55
Hmmm<br><br>OpenAI allegedly used illegally scraped data to train Whisper<br> <a href="https://t.co/GlccIPGcFM">https://t.co/GlccIPGcFM</a>
https://t.co/GlccIPGcFM0
2024/04/21
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0
2024/04/21 17:55
Six great books on trading, investing, and portfolio management. <a href="https://t.co/pkyW4trnOX">pic.twitter.com/pkyW4trnOX</a>
https://t.co/pkyW4trnOX0
2024/04/20
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0
2024/04/20 15:55
Prompt Principles Paper when interacting with LLMs: Handy rules of thumb for optimizing output quality / prompt engineering:<a href="https://t.co/CRoTVmZeVH">https://t.co/CRoTVmZeVH</a> <a href="https://t.co/etKjwsMGJc">pic.twitter.com/etKjwsMGJc</a>
https://t.co/CRoTVmZeVH0
2024/04/19
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2024/04/19 12:55
<blockquote class="twitter-tweet" data-width="550"><p lang="en" dir="ltr">As Johnny von Neumann
used to say, "with four parameters I can fit
an elephant, and with five I can make him
wiggle his trunk."<br><br>2014 Paper: Pseudo-Mathematics and Financial
Charlatanism: The Effects of<br>Backtest Overfitting on
Out-of-Sample Performance <a href="https://t.co/eHGq2tc7z4">pic.twitter.com/eHGq2tc7z4</a></p>— Carl Carrie (@
) (@carlcarrie) <a href="https://twitter.com/carlcarrie/status/1781295623590801551?ref_src=twsrc%5Etfw">April 19, 2024</a></blockquote>
<script async src="https://platform.twitter.com/widgets.js" charset="utf-8"></script>
https://t.co/eHGq2tc7z4) (@carlcarrie) <a href="https://twitter.com/carlcarrie/status/1781295623590801551?ref_src=twsrc%5Etfw">April 19, 2024</a></blockquote>
<script async src="https://platform.twitter.com/widgets.js" charset="utf-8"></script>0
2024/04/19
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2024/04/19 12:55
Most forecasting tools - Prophet, TIDE, XGBoost underperform when challenged with financial data sets spanning multiple business cycles and reaching a new turning point <br><br>Dunning-Kruger effect mitigation approaches - eg detecting the onset of recession:<a href="https://t.co/oj7fCopZZP">https://t.co/oj7fCopZZP</a> <a href="https://t.co/GmZbk6tcUs">pic.twitter.com/GmZbk6tcUs</a>
https://t.co/oj7fCopZZP0
2024/04/19
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2024/04/19 12:55
Dynamic Factor Modeling using auto regressive techniques as a Python library: Metran (use cases beyond just hydro timeseries)<a href="https://t.co/U6HPakG1Sd">https://t.co/U6HPakG1Sd</a><br><br>Tutorial:<a href="https://t.co/Vso0EuTVWK">https://t.co/Vso0EuTVWK</a><br><br>Classic example:<a href="https://t.co/U6HPakG1Sd">https://t.co/U6HPakG1Sd</a><br><br>Dependencies on scipy and pastas
https://t.co/U6HPakG1Sd0
2024/04/18
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2024/04/18 11:55
"Democrats are good for the stock market, Republicans are good for the bond market. Trend and Cross-Sectional Momentum are both much stronger under the GOP." from <a href="https://twitter.com/ManGroup?ref_src=twsrc%5Etfw">@ManGroup</a> <br><br>Link: <a href="https://t.co/aQftAru9GW">https://t.co/aQftAru9GW</a> <a href="https://t.co/zWpaO32qtN">pic.twitter.com/zWpaO32qtN</a>
https://twitter.com/ManGroup?ref_src=twsrc%5Etfw0
2024/04/18
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2024/04/18 10:55
Gradient Boost Regression Tree (GBRT) for Limit Order Book <a href="https://twitter.com/hashtag/LoB?src=hash&ref_src=twsrc%5Etfw">#LoB</a> modeling - paper<a href="https://t.co/g6PYDt36V2">https://t.co/g6PYDt36V2</a> <a href="https://t.co/bjqIW9of2a">pic.twitter.com/bjqIW9of2a</a>
https://twitter.com/hashtag/LoB?src=hash&ref_src=twsrc%5Etfw0
2024/04/18
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2024/04/18 01:55
How long will it be before a large language model with a whisper like voice model is embedded in an android?<a href="https://t.co/rsaov1mP2d">https://t.co/rsaov1mP2d</a> <a href="https://t.co/f7FAgAnMRq">pic.twitter.com/f7FAgAnMRq</a>
https://t.co/rsaov1mP2d0
2024/04/17
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2024/04/17 18:55
Tiny Time Mixers (TTMs): Fast Pre-trained Models for Zero/Few-Shot Forecasting of Multivariate Time Series<br><br>Python GitHub:<a href="https://t.co/MOfMbbiURC">https://t.co/MOfMbbiURC</a><br><br>Pretraining TTMs is very easy and fast, taking 3-6 hours using 6 A100 GPUs<br><br>Model Card:<a href="https://t.co/ZlqEcRFcSn">https://t.co/ZlqEcRFcSn</a><br><br>IBM LLM Research
https://t.co/MOfMbbiURC0
2024/04/17
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2024/04/17 11:55
If you are interested in financial history, this paper could be of interest. Using long-term data from <a href="https://twitter.com/GlobalFinData?ref_src=twsrc%5Etfw">@GlobalFinData</a> , the author describes movements in stocks and bonds over the past eight(!) centuries. The paper provides a fascinating review of historical eras and events and… <a href="https://t.co/LK81LQ4WTO">pic.twitter.com/LK81LQ4WTO</a>
https://twitter.com/GlobalFinData?ref_src=twsrc%5Etfw0
2024/04/17
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2024/04/16 23:55
2024 AI Index - Stanford University Report<a href="https://t.co/wHmzrqAhPe">https://t.co/wHmzrqAhPe</a> <a href="https://t.co/6oQ9kIg6F5">pic.twitter.com/6oQ9kIg6F5</a>
https://t.co/wHmzrqAhPe0
2024/04/16
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2024/04/16 19:55
This paper evaluates the ability of a range of machine learning models to predict corporate bond returns. The authors find significant return predictability, yielding meaningful Sharpe ratios net of transaction costs. Features related to both bond characteristics and aggregate… <a href="https://t.co/kItTyjzwV9">pic.twitter.com/kItTyjzwV9</a>
https://t.co/kItTyjzwV90
2024/04/16
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2024/04/16 18:55
The S&P500 yields now less than bonds, as shown in <a href="https://twitter.com/johnauthers?ref_src=twsrc%5Etfw">@johnauthers</a> newsletter today. However, not all stocks are created the same! US value stocks (definition in comment) still have fwd earnings yields of more than 7%. Internationally, you can even find more yield! <a href="https://t.co/xTubRObhSL">https://t.co/xTubRObhSL</a> <a href="https://t.co/bl2pO3DqPE">pic.twitter.com/bl2pO3DqPE</a>
https://twitter.com/johnauthers?ref_src=twsrc%5Etfw <a href="https://t.co/xTubRObhSL">https://t.co/xTubRObhSL</a> <a href="https://t.co/bl2pO3DqPE">pic.twitter.com/bl2pO3DqPE</a>0
2024/04/16
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2024/04/16 13:55
Six recommendations from my bookshelf. <a href="https://t.co/xOuZ33pMRO">pic.twitter.com/xOuZ33pMRO</a>
https://t.co/xOuZ33pMRO0
2024/04/15
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2024/04/15 19:55
Algorithmic Trading and Quantitative Strategy Lecture 6 is posted: <a href="https://t.co/raWpVMtVja">https://t.co/raWpVMtVja</a><br>Topics:<br>- idiosyncratic covariance matrix estimation, including <br>* off-diagonal cluster analysis<br>* short-term idiovol updating (actually very effective)<br><br>- portfolio construction. Mostly:…
https://t.co/raWpVMtVja0
2024/04/15
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2024/04/15 19:55
Hundreds of equity factors have been documented. Do they reflect mispricing or risk? Frey estimates that at least 40% of factors represent mispricing and most factors “reflect the convergences of prices back to fundamental values (resolution of mispricing)” as opposed to a… <a href="https://t.co/cvCE8K9Obl">pic.twitter.com/cvCE8K9Obl</a>
https://t.co/cvCE8K9Obl0
2024/04/13
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2024/04/13 12:55
Sequoia's new top 50 GenAI companies list and their impact on price structures and productivity <a href="https://t.co/jVeYYbW4JS">https://t.co/jVeYYbW4JS</a> <a href="https://t.co/DIOrI7npOh">pic.twitter.com/DIOrI7npOh</a>
https://t.co/jVeYYbW4JS0
2024/04/12
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2024/04/12 11:55
How Do Stocks Perform During High Inflation? Not Good<br><br>That's bad news if you're looking to protect your investment portfolio... Our recent Financial Analyst Journal study has quite some impact. It uncovers very weak returns for equities and bonds during periods of high… <a href="https://t.co/At0u5EQ9yr">pic.twitter.com/At0u5EQ9yr</a>
https://t.co/At0u5EQ9yr0
2024/04/12
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2024/04/12 11:55
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