June 1st 2022

In this newsletter you will see the results of the first Quant content auto-generated from ArXiv, SSRN, RePec, GitHub, Blogs, Podcasts, Seminars, Youtube, LinkedIn, Twitter, and Reddit. Happy clicking!

ArXiv Top

Deep Learning in Business Analytics: A Clash of Expectations and Reality (Score: 9.24) Marc Andreas Schmitt (2022-05-19) Our fast-paced digital economy shaped by global competition requires increased data-driven decision-making based on artificial intelligence (AI) and machine learning (ML). The benefits of deep learnin... (20 posts; 20 tweeters)
Mack-Net model: Blending Mack's model with Recurrent Neural Networks (Score: 4) Eduardo Ramos-Pérez, Pablo J. Alonso-González, José Javier Núñez- (2022-05-15) In general insurance companies, a correct estimation of liabilities plays a key role due to its impact on management and investing decisions. Since the Financial Crisis of 2007-2008 and the strengthen... (22 posts; 10 tweeters)
The Fairness of Credit Scoring Models (Score: 2.25) Christophe Hurlin, Christophe Pérignon, Sébastien Saurin (2022-05-20) In credit markets, screening algorithms aim to discriminate between good-type and bad-type borrowers. However, when doing so, they also often discriminate between individuals sharing a protected attri... (18 posts; 9 tweeters)
Deep Learning vs. Gradient Boosting: Benchmarking state-of-the-art... (Score: 2.25) Marc Schmitt (2022-05-21) Artificial intelligence (AI) and machine learning (ML) have become vital to remain competitive for financial services companies around the globe. The two models currently competing for the pole positi... (9 posts; 7 tweeters)
Replicating Portfolios: Constructing Permissionless Derivatives (Score: 1.5) Estelle Sterrett, Waylon Jepsen, Evan Kim (2022-05-19) The current design space of derivatives in Decentralized Finance (DeFi) relies heavily on oracle systems. Replicating market makers (RMMs) provide a mechanism for converting specific payoff functions ... (8 posts; 3 tweeters)
Machine learning method for return direction forecasting of... (Score: 1.5) Raphael P. B. Piovezan, Pedro Paulo de Andrade Junior (2022-05-25) This article aims to propose and apply a machine learning method to analyze the direction of returns from Exchange Traded Funds (ETFs) using the historical return data of its components, helping to ma... (6 posts; 6 tweeters)
Machine learning method for return direction forecasting of... (Score: 1.5) Raphael P. B. Piovezan, Pedro Paulo de Andrade Junior (2022-05-25) This article aims to propose and apply a machine learning method to analyze the direction of returns from Exchange Traded Funds (ETFs) using the historical return data of its components, helping to ma... (6 posts; 6 tweeters)
Power and limitations of single-qubit native quantum neural networks (Score: 1.5) Zhan Yu, Hongshun Yao, Mujin Li, Xin Wang (2022-05-16) Quantum neural networks (QNNs) have emerged as a leading strategy to establish applications in machine learning, chemistry, and optimization. While the applications of QNN have been widely investigate... (6 posts; 6 tweeters)
Sparse modeling approach to the arbitrage-free interpolation of... (Score: 1.35) Daniel Guterding (2022-05-22) We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which is based on a system of integral equations that relates terminal density and opt... (17 posts; 3 tweeters)
Stock Trading Optimization through Model-based Reinforcement... (Score: 1.25) Huifang Huang, Ting Gao, Yi Gui, Jin Guo, Peng Zhang (2022-05-30) Reinforcement learning (RL) is gaining attention by more and more researchers in quantitative finance as the agent-environment interaction framework is aligned with decision making process in many bus... (19 posts; 5 tweeters)
Alpha Go Everywhere: Machine Learning and International Stock Returns (pages: 57) Darwin Choi Wenxi Jiang Chao Zhang (2022-05-18) We apply machine learning techniques and use stock characteristics to predict stock returns in 31 markets. We conduct an out-of-sample test by training the models with past U.S. data to predict intern... (778 downloads; 2983 views)
Matching with Multilateral Contracts (pages: 40) Marzena J. Rostek Nathan Yoder (2022-05-16) In many environments agents form agreements which are multilateral and/or have externalities. We show that stable outcomes exist in these environments when the irrelevance of rejected contracts condit... (425 downloads; 2150 views)
Intra-Firm Knowledge Sharing in the Investment Research Industry (pages: 57) Artur Hugon An-Ping Lin Stanimir Markov (2022-05-16) We study inter-department knowledge sharing in an investment research setting where the benefits are potentially significant for the brokerage and the capital market but so are the frictions impeding ... (333 downloads; 2503 views)
Relative performance evaluation in organizations with information networks (pages: 7) Xiangyu Shi (2022-04-06) In this paper I study a principal-multiagent model where the principal adopts the relative performance evaluation (RPE) as the compensation strategy and where agents are connected in an information ne... (136 downloads; 86 views)
Zero-Knowledge Proofs of Stock-Picking Skill (pages: 22) Alex Chinco (2022-05-02) The conventional wisdom is that you must reveal something about how you pick stocks in order to prove that you have stock-picking skill. In this paper I show that prior to executing any trades it is p... (54 downloads; 169 views)
Optimal Trend-Following in a Markov Switching Model (pages: 12) Valeriy Zakamulin Javier Giner (2022-05-02) This paper assumes that the market returns follow a two-state Markov process that randomly switches between bull and bear states. We show that in this case the exponential moving average (EMA) represe... (43 downloads; 93 views)
Style Timing around the World (pages: 26) Javier Vidal-García Marta Vidal (2022-04-08) In this paper we examine whether mutual fund managers around the world are able to implement synchronization strategies with respect to different investment styles a fundamental aspect in the efficien... (40 downloads; 117 views)
The Cross-Section of Extrapolative Belief and the High-Volume Premium (pages: 53) Huaixin Wang (2022-04-20) Previous studies show that stocks with abnormally high volumes are associated with high subsequent returns. Using an extrapolation measure implied by survey evidence and theoretical models I show that... (30 downloads; 123 views)
Cross-Border Investments in Private Firms: The Benefits of Comparability for Foreign Investors (pages: 50) Kristian D. Allee Tami Dinh Arthur Stenzel (2022-05-06) In this paper we examine the benefits of accounting comparability for cross-border investments in private firms. Exploiting a quasi-experimental setting we examine the real effect of an increase in ac... (28 downloads; 91 views)
Economic Policy Uncertainty and IPO Underpricing: Evidence From China (pages: 66) Tianyi Song Kenji Kutsuna (2022-04-01) This paper examines the impact of economic policy uncertainty on initial public offering (IPO) underpricing using a large sample of IPO firms in China. We find that heightened economic policy uncertai... (25 downloads; 62 views)
Using Textual and Economic Features to Predict the RMB Exchange Rate Yi-Chen Chung Hsien-Ming Chou Chih-Neng Hung and Chihli Hung... This research proposes an integrated framework for the use of textual and economic features to predict the exchange rate of the TWD (Taiwan dollar) against the RMB (Chinese Renminbi). The exchange rat... Advances in Management and Applied Economics 2021 vol. 11 issue 6 8 (0.63 score)
The Performance of Trading Strategies Based on Deviations from Put-Call Parity of Stock Options Han-Ching Huang and Chien-Sheng Wen... According to Cremers and Weinbaum [6] we compute the implied volatility spread by option put-call parity theory. Then we build strategy based on implied volatility spread and compares it with OS 52-we... Advances in Management and Applied Economics 2021 vol. 11 issue 2 3 (0.63 score)
A Conditioned Forecasting Model: A-priori Screening Validation Testing Frank Heilig and Edward J. Lusk... Context The forecasting literature over the last three decades documents that judgmental conditions on the performance of the forecasting model are often used to rationalize the acceptance of the inte... International Business Research 2022 vol. 15 issue 5 63 (0.62 score)
Out of the Box Artificial Intelligence (OBAI): The Beginning of a New Era in Artificial Intelligence Satish Gajawada and Hassan M. H. Mustafa... The main purpose of writing this article is to unify all the OUT OF THE BOX ideas (under Artificial Intelligence) invented by the corresponding author of this work during the period (2013-2022) under ... Computer and Information Science 2022 vol. 15 issue 2 6 (0.6 score)
Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios Thiago de Oliveira Souza... This paper starts by successfully replicating all the main results in Kelly and Pruitt (2013) for the return on the market—and providing some evidence of market premium predictability—based on the... Critical Finance Review 2022 vol. 11 issue 2 361-373 (0.54 score)
Stability of Solutions to Systems of Nonlinear Differential Equations with Discontinuous Right-Hand Sides: Applications to Hopfield Artificial Neural Networks Ilya Boykov Vladimir Roudnev Ilya Boykov: Department of High... In this paper we study the stability of solutions to systems of differential equations with discontinuous right-hand sides. We have investigated nonlinear and linear equations. Stability sufficient co... Mathematics 2022 vol. 10 issue 9 1-16 (0.48 score)
gym (#1 ML-Quant) A toolkit for developing and comparing reinforcement learning algorithms.... (0.27 score) Days Since Last Update: 2; Created: 2016-04-27; Stars: 27666
EliteQuant (#2 ML-Quant) A list of online resources for quantitative modeling, trading, portfolio management... (0.22 score) Days Since Last Update: 13; Created: 2017-11-21; Stars: 2020
borg (#3 ML-Quant) Deduplicating archiver with compression and authenticated encryption.... (0.18 score) Days Since Last Update: 16; Created: 2015-05-12; Stars: 8289
mljar-supervised (#4 ML-Quant) Python package for AutoML on Tabular Data with Feature Engineering, Hyper-Parameters Tuning, Explanations and Automatic Documentation... (0.17 score) Days Since Last Update: 14; Created: 2018-11-05; Stars: 1896
tseries-patterns (#5 ML-Quant) trend / momentum and other patterns in financial timeseries... (0.15 score) Days Since Last Update: 40; Created: 2020-07-11; Stars: 128
python-cheatsheet (#6 ML-Quant) Comprehensive Python Cheatsheet... (0.15 score) Days Since Last Update: 20; Created: 2018-01-25; Stars: 28949
pgbm (#7 ML-Quant) Probabilistic Gradient Boosting Machines... (0.15 score) Days Since Last Update: 33; Created: 2021-05-17; Stars: 87
streamlit (#8 ML-Quant) Streamlit — The fastest way to build data apps in Python... (0.15 score) Days Since Last Update: 20; Created: 2019-08-24; Stars: 18926
pymc (#9 ML-Quant) Probabilistic Programming in Python: Bayesian Modeling and Probabilistic Machine Learning with Aesara... (0.15 score) Days Since Last Update: 20; Created: 2009-05-05; Stars: 6557
medium_articles (#10 ML-Quant) Scripts/Notebooks used for my articles published on Medium... (0.14 score) Days Since Last Update: 21; Created: 2018-10-28; Stars: 336

Blogs Top

The Fed Isn't Federal - And Other Odd Things In Finance ( To trained eyes this article may seem frivolous or obvious. But not all eyes in quantitative finance are trained inthe same way. The field is comprised of peopl ... (; 2022-05-15)
The Roundtrip (Shyam Sunder) Landing hard ... (; 2022-05-15)
Standing on the Shoulder of Giants (Maximilian Wimmer) Using a Simple Python Live Trading Framework with Zipline Interface ... (; 2022-05-14)
Selecting a Stock Market Data (Web) API: Not So Simple (Portfolio Optimizer) I am sometimes asked if I recommend any stock market data (web) API for a personal use, especially because I mention Alpha Vantage in a couple of previous posts1. See for example Repli ... (; 2022-05-11)
Dali's Whiskers: How To Improve a Boxplot ⋆ Quantdare (Quantdare) How to present data to stakeholders in meaningful and efficient way: Tukey's enhanced boxplot with extended percentiles. ... (; 2022-05-11)
C++ will be used for the next 50-100 years in financial services (QuantNet Community) If you're toying with the idea of learning C++ for a job in financial services, drawn by the promise of huge pay but put off by the awareness that it's really not an easy language to earn -... ... (; 2022-05-11)
Algoritmik Trade Nedir? (Paratica) Algoritmik trading en genel çerçevede yatırımcıların işlemlerini belirli stratejiler vasıtası ile otomatik gerçekleştirebilmelerine verilen… ... (; 2022-05-10)
Getting started with DYDX (Felix) How to set up DYDX, one of a few exchanges that do not require KYC. ... (; 2022-05-09)
Using Neo4j for Graphed Trading with the TD Ameritrade API: (Bryant Avey) Part 1 — Setting up the TDA Developer Account and Creating a Graph ... (; 2022-05-08)
Achieving a well-diversified portfolio based on Graph Theory ⋆ Quantdare (Quantdare) Why not taking advantage of Graph Theory's potential in portfolio management? ... (; 2022-05-05)
Ditch Volatility (CAIAAssociation) By Sorina Zahan, Ph.D., Founder of Aiperion, an R&D, consulting and technology firm that exists to change the way we all think about risk. ... (; 2022-05-05)
Cross Asset Investment Strategy (Amundi Institute) Find the latest edition of our Research team's monthly publication. ... (; 2022-05-04)
AI Trading System: How Does Fast Cash Network(FCN) Work? (Emmanuel Okonkwo) While humans remain a big part of the trading equation, Artificial intelligence (AI) is gradually becoming the game-changer for the… ... (; 2022-05-03)
Should your backtest be vectorized? (Quantitools) There is a point in most strategic designs and quantitative investments rationals nowadays where you start to realize you need a backtest… ... (; 2022-05-03)
Directed Market Makers: Another Path to Internalization? (Optiver) In exchange for greater quoting obligations, directed market makers (DMMs) receive special privileges in the U.S. options market, like larger allocations of orders. We ask whether the DMM model still ... (; 2022-05-02)
Pierre Penet and Juan Flores Zendejas, "Sovereign Debt Diplomacies: Rethinking Sovereign Debt from Colonial Empires to Hegemony" (Oxford UP. 2021) (Various) Pierre Penet and Juan Flores Zendejas' book Sovereign Debt Diplomacies: Rethinking Sovereign Debt from Colonial Empires to Hegemony (Oxford UP. 2021) aims to revisit the meaning of sovereign debt in r (2022-05-31)
Charlie Eaton, "Bankers in the Ivory Tower: The Troubling Rise of Financiers in US Higher Education" (U Chicago Press, 2022) (Various) Elite colleges have long played a crucial role in maintaining social and class status in America while public universities have offered a major stepping-stone to new economic opportunities. However, a (2022-05-31)
Episode 252: Vendor lock-in and interoperability (WatersTechnology) James Crosby, founder and CEO of data management firm Fencore based out of Singapore, joins Wei-Shen on the podcast this week. They talk about the risks of vendor lock-in and how firms—both end-users (2022-05-30)
School Reopening Analysis (Data Skeptic) Carly Lupton-Smith joins us today to speak about her research which investigated the consistency between household and county measures of school reopening. Carly is a doctoral researcher in Biostatist (2022-05-30)
Michael Green - The Active Impact of Passive Investing (S5E1) (Corey) In this episode I speak with Michael Green, Chief Strategist as Simplify ETFs.  In a first for the Flirting with Models podcast, we recorded this episode live at the ETF Exchange in Miami in early Apr (2022-05-30)
Adam Parker on Strategies and Valuations (Bloomberg) Bloomberg Radio host Barry Ritholtz speaks with Adam Parker, who is the founder and CEO of Trivariate Research LP. From 2010 to early 2017, Adam was the chief US equity strategist and director of glob (2022-05-28)
Streaming data with ease. With Chip Kent from Deephaven Data Labs (Ep. 198) (Various) In this episode, I am with Chip Kent, chief data scientist at Deephaven Data Labs. We speak about streaming data, real-time, and other powerful tools part of the Deephaven platform.   Links Deephaven (2022-05-27)
#418 – Mebisode (Meb Faber) In this Mebisode, Meb reads his post from February 2022 titled “Red Light," which discussed the risk of an expensive market entering a downtrend. As he said in the piece, "historically speaking, marke (2022-05-26)
#367: Say Hello to PyScript (WebAssembly Python) (Michael Kennedy ) Despite Python being overwhelmingly popular and positive, there are major areas of computing where Python is not present. Most notably on mobile and on the frontend side of the web. PyScript, a new pr (2022-05-26)
ReSolve Riffs with Rob Van Wielingen on Systematic All Weather Investing (Invest Resolve) Our guest this week was Rob Van Wielingen, President & CEO of Viewpoint Investment Partners, a boutique investment management firm offering systematic strategies to private and institutional inves (2022-05-26)
#417 – Andrew Peck, Baron Capital – A Growth Manager’s Take on The Market (Meb Faber) Today’s guest is Andrew Peck, co-CIO for Baron Capital, which is known for its long-term, fundamental, active approach to growth investing. In today’s episode, we’re talking to a growth manager to hea (2022-05-26)
Emoji as a Predictor (Data Skeptic) Emojis are arguably one of the most effective ways to express emotions when texting. In today’s episode, Xuan Lu shares her research on the use of emojis by developers. She explains how the study of e (2022-05-26)
Gerard O’Reilly on Academic Research and Stocks (Bloomberg) Bloomberg Radio host Barry Ritholtz speaks with Gerard O’Reilly, who is co-chief executive officer and chief investment officer at Dimensional Fund Advisors, which has $650 billion in assets under man (2022-05-20)
#416 – Jan van Eck, VanEck – Thematic Investing, Gold & Digital Assets, and Financial History (Meb Faber) Today’s guest is Jan van Eck, President & CEO of VanEck, which offers value-added exposures to emerging industries, an investment management firm that manages $85 billion.  In today’s episode, Jan (2022-05-18)
ReSolve Riffs with Andy Constan about Successful Macro Trading on Liquidity, Flows & Sentiment (Invest Resolve) This week we had the pleasure of speaking with Andy Constan (CEO / CIO at Damped Spring Advisors) and prolific member of the FinTwit community under the @dampedspring penname. Our conversation spanned (2022-05-18)
Boaz Weinstein on Credit Investments (Bloomberg) Bloomberg Radio host Barry Ritholtz speaks with Boaz Weinstein, who is founder and chief investment officer of Saba Captal Management. Prior to launching Saba as an independent firm in 2009, Weinstein (2022-05-13)
Alex Lipton (Quantcast) Lipton on automated FX market-making and the perils of stablecoins (2022-05-13)
Jennifer Castle (Pierre Pinson) Jennifer Castle is an Economics Fellow at Magdalen College, Oxford University and a research fellow at Climate Econometrics, Oxford University.Jennifer talks about economic forecasting models and the (2022-05-12)
Fundamental Quant CEO Milind Sharma (Dimitri) Milind Sharma is the QuantZ / QMIT CEO with a deep background in quantamental investing. His experience started with a solid education from Carnegie Mellon with the Milind Sharma is the QuantZ / QMIT (2022-05-10)
#413 – Antti Ilmanen, AQR – Investing Amid Low Expected Returns: Making the Most When Markets Offer the Least (Various) Today’s guest is Antti Ilmanen, Principal and Global Co-head of the Portfolio Solutions Group at AQR Capital Management and author of Investing Amid Low Expected Returns: Making the Most When Markets (2022-05-09)
Alex Gurevich on Global Macro Investing Strategies (Bloomberg) Bloomberg Radio host Barry Ritholtz speaks with Alex Gurevich, the founder and chief investment officer of San Francisco-based global macro investment firm HonTe Advisors. Gurevich, who has more than (2022-05-07)
Creator Economy: Kickstarting Your Community with Sahil Bloom (Jump Capital) In the latest episode of The Jump Off Point, successful investor, entrepreneur, and creator, Sahil Bloom, sits down with Jump Capital's Saaya Nath to explore the processes that can kickstart a creator (2022-05-06)
Eduardo Repetto: Building Better Portfolios, From Aeronautics To Avantis (CFA Society) Our guest today is Eduardo Repetto, Chief Investment Officer for Avantis Investors. Avantis was established to help clients achieve their investment goals through a persistent focus on providing well- (2022-05-05)
CFA Society New York Events (Alternative Data) (Various; Manual) ...Quantitative Investing Group Meeting (2022-06-03)
11th Conference of the Financial Engineering and Banking Society (United Kingdom Fotios Pasiouras; AFA) University of Portsmouth...Guest Speakers: Mariassunta Giannetti Stockholm School of Economics Sweden & Marcin Kacperczyk Imperial College London UK Co-organizers: University of Portsmouth Business School (UK) & Montpellier Business School (France) Special issues: Financial Markets Institutions & Instruments and Financ (2022-06-06)
3rd IMA Conference on Mathematics of Finance (and Climate Change Risk) (United Kingdom Pamela Bye; AFA) Instistute of Mathematis and its Applications...This conference on financial mathematics will be focusing on pressing challenges in finance and insurance produced by climate change demographic developments and the ever-increasing dominance of data and information. Alongside the challenges this three-day conference’s goal will devote time to th (2022-06-08)
Recent Advances in Asset Pricing and Asset Management (Spain ESTELA MARTINEZ GARRIDO; AFA) Universidad Carlos III de Madrid...Carlos III University will host the conference “ Recent Advances in Asset Pricing and Asset Management .” The conference will feature talks by top internationally renowned Finance academics and will be a unique opportunity for academics policy makers and practitioners to discuss the latest develop (2022-06-10)
Future: 22nd of June (Oxford-Man NLP in Finance and Economics conference)

YouTube Top

HKML S4E8 - Nonstationary Temporal Matrix Factorization for Multivariate Time Series Forecasting (Various) Nonstationary Temporal Matrix Factorization for Multivariate Time Series Forecasting Speaker: Xinyu Chen Abstract: Modern time series datasets are often high-dimensional, incomplete/sparse, and nonsta... (2022-05-31)
TS-6: Deep learning for time series (Abhishek Thakur) Abstract: Time series are, first and foremost, sequences - so it's only natural to apply sequence modeling approach from deep learning to such problems. In this episode we present the vintage DL metho... (2022-05-31; Views: 2581)
Importing Data for ML | Trading with Machine Learning Regression Models (Quantra) Part of the course on Trading with Machine Learning Regression: In this video, you will learn how to import the required ... (2022-05-30; Views: 7)
Is Data Loss a Lie? (Dimitri Bianco) One of the most common statements I hear is, "you shouldn't difference you data because you will have data loss." This is partially true however it is worse to do nothing and accept the fact that your... (2022-05-30; Views: 648)
Nested Clustered Optimization (NCO) (Hudson & Thames) Learn more at: The purpose of the Nested Clustered Optimization(NCO) algorithm is to introduce hierarchy logic into the Mean-Variance Optimization algorithm and ... (2022-05-29; Views: 5)
5 Ways to Maximize Alpha by Leveraging NLP Earnings Intelligence (Quants Hub & BTRM) We discuss the five most recent research papers that illustrate the new ways to leverage NLP earnings intelligence to capture more alpha. 0:00 Introduction 01:23 From Earnings Call Transcripts to Earn... (2022-05-29; Views: 5)
Theory-Implied Correlation Matrix (TIC) (Hudson & Thames) Learn more at: A problem of empirical correlation matrices is that they are purely observation-driven, and do not impose a structural view of the investment univ... (2022-05-28; Views: 141)
Volatility Trading Strategies for Beginners | An Introduction (Quantra) Part of the course Volatility Trading Strategies for Beginners: Welcome to this course on Volatility Trading Strategies for Beginner... (2022-05-28; Views: 350)
Wrapping up MVO and learning about Denoising, Detoning, and Shrinkage methods. (Hudson & Thames) Learn more at: Part 2 wraps up Mean-Variance portfolio optimization (MVO). Exploring the disadvantages of Modern Portfolio Theory and introduces Denoising, Deton... (2022-05-27; Views: 156)
Posted by Jacques Joubert (Comments: 0) *** Market Microstructure - Quantitative Research ***I am happy to share my last paper on market impact which completes the previous ones that I published on equity and options market during the last ... (2022-05-18; Score: 10; Likes: 0)
Posted by Charles-Albert Lehalle (Comments: 5) venez échanger le mardi 31 mai à Paris sur les stratégies d'investissement systématiques avec Marcos Lopez de Prado, Gautier Marti, Marie Brière, Hugues Langlois, Jeroen VK Rombouts et votre serviteur... (2022-05-20; Score: 9; Likes: 87)
Posted by Harvey Stein (Comments: 66) I’m happy to share that I’m starting a new position as Senior VP, Quant Research at Two Sigma!... (2022-05-03; Score: 9; Likes: 500)
Posted by Prof. Alexander Lipton (Comments: 2) Continuing my previous post, I'm happy to present the latest episode of Quantcast with the quant finance editor at, Mauro Cesa, In addition to stablecoins, we also ... (2022-05-13; Score: 8; Likes: 42)
Posted by Marcos Lopez de Prado (Comments: 3) On May 31 in Paris, Institut Louis Bachelier will welcome researchers from the Abu Dhabi Investment Authority (ADIA), to discuss quantitative asset management in the machine age.The talks will be foll... (2022-05-24; Score: 7; Likes: 90)
Posted by jean-philippe bouchaud (Comments: 1) In 1972, the future Nobel Prize winner Philip Anderson published an article in "Science" entitled "More is Different", in which he explained the concept of emergence in a remarkably clear manner: the ... (2022-05-05; Score: 7; Likes: 18)
Posted by Artur Sepp (Comments: 9) I will talk about modeling the dynamic of implied volatility surfaces of crypto assets (#btc, #eth ) at Imperial College in London on Wednesday the 18th May. I will present an arbitrage-free framework... (2022-05-04; Score: 7; Likes: 170)
Liked by Igor Halperin (Comments: 8) Tuesday, May 24, 5:30PM-6:45PM (Eastern Time): Join us for Igor Halperin's online talk "Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations" in NYU... (2022-05-13; Score: 6; Likes: 86)
Posted by Igor Halperin (Comments: 6) I will be giving an online presentation tomorrow Tuesday, May 24, 5:30PM-6:45PM (Eastern Time) on "Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendati... (2022-05-23; Score: 5; Likes: 56)
Posted by Charles-Albert Lehalle (Comments: 0) very happy to give a talk online at the Bachelier Finance Society One World Seminar in two days (Thursday the 26th of May). Thanks to the organizers, for the first time I will share with attendees my ... (2022-05-24; Score: 5; Likes: 51)
Posted by Petter Kolm (Comments: 0) I am looking forward to presenting at the Machine Learning and Quantitative Finance Workshop on June 1 at the Oxford-Man Institute of Quantitative Finance, University of Oxford. More info here:https:/... (2022-05-20; Score: 5; Likes: 55)
Posted by Harvey Stein (Comments: 1) Our white paper on default modeling is on Nick Costanzino, Albert Cohen and I found that looking at stopping times in terms of their conditional survival curves yields a gen... (2022-05-17; Score: 5; Likes: 75)
Posted by Jacques Joubert (Comments: 0) ML-Quant now has 6 additional web scrapers, for a total of 30 scrapers working 24/7 to 'find' trending content in the quant finance and machine learning space. Today, I added a script to find the top ... (2022-05-17; Score: 5; Likes: 3)
Posted by Matthew Dixon (Comments: 7) For me personally, one of the holy grails is to tie machine learning and finance to climate change - that is using ML in finance to tackle some of the most challenging problems of our time. In additio... (2022-05-12; Score: 5; Likes: 92)
Liked by Peter Cotton, PhD (Comments: 52) Coinbase said in its earnings report Tuesday that it holds $256 billion in both fiat currencies and cryptocurrencies on behalf of its customers. Yet the exchange noted that in the event it ever declar... (2022-05-11; Score: 5; Likes: 53)
Posted by Prof. Alexander Lipton (Comments: 18) Section 8.4.5 of my and Adrien Treccani, Ph.D.'s book Blockchain And Distributed Ledgers: Mathematics, Technology, And Economics, published in 2021, is called Dynamically Stab... (2022-05-10; Score: 5; Likes: 73)
Posted by Carl Wells (Comments: 33) Statistician George Box said: “All models are wrong, but some are useful.” Unfortunately, “Economists are like artists. They tend to fall in love with their models.” The art of economics involves dist... (2022-05-30; Score: 4; Likes: 80)
Liked by Prof. Alexander Lipton (Comments: 1) I am delighted to present the recording of Artur Sepp's presentation on modeling volatility of crypto assets:#btc, #eth... (2022-05-29; Score: 4; Likes: 34)
Posted by Saeed Amen (Comments: 6) I wrote a report showing how machine readable Financial Times news can be used to trade large cap US equities. Read the blog summary on the Financial Times website at & full r... (2022-05-26; Score: 4; Likes: 65)
Posted by Petter Kolm (Comments: 0) I am looking forward to speaking about "Machine Learning Applications in Trading and Portfolio Management" at AImageLab Unimore on June 7. #trading #quant #portfoliomanagement #machinelearning #financ... (2022-05-26; Score: 4; Likes: 36)

Twitter Top Links

Discussed Akey-Robertson-Simutin's "Noisy Factors" paper at the SFS Cavalcade today. Unlike ARS, I find using old versions of FF3 factors has roughly no effect on anomalies and the replication debate. Slides: - Direct link (tweet) - achenfinance (48.0; 2022-05-25)
Web Scraping with Python: Everything you need to know (2022) via @ScrapingBee #Python #WebScraping - Direct link (tweet) - PythonWeekly (478.0; 2022-05-23)
Today's reading list: 1. 2. 3. 4. 5. 6. - Direct link (tweet) - QuantSymplectic (66.0; 2022-05-26)
Speed Up Web Scraping with Concurrency in Python via @ZenRowsHQ #Python #WebScraping - Direct link (tweet) - PythonWeekly (312.0; 2022-05-25)
"Cointegration-based multivariate statistical arbitrage": "Statistical arbitrage strategies are based on the same principles as pairs trading strategies, but involve...several cointegrated assets instead of just a pair." - Direct link (tweet) - macro_srsv (44.0; 2022-05-23)
Very interesting paper that links the optimal strategy turnover to the liquidity of the asset and to the autocorrelation of the alpha forecast signals - Direct link (tweet) - ArturSepp (26.0; 2022-05-26)
Visual, Interactive Articles About Machine Learning: Random Forests Decision-Trees Bias-Variance Tradeoff - Direct link (tweet) - carlcarrie (42.0; 2022-05-23)
"Option Momentum": "Options with high historical returns continue to significantly outperform options with low historical returns over horizons ranging from 6 to 36 months." - Direct link (tweet) - macro_srsv (27.0; 2022-05-24)
Today's reading list: 1. 2. 3. 4. 5. 6. - Direct link (tweet) - QuantSymplectic (27.0; 2022-05-13)
PyQuant News has the best resources for developers using Python for scientific computing and quantitative analysis. - Direct link (tweet) - pyquantnews (18.0; 2022-05-24)
I will talk about modeling the dynamic of implied volatility surfaces of crypto #btc #eth assets at Imperial College in London the 18th May. I will present an arbitrage-free framework equipped with a stochastic volatility model. - Direct link (tweet) - ArturSepp (10.0; 2022-05-04)
Hi Everyone, pls check out our brand-new fully-operational #blockchain: (@ableblox). We deliver and install it for any of your #smartcontracts, ensuring #transparency, #trust and #realtime implementation. Think #mortgages, #insurance and more. Reach out! - Direct link (tweet) - irenealdridge (6.0; 2022-05-26)
8 Visualizations with Python to Handle Multiple Time-Series Data by Boriharn K in @TDataScience - Direct link (tweet) - erykml1 (1.0; 2022-05-06)
In my latest @TDataScience article I covered estimating the performance of an ML model in the absence of ground truth - Direct link (tweet) - erykml1 (1.0; 2022-05-12)
Enjoyed sharing our innovation process insights at the Alternative Data Podcast - Direct link (tweet) - msamonov (2.0; 2022-05-23)
Another good one on NFIP: - Direct link (tweet) - RichmanRonald (2.0; 2022-05-26)
An exploration about clustering algorithms, concretely hierarchical clustering, as one of the main techniques in the field of unsupervised learning by Clara Díaz-Pinés #DataScience #MachineLearning #ArtificialIntelligence - Direct link (tweet) - quantdare (2.0; 2022-05-25)
Check out the research paper from Man Group's Gilles Gharios, Nick Clarke and Darrel Yawitch on the topic of Dealing with Hidden Equity Risk in M&A Deals - Direct link (tweet) - ManQuantTech (3.0; 2022-05-27)
@ArturSepp @EmanuelDerman Need to read this paper but thinking about a recent Glasserman paper ( ) and perhaps having time-depending weights would be helpful - Direct link (tweet) - MarcosCarreira (2.0; 2022-05-01)
Deep Learning vs. Gradient Boosting: Benchmarking state-of-the-art machine learning algorithms for credit scoring #QuantLinkADay - Direct link (tweet) - saeedamenfx (5.0; 2022-05-25)
Take a look back at QuantMinds International 2021 with our official photography album, featuring networking, panel discussions, keynote speakers and much more! Check out the full album for an insight into this year’s event on 7-10 November >> #QuantMinds - Direct link (tweet) - QuantMinds (3.0; 2022-05-25)
Never miss an update on the latest algo trading, Python, R, and #DataScience developments. Sign up for the IBKR Quant Newsletter now! #Python #rstats #Econometrics #AlgoTrading #DataVisualization - Direct link (tweet) - IBKR_QB (1.0; 2022-05-17)
In this featured article, Benjamin Smith from bensstats shows us how to fix R's "messy string concatenation" with a special function: #DataScience #rstats - Direct link (tweet) - IBKR_QB (1.0; 2022-05-20)
Has anyone used experiment tracking tools from MLOps in the context of trading strategies? You would easily be able to track the number of trials, opening the door for advanced tearsheets that compute the prob of overfitting. Thinking of this idea: - Direct link (tweet) - JacquesQuant (2.0; 2022-05-13)
How should banks be handling the IBOR transition? That’s exactly what Suman Datta, Head of portfolio, Quantitative research, Lloyds Bank talked about when he shared from the model risk perspective what his experience is of the IBOR discontinuation. - Direct link (tweet) - QuantMinds (2.0; 2022-05-19)
inventree / InvenTree Open Source Inventory Management System - Direct link (tweet) - PythonHub (31.0; 2022-05-24)
Automate All the Boring Kubernetes Operations With Python Learn how you can use Python’s Kubernetes Client library to automate all the boring Kubernetes tasks and operations. - Direct link (tweet) - PythonHub (25.0; 2022-05-25)
The Journal of Financial Data Science (@PM_Research_) has published and excellent new paper by Laudy, Denev and Ginsberg. Building Probabilistic Causal Models Using Collective Intelligence @Alexander_Denev - Direct link (tweet) - lopezdeprado (5.0; 2022-05-03)
I've realized I have not written articles in a looong time. Here is a new one: How #institutional #investor activity shapes the markets and what's in store (with @AbleMarkets): - Direct link (tweet) - irenealdridge (1.0; 2022-05-05)
Securing AWS Lambda function URLs - Direct link (tweet) - fullstackpython (15.0; 2022-05-23)
Web applications 101 - Direct link (tweet) - fullstackpython (7.0; 2022-05-19)
Why not taking advantage of Graph Theory's potential in portfolio management? by Gonzalo Sainz Ponce #datascience #assetmanagement #Finance - Direct link (tweet) - quantdare (0.0; 2022-05-05)
see for example (but honestly they are all good and worth the read) - Direct link (tweet) - dereknow (0.0; 2022-05-18)
Central Bank Digital Currency and Banks #QuantLinkADay - Direct link (tweet) - saeedamenfx (0.0; 2022-05-21)
Applications of topological data analysis (#TDA) to images, time series, correlation matrices, and graphs, with the Euler characteristic and the Fréchet mean. - Direct link (tweet) - zoonek2 (0.0; 2022-05-03)

Reddit Top

For beginners: Start with this (Upvotes: 29) Mltraders; 2022-05-14 (Upvote Ratio: 1)
A social life of a quant (Upvotes: 45) Quant; 2022-05-19 (Upvote Ratio: 0.97)
Quant Comic Series (Upvotes: 26) Quant; 2022-05-05 (Upvote Ratio: 0.96)
T-SNE to view and order your Spotify tracks (r/MachineLearning) (Upvotes: 34) Datascienceproject; 2022-05-08 (Upvote Ratio: 0.93)
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