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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,657 papers · 148 categories

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0111 · Dec 202419922001200920172026
3 results for “GMADL”
Generalized Mean Absolute Directional Loss as a Solution to Overfitting and High Transaction Costs in Machine Learning Models Used in High-Frequency Algorithmic Investment Strategiesq-fin.CP

GMADL loss function improves model performance and reduces transaction costs.

problem Overfitting and high transaction costs in high-frequency algorithmic trading models.
method Introduces GMADL loss function for better optimization and feature selection.
result GMADL produces superior results and reduces transaction costs compared to standard loss functions.
GMADLloss functionoverfittingtransaction costsalgorithmic trading
2024-12-24abs ↗pdf ↗
Informer in Algorithmic Investment Strategies on High Frequency Bitcoin Dataq-fin.TR

Informer model with GMADL loss outperforms benchmarks in high frequency Bitcoin trading.

problem Developing automated trading strategies for high frequency Bitcoin data.
method Informer architecture with RMSE, GMADL, and Quantile loss functions.
result Informer model with GMADL loss function outperforms benchmarks in trading outcomes.
InformerGMADL lossHigh frequency BitcoinAutomated tradingTrading strategies
2025-03-23abs ↗pdf ↗
Explainable Patterns in Cryptocurrency Microstructureq-fin.TR

Cryptocurrency patterns stable across market caps, validated by microstructure theory.

problem Stable patterns in cryptocurrency microstructure across different market caps.
method Unified CatBoost modeling pipeline with time-series cross validation, validated by backtests.
result Feature rankings and partial effects are stable across assets despite heterogeneous liquidity and volatility.
cryptocurrencymicrostructurepredictive importanceSHAP dependenceflash crash
2026-01-31abs ↗pdf ↗