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.
Study finds Indian mutual funds adjust cash holdings based on inflows, impacting stock purchases.
Active management is a term that has many meanings and we have found the defining characteristics needed for success as an "active manager" elusive within the literature. In this paper we offer a set of criteria that defines an active manager and his success. In order to facilitate this, we introduce several definition…
We develop a simple stock selection model to explain why active equity managers tend to underperform a benchmark index. We motivate our model with the empirical observation that the best performing stocks in a broad market index often perform much better than the other stocks in the index. Randomly selecting a subset o…
A new indicator measures project risk from activity durations.
This paper explores portfolio management strategies to maximize alpha and minimize beta.
The study analyzes ETFs' portfolio optimization and tail-risk management.
Study finds stock selection ability of Chinese mutual funds is better than asset allocation ability.
Paper discusses how financial institutions' model risk management can benefit academic research.
The Heston model optimizes portfolio management based on real market data.
Study shows mutual funds add little value for uninformed investors.
Study shows big winner stocks significantly impact passive and active investment strategies.
Study finds corruption negatively impacts firm performance.
As more end devices are getting connected, the Internet will become more congested. Various congestion control techniques have been developed either on transport or network layers. Active Queue Management (AQM) is a paradigm that aims to mitigate the congestion on the network layer through active buffer control to avoi…
Smartphones have been the most popular and widely used devices among means of communication. Nowadays, human activity recognition is possible on mobile devices by embedded sensors, which can be exploited to manage user behavior on mobile devices by predicting user activity. To reach this aim, storing activity character…
We present conditions under which positive alpha exists in the realm of active portfolio management- in contrast to the controversial result in Jarrow (2010, pg. 20) which implicates delegated portfolio management by surmising that positive alphas are illusionary. Specifically, we show that the critical assumption used…
We consider a continuous-time model for inventory management with Markov modulated non-stationary demands. We introduce active learning by assuming that the state of the world is unobserved and must be inferred by the manager. We also assume that demands are observed only when they are completely met. We first derive t…
Study improves machine learning for long-term financial portfolio management.
This work models the interconnection of company's investment managers' representations and the market attraction of its shares. The models that reflect the connection of the company's market effectiveness indices and parameters of its economic activity are created on the basis of the Mean-Variance Analysis and Regressi…
Risk assessment is a major challenge for supply chain managers, as it potentially affects business factors such as service costs, supplier competition and customer expectations. The increasing interconnectivity between organisations has put into focus methods for supply chain cyber risk management. We introduce a gener…
Turnover-adjusted IR is always lower than classic IR, suggesting managers can improve performance by limiting turnover.
Study uses ML to analyze how interest rates affect fund returns, finding gradient boosting is effective.
We present results from a set of experiments in this pilot study to investigate the causal influence of user activity on various environmental parameters monitored by occupant carried multi-purpose sensors. Hypotheses with respect to each type of measurements are verified, including temperature, humidity, and light lev…
dYdX updates liquidity provider incentives to enhance trading efficiency.
The most widely used activation functions in current deep feed-forward neural networks are rectified linear units (ReLU), and many alternatives have been successfully applied, as well. However, none of the alternatives have managed to consistently outperform the rest and there is no unified theory connecting properties…
Portfolio management problems are often divided into two types: active and passive, where the objective is to outperform and track a preselected benchmark, respectively. Here, we formulate and solve a dynamic asset allocation problem that combines these two objectives in a unified framework. We look to maximize the exp…
Erbium-doped fiber amplifier (EDFA) is an optical amplifier/repeater device used to boost the intensity of optical signals being carried through a fiber optic communication system. A highly accurate EDFA model is important because of its crucial role in optical network management and optimization. The input channels of…
A new method tracks market performance without active management.
Nowadays, mobile telephony interruptions in our daily life activities are common because of the inappropriate ringing notifications of incoming phone calls in different contexts. Such interruptions may impact on the work attention not only for the mobile phone owners but also the surrounding people. Decision tree is th…
ARMS automates fraud detection rules to improve efficiency and accuracy.
In financial asset management, choosing a portfolio requires balancing returns, risk, exposure, liquidity, volatility and other factors. These concerns are difficult to compare explicitly, with many asset managers using an intuitive or implicit sense of their interaction. We propose a mechanism for learning someone's s…
Machine learning improves wildfire science and management, but requires expert knowledge.
Automates detection of fast-ramped flexibility events for DSOs.
The way developers collaborate inside and particularly across teams often escapes management's attention, despite a formal organization with designated teams being defined. Observability of the actual, organically formed engineering structure provides decision makers invaluable additional tools to manage their talent p…
The paper introduces a new divergence for portfolio management to outperform a benchmark.
AI advances impact asset management, offering new decision-making capabilities.
We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented for markets prohibiting sh…
This research introduces a control system for managing DeFi money supply.
Topological Data Analysis (TDA) is a recent approach to analyze data sets from the perspective of their topological structure. Its use for time series data has been limited to the field of financial time series primarily and as a method for feature generation in machine learning applications. In this work, TDA is prese…
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe portfolio manager market timing behavior, in a canonical multifactor asset pricing model. First, we present a spectral test for market timi…
In image classification tasks, the ability of deep CNNs to deal with complex image data has proven to be unrivalled. However, they require large amounts of labeled training data to reach their full potential. In specialised domains such as healthcare, labeled data can be difficult and expensive to obtain. Active Learni…
Financial potential is an important part of enterprise activities. The technique of the enterprise's financial potential assessment is offered in the paper. It is presented by particular stages, where each stage is related to a certain task. The characteristics of the company's financial potential, based on the analysi…
The internet activity records (IARs) of a mobile cellular network posses significant information which can be exploited to identify the network's efficacy and the mobile users' behavior. In this work, we extract useful information from the IAR data and identify a healthy predictability of spatio-temporal pattern within…
This Ph.D. thesis deals with the optimization of several renewable energy resources development as well as the improvement of facilities management in oceanic engineering and airports, using computational hybrid methods belonging to AI to this end. Energy is essential to our society in order to ensure a good quality of…
The autonomous trading agent is one of the most actively studied areas of artificial intelligence to solve the capital market portfolio management problem. The two primary goals of the portfolio management problem are maximizing profit and restrainting risk. However, most approaches to this problem solely take account …
The paper introduces a new financial market for environmental indices to attract investors.
A new method prioritizes project risks using Monte Carlo Simulation.
Learning data representations that reflect the customers' creditworthiness can improve marketing campaigns, customer relationship management, data and process management or the credit risk assessment in retail banks. In this research, we adopt the Variational Autoencoder (VAE), which has the ability to learn latent rep…
Human activity recognition (HAR) is a classification task that aims to classify human activities or predict human behavior by means of features extracted from sensors data. Typical HAR systems use wearable sensors and/or handheld and mobile devices with built-in sensing capabilities. Due to the widespread use of smartp…