Develops multifactor risk models for equities using various factors.
problem Building robust risk models for equities using different factors.
method Constructs multifactor risk models via style factors, principal components, and industry factors. Uses the Russian-doll risk model for short horizons.
result Generalizes heterotic risk model to include arbitrary non-industry factors.
We give a simple explicit algorithm for building multi-factor risk models. It dramatically reduces the number of or altogether eliminates the risk factors for which the factor covariance matrix needs to be computed. This is achieved via a nested "Russian-doll" embedding: the factor covariance matrix itself is modeled v…
Industry evolution caused by various reasons, among which technology progress driving industry development has been approved, but with the new trend of industry convergence, inter-industry convergence also plays an increasing important role. This paper plans to probe the industry synergetic evolution mechanism based on…
GRU-PFG model extracts inter-stock correlations from stock factors using graph neural networks.
problem Limited effectiveness of models relying solely on stock factors for capturing stock correlations.
method Project stock factors into a graph and use graph neural networks to extract inter-stock correlations.
result Achieves better prediction results than models relying solely on stock factors and comparable to second category models.
Analyzes Indian chemical industry post-Covid.
problem Global uncertainty impacts chemical industry performance.
method Fundamental analysis of key players and trends.
result Various geopolitical and macroeconomic trends shape industry performance.
Develops a deep multi-factor model for factor investing with clear financial insights.
problem Lack of interpretability and unclear financial insights in non-linear factor models.
method Industry and market neutralization modules, graph attention modules, factor-attention module.
result Demonstrates effectiveness in factor investing with real-world stock market data.
This paper pretends to analyze the importance which the natural advantages and local resources are in the manufacturing industry location, in relation with the "spillovers" effects and industrial policies. To this, we estimate the Rybczynski equation matrix for the various manufacturing industries in Portugal, at regio…
Machine learning creates non-factor covariance matrices for risk models.
problem Creating robust risk models for financial portfolios.
method Developed an explicit algorithm and source code for machine learning risk models.
result Machine learning models outperform traditional risk models in empirical backtests.
The paper tests stock return models and uses LSTM to predict stock returns.
problem Validating stock return models and predicting stock returns.
method Used Fama-French three-factor, four-factor, and five-factor models; also used LSTM model.
result Fama-French five-factor model shows better validity for stock returns.
Concurrent engineering taking into account product life-cycle factors seems to be one of the industrial challenges of the next years. Cost estimation and management are two main strategic tasks that imply the possibility of managing costs at the earliest stages of product development. This is why it is indispensable to…
We explore what causes business cycles by analyzing the Japanese industrial production data. The methods are spectral analysis and factor analysis. Using the random matrix theory, we show that two largest eigenvalues are significant. Taking advantage of the information revealed by disaggregated data, we identify the fi…
The paper links labor income risk to stock returns using industry portfolio returns.
problem Understanding the impact of sectoral shifts on stock returns.
method Using cross-industry dispersion (CID) as a proxy for unemployment risk, the paper examines the relationship between stock returns and the sensitivity of returns to CID innovations.
result Stocks with high sensitivity to CID have lower expected returns, suggesting they are more exposed to sectoral shifts and unemployment risk.
This study explores factors and enablers of compliance risk in Vietnamese seafood supply chain.
problem Compliance risk in Vietnamese seafood supply chain.
method Comprehensive literature review and expert interviews.
result Three main critical factor groups influencing compliance risk identified.
In this paper we formulate a corporate bond (CB) pricing model for deriving the term structure of default probabilities (TSDP) and the recovery rate (RR) for each pair of industry factor and credit rating grade, and these derived TSDP and RR are regarded as what investors imply in forming CB prices in the market at eac…
sPortfolio visualizes stock portfolios and factor data for better investment analysis.
problem Insufficient intuitive visual analytics for multi-factor stock portfolios.
method Develops a holistic visualization system for risk-factor, multiple-portfolios, and single-portfolios.
result Facilitates actionable insights and market trend understanding through intuitive visual analytics.
Hybrid model combines PCA and RNN for better aerospace stock price prediction.
problem Challenges in predicting stock prices of aerospace companies due to market uncertainty and complexity.
method Combination of Principal Component Analysis (PCA) and Recurrent Neural Networks (RNN).
result PCA improves both accuracy and efficiency of stock price prediction.
New risk factors improve stress testing accuracy.
problem Improving stress testing accuracy with new risk factors.
method Adapted PCA and autoencoders for dimension reduction and interpretation.
result Aggregated risk factors enhance stress testing outcomes.
Paper uses neural networks to analyze oil price impact on Iranian stock and industry indices.
problem Impact of oil price volatility on Tehran stock and industry indices.
method Feed-forward neural networks analysis of two periods: sanctions and post-sanctions.
result Neural networks predict stock and industry indices well, showing significant oil price volatility impact.
Time-varying neural network improves stock return prediction.
problem Predicting stock returns in a time-varying market.
method Online early stopping algorithm for neural network training.
result The proposed algorithm outperforms current methods in predicting monthly U.S. stock returns.
We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant trading with much shorter holding horizons is suboptimal: 1) longer horizon …
Improved portfolio optimization using GAM factor models.
problem Enhancing CVaR portfolio optimization performance.
method Combines autoregressive filters with factor regressions to predict stock returns.
result Substantial improvement in portfolio performances with GAM models.
Flow-based models detect anomalies in industrial time series data.
problem Novelty detection in industrial time series data.
method Normalizing flows, specifically Masked Autoregressive Flows and Free-form Jacobian of Reversible Dynamics.
result Flow-based models outperform traditional methods in novelty detection of industrial time series data.
A model is presented of the market dynamics to emphasis the effects of increasing returns to scale, including the description of the born and death of the adaptive producers. The evolution of market structure and its behavior with the technological shocks are discussed. Its dynamics is in good agreement with some empir…
Algorithm constructs powerful out-of-sample risk models for equities.
problem Creating stable short-term risk models for equities.
method Combines industry classification, principal component diagonality, and factor covariance matrix reduction.
result Improves Sharpe ratio optimization for intraday mean-reversion alphas.
Introduces human capital into asset pricing model for better return prediction.
problem Improving asset pricing models to better predict stock returns.
method Used OLS and IVGMM to estimate six-factor model parameters from four sets of portfolios.
result Human capital component shares predictive power with other factors in explaining stock returns.
The study measures systemic risk using common and tail dependence factors.
problem Measuring systemic risk accurately during economic downturns.
method Modeling systemic risk with a common factor for market-wide shocks and a tail dependence factor for extreme events.
result Measures including a tail dependence factor offer better forecasting of financial stress than measures based solely on a common factor.
Develops a method for stress testing correlations of financial portfolios.
problem Stress testing correlations in financial asset portfolios.
method Parametric representation of correlations, Bayesian variable selection, joint distribution of stress scenarios.
result Inference of worst-case correlation scenarios using stress tests.
In this pedagogical study, carried out by adopting standard mathematical methods of nonlinear dynamics, we have presented some simple analytical models to understand terminal behaviour in industrial growth. This issue has also been addressed from a dynamical systems perspective, with especial emphasis on the concept of…
About the economic growth the Keynesian theorists defend circular and cumulative processes, benefiting the rich localities and harming the poorest, without external interventions. In these processes the Verdoorn law has an important role. For Verdoorn (1949) the productivity growth rate is endogenous and depends of the…
New dataset for industrial machine malfunction detection with domain shifts.
problem Challenges in detecting anomalies due to domain shifts in industrial sounds.
method Created a dataset with domain shifts for five types of industrial machines.
result Significant performance differences between source and target domains.
New method detects financial clustering influenced by sector and geography.
problem Detecting overlapping clusters in financial networks with multiple factors.
method Robust regression to remove sector and geography influences.
result Geography became more important for clustering after the 2008 financial crisis.
Estimates crypto risk premia using hidden factors and finds significant integration with traditional markets.
problem Estimating risk premia in cryptocurrency returns.
method Giglio-Xiu (2021) three-pass approach, controlling for latent factors and non-tradable state variables.
result Latent factors significantly impact crypto returns, highlighting the importance of controlling for unobserved risks.
Study examines how industrial emissions evolve over time in response to various factors.
problem Understanding how firm-level emissions change over time in response to environmental regulation, economic conditions, and organizational constraints.
method Used a time-varying mean-group estimator to link emissions data with firm characteristics and macroeconomic indicators over 1992-2023.
result Firm-level characteristics and aggregate conditions have different impacts on emissions growth at different times.
Deep learning predicts M&A events in industry networks.
problem Predicting M&A behaviors in competitive industries with complex interdependencies.
method Temporal Dynamic Industry Network (TDIN) model using temporal point processes and deep learning.
result Effective M&A event prediction and actionable recommendations.
TRP uses tree-based approach for market-neutral portfolios.
problem Creating non-binary, market-neutral portfolios with signed signals.
method Tree-based portfolio construction with minimum-spanning-tree and sector-anchored variants.
result TRP outperforms HRP in preserving signal direction and managing exposures.
This paper explores how NLP enhances insurance data analysis.
problem Traditional insurance data limitations and need for alternative data.
method Application of NLP techniques to transform and analyze unstructured text data.
result NLP techniques improve insurance data analysis and risk assessment.
Enhances insurance loss models using InsurTech data and machine learning.
problem Traditional insurance loss models lack predictive accuracy due to limited data sources.
method Combining proprietary claims data with InsurTech data and applying machine learning techniques.
result Improved predictive accuracy of the loss model through machine learning.
New method uncovers hidden groups in CDS market not tied to standard industry classifications.
problem Identifying hidden groups in CDS market not tied to standard industry classifications.
method Data-driven approach using Random Matrix Theory to identify internally correlated and mutually anti-correlated communities.
result Introduces a novel default risk model that outperforms traditional alternatives.
Matrix factorization simplifies user-item co-occurrence analysis.
problem Understanding the meaning of low-dimensional matrices in matrix factorization.
method Showed matrix factorization equals calculating eigenvectors of co-occurrence matrices, using RMT insights.
result Low-dimension matrices represent a reduced noise user and item co-occurrence space.
Paper proposes MIM-DRCFR to learn disentangled factors for better treatment effect estimation.
problem Learning disentangled factors precisely for individual-level treatment effect estimation.
method Multi-task learning framework with MI minimization criteria.
result MIM-DRCFR outperforms state-of-the-art methods in treatment effect estimation.
Style Miner generates stable and significant style factors for time series analysis.
problem Finding significant and stable explanatory factors in high-dimensional time series data.
method Proposes a reinforcement learning method to balance explanatory power and stability constraints.
result Outperforms existing methods by a large margin and achieves a 10% gain in R-squared explanatory power.
The study compares profitability of conventional and Islamic banks in Bangladesh.
problem Evaluating profitability of commercial banks in Bangladesh.
method Examined bank-specific, industry-specific, and banking system factors on profitability.
result Islamic banks consistently outperform conventional banks in profitability.
Industrial-scale podcast recommender system optimizes long-term listening journeys.
problem Optimizing long-term listening experiences in podcast recommendation systems.
method Reinforcement learning approach to optimize user listening journeys over months.
result Significantly improved long-term performance in A/B tests compared to short-term metrics.
Improved stock selection through predictive fundamentals and uncertainty estimates.
problem Selecting stocks based on future financial data to outperform traditional factor models.
method Train deep nets to forecast future fundamentals, incorporate uncertainty estimates, and adjust portfolios to manage risk.
result Simulated annualized return of 17.7% and Sharpe ratio of 0.84 for uncertainty-aware model, significantly higher than 14.0% and 0.52 for standard factor models.
KFT improves tensor forecasting by incorporating side information.
problem Tensor factorization weaknesses in latent factors.
method Kernel Fried Tensor (KFT) with variational inference.
result Superior performance over LightGBM and FFM.
This paper models London's real estate market trends and identifies key factors influencing house prices.
problem Complex factors influencing London's real estate prices are not well understood.
method Developed a housing price model using principal components analysis to handle multicollinearity.
result Identified the most important factor affecting house prices per square meter.
Method extracts understandable explanations for black-box models using matrix factorization.
problem Lack of human-understandable explanations for black-box classification models.
method Introduces contribution matrix and explanation embedding using matrix factorization.
result Extracts rule-like model explanations from contribution matrix.
Study on electronic banking satisfaction in Nigeria.
problem Limited research on factors enhancing end users' satisfaction in electronic banking.
method Empirical analysis of factors influencing electronic banking user satisfaction.
result Factors influencing electronic banking user satisfaction and their relationship with satisfaction.