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.
Test-asset construction affects factor model performance.
P-Trees improve investment performance by optimizing the efficient frontier.
We use deep neural networks to estimate an asset pricing model for individual stock returns that takes advantage of the vast amount of conditioning information, while keeping a fully flexible form and accounting for time-variation. The key innovations are to use the fundamental no-arbitrage condition as criterion funct…
New framework tests mean-variance spanning in high dimensions.
Neural networks improve VaR estimation accuracy and robustness.