Related papers: Is It Possible to OD on Alpha?
We present explicit formulas - that are also computer code - for 101 real-life quantitative trading alphas. Their average holding period approximately ranges 0.6-6.4 days. The average pair-wise correlation of these alphas is low, 15.9%. The…
Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…
This paper presents an innovative online portfolio selection model, situated within a meta-learning framework, that leverages a mixture policies strategy. The core idea is to simulate a fund that employs multiple fund managers, each skilled…
It is common knowledge that leverage can increase the potential returns of an investment, at the expense of increased risk. For a passive investor in the stock market, leverage can be achieved using margin debt or leveraged-ETFs. We perform…
There are inefficiencies in financial markets, with unexploited patterns in price, volume, and cross-sectional relationships. While many approaches use large-scale transformers, we take a domain-focused path: feed-forward and recurrent…
The unsupervised task of aligning two or more distributions in a shared latent space has many applications including fair representations, batch effect mitigation, and unsupervised domain adaptation. Existing flow-based approaches estimate…
The classical mean-variance framework characterizes portfolio risk solely through return variance and the covariance matrix, implicitly assuming that all relevant sources of risk are captured by second moments. In modern financial markets,…
In this paper we consider the problem of minimising drawdown in a portfolio of financial assets. Here drawdown represents the relative opportunity cost of the single best missed trading opportunity over a specified time period. We formulate…
For an angle $\alpha\in (0,\pi)$, we consider plane graphs and multigraphs in which the edges are either (i) one-bend polylines with an angle $\alpha$ between the two edge segments, or (ii) circular arcs of central angle $2(\pi-\alpha)$. We…
Portfolio optimization is a routine asset management operation conducted in financial institutions around the world. However, under real-world constraints such as turnover limits and transaction costs, its formulation becomes a…
We consider the problem of being a cross-chain wealth management platform with deposits, redemptions and investment assets across multiple networks. We discuss the need for blockchain bridges to facilitates fund flows across platforms. We…
Off-chain transaction channels represent one of the leading techniques to scale the transaction throughput in cryptocurrencies such as Bitcoin. They allow multiple agents to route payments through one another. So far, the topology and…
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the…
We explore brokerage between traders in an online learning framework. At any round $t$, two traders meet to exchange an asset, provided the exchange is mutually beneficial. The broker proposes a trading price, and each trader tries to sell…
Strategic information is valuable either by remaining private (for instance if it is sensitive) or, on the other hand, by being used publicly to increase some utility. These two objectives are antagonistic and leaking this information might…
Neural ordinary differential equations describe how values change in time. This is the reason why they gained importance in modeling sequential data, especially when the observations are made at irregular intervals. In this paper we propose…
In the field of quantitative trading, it is common practice to transform raw historical stock data into indicative signals for the market trend. Such signals are called alpha factors. Alphas in formula forms are more interpretable and thus…
The artificial segmentation of an investment management process into a workflow with silos of offline human operators can restrict silos from collectively and adaptively pursuing a unified optimal investment goal. To meet the investor's…
The future power grid may rely on distributed optimization to determine the set-points for huge numbers of distributed energy resources. There has been significant work on applying distributed algorithms to optimal power flow (OPF)…
Parallel dataflow systems are a central part of most analytic pipelines for big data. The iterative nature of many analysis and machine learning algorithms, however, is still a challenge for current systems. While certain types of bulk…