Related papers: The Corporate Bond Factor Replication Crisis
Public managers lack feedback on the effectiveness of public investments, policies, and programs instituted to build and use research capacity. Numerous reports rank countries on global performance on innovation and competitiveness, but the…
There is growing importance to detecting faults and implementing the best methods in industrial and real-world systems. We are searching for the most trustworthy and practical data-based fault detection methods proposed by artificial…
Retrieval-augmented generation (RAG) has emerged as a popular solution to mitigate the hallucination issues of large language models. However, existing studies on RAG seldom address the issue of predictive uncertainty, i.e., how likely it…
Financial event studies, ubiquitous in finance research, typically use linear factor models with known factors to estimate abnormal returns and identify causal effects of information events. This paper demonstrates that when factor models…
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…
A corporate bond trader in a typical sell side institution such as a bank provides liquidity to the market participants by buying/selling securities and maintaining an inventory. Upon receiving a request for a buy/sell price quote (RFQ),…
Signal decay and regime shifts pose recurring challenges for data-driven investment strategies in non-stationary markets. Conventional time-series and machine learning approaches, which rely primarily on historical correlations, often…
We study the problem of model selection in batch policy optimization: given a fixed, partial-feedback dataset and $M$ model classes, learn a policy with performance that is competitive with the policy derived from the best model class. We…
The Fama-French three factor models are commonly used in the description of asset returns in finance. Statistically speaking, the Fama-French three factor models imply that the return of an asset can be accounted for directly by the…
Financial literature consists of ample research on similarity and comparison of financial assets and securities such as stocks, bonds, mutual funds, etc. However, going beyond correlations or aggregate statistics has been arduous since…
Capturing customer workloads of database systems to replay these workloads during internal testing can be beneficial for software quality assurance. However, we experienced that such replays can produce a large amount of false positive…
This article's aim is to provide the solution to the equity premium puzzle without using calibrated values. Calibrated values of subjective time discount factor were used in my prior derived models because 4 variables were determined from 3…
Technical trading rules and linear regressive models are often used by practitioners to find trends in financial data. However, these models are unsuited to find non-linearly separable patterns. We propose a decision tree forecasting model…
Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…
Factor models are a very efficient way to describe high dimensional vectors of data in terms of a small number of common relevant factors. This problem, which is of fundamental importance in many disciplines, is usually reformulated in…
Unidimensional factor models justify some of the most consequential summaries in science -- single scores, single ranks, and single leaderboards -- yet unidimensionality is usually assessed indirectly by fitting and evaluating models on…
A multivariate quantile regression model with a factor structure is proposed to study data with many responses of interest. The factor structure is allowed to vary with the quantile levels, which makes our framework more flexible than the…
The rapid proliferation of AI-generated content on the Web presents a structural risk to information retrieval, as search engines and Retrieval-Augmented Generation (RAG) systems increasingly consume evidence produced by the Large Language…
This paper studies bandit problems where an agent has access to offline data that might be utilized to potentially improve the estimation of each arm's reward distribution. A major obstacle in this setting is the existence of compound…
Rolling-window factor pipelines for Chinese A-share markets contain a subtle but costly flaw: daily price-move limits (+/-10% main-board, +/-20% STAR/ChiNext) render a fraction of closing prices non-executable, yet standard implementations…