相关论文: You Can Fool Some People Sometimes

Mining 29,000 accounting ratios for t-statistics $> 2.0$ leads to cross-sectional return predictability similar to the peer review process. For both, $\approx50\%$ of predictability remains after the original sample periods. This finding…

A multitude of interconnected risk events -- ranging from regulatory changes to geopolitical tensions -- can trigger ripple effects across firms. Identifying inter-firm risk relations is thus crucial for applications like portfolio…

We consider the problem of conducting a survey with the goal of obtaining an unbiased estimator of some population statistic when individuals have unknown costs (drawn from a known prior) for participating in the survey. Individuals must be…

In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…

Multi-task reinforcement learning trains generalist policies that can execute multiple tasks. While recent years have seen significant progress, existing approaches rarely provide formal performance guarantees, which are indispensable when…

Large language models (LLMs), including ChatGPT, can extract profitable trading signals from the sentiment in news text. However, backtesting such strategies poses a challenge because LLMs are trained on many years of data, and backtesting…

We introduce predictable relative forward performance processes (PRFPP) as a new framework for studying portfolio management within a competitive and incomplete market environment. Each agent trades a distinct stock following a binomial…

This paper describes prediction methods for the number of future events from a population of units associated with an on-going time-to-event process. Examples include the prediction of warranty returns and the prediction of the number of…

There is an important literature focused on profit warnings and its impact on stock returns. We provide evidence from Moroccan stock market which aims to become an African financial hub. Despite this practical improvement, academic…

Economic agents react to signals about future tax policy changes. Consequently, estimating their macroeconomic effects requires identification of such signals. We propose a novel text analytic approach for transforming textual information…

We show that public firm profit rates fell by half since 1980. Inferred as the residual from the rise of US corporate profit rates in aggregate data, private firm profit rates doubled since 1980. Public firm financial returns matched their…

We propose an approach to estimate how individuals' expectations influence their responses to a counterfactual change. The approach relies on average partial effects, which recover counterfactual impacts under conditions that we specify. We…

The rise of large language models (LLMs) and their tight integration into our daily life make it essential to dedicate efforts towards their trustworthiness. Uncertainty quantification for LLMs can establish more human trust into their…

Human guidance is often desired in reinforcement learning to improve the performance of the learning agent. However, human insights are often mere opinions and educated guesses rather than well-formulated arguments. While opinions are…

Trade prices of about 1000 New York Stock Exchange-listed stocks are studied at one-minute time resolution over the continuous five year period 2018--2022. For each stock, in dollar-volume-weighted transaction time, the discrepancy from a…

We reassess Boehmer et al. (2021, BJZZ)'s seminal work on the predictive power of retail order imbalance (ROI) for future stock returns. First, we replicate their 2010-2015 analysis in the more recent 2016-2021 period. We find that the…

The problem of detecting scientific fraud using machine learning was recently introduced, with initial, positive results from a model taking into account various general indicators. The results seem to suggest that writing style is…

Stock trading is one of the popular ways for financial management. However, the market and the environment of economy is unstable and usually not predictable. Furthermore, engaging in stock trading requires time and effort to analyze,…

Annual Reports of publicly listed companies contain vital information about their financial health which can help assess the potential impact on Stock price of the firm. These reports are comprehensive in nature, going up to, and sometimes…

Open domain conversational agents can answer a broad range of targeted queries. However, the sequential nature of interaction with these systems makes knowledge exploration a lengthy task which burdens the user with asking a chain of well…