Six papers worth your Sunday coffee.
⚽ 𝗧𝗵𝗲 𝗪𝗼𝗿𝗹𝗱 𝗖𝗵𝗮𝗺𝗽𝗶𝗼𝗻'𝘀 𝗣𝗼𝗿𝘁𝗳𝗼𝗹𝗶𝗼: 𝗔 𝗙𝗮𝗰𝘁𝗼𝗿-𝗕𝗮𝘀𝗲𝗱 𝗜𝗻𝘁𝗲𝗿𝗽𝗿𝗲𝘁𝗮𝘁𝗶𝗼𝗻 𝗼𝗳 𝗠𝗼𝗱𝗲𝗿𝗻 𝗙𝗼𝗼𝘁𝗯𝗮𝗹𝗹
University of Zurich, Swisscanto
A starting eleven read as a factor portfolio. Defence is Value, midfield is Quality, attack is Momentum, the playmaker is the adaptive AI model, the keeper is the risk manager. Satirical, but the analogy holds up better than it has any right to.
🕸️ 𝗚𝗲𝗼𝗺𝗛𝗲𝗿𝗱: 𝗙𝗼𝗿𝘄𝗮𝗿𝗱-𝗹𝗼𝗼𝗸𝗶𝗻𝗴 𝗛𝗲𝗿𝗱𝗶𝗻𝗴 𝘃𝗶𝗮 𝗥𝗶𝗰𝗰𝗶 𝗙𝗹𝗼𝘄 𝗼𝗻 𝗔𝗴𝗲𝗻𝘁 𝗚𝗿𝗮𝗽𝗵𝘀
Imperial College London, USTC, MaxQuant, HKU, UCL
Ollivier-Ricci curvature on LLM agent interaction graphs catches herding before it hits realised returns. Median lead of 272 simulator steps before the order parameter crosses.
🤖 𝗔𝗴𝗲𝗻𝘁𝘀 𝗔𝗿𝗲 𝗡𝗼𝘁 𝗔𝗹𝗴𝗼𝗿𝗶𝘁𝗵𝗺𝘀: 𝗧𝗿𝗮𝗱𝗲𝗼𝗳𝗳𝘀 𝗼𝗳 𝗗𝗲𝗰𝗶𝘀𝗶𝗼𝗻-𝗧𝗶𝗺𝗲 𝗥𝗲𝗮𝘀𝗼𝗻𝗶𝗻𝗴 𝗶𝗻 𝗔𝗜 𝗧𝗿𝗮𝗱𝗶𝗻𝗴
Rotman, RBC Capital Markets
Frontier LLMs running tender selection and execution on the Rotman simulator. More reasoning earns a dividend on selection but pays a tax in expired intents and stuck inventory. Market speed decides which side wins.
📈 𝗬𝗶𝗲𝗹𝗱 𝗖𝘂𝗿𝘃𝗲 𝗗𝘆𝗻𝗮𝗺𝗶𝗰𝘀 𝗨𝘀𝗶𝗻𝗴 𝗩𝗔𝗘𝘀 𝗨𝗻𝗱𝗲𝗿 𝗡𝗼-𝗔𝗿𝗯𝗶𝘁𝗿𝗮𝗴𝗲
Johns Hopkins
A Student-t Conditional VAE learns a heavy-tailed yield curve manifold. A Neural SDE evolves it under a PDE no-arbitrage penalty. Out-of-sample mean tenor RMSE of 6.58 bps across USD, GBP and JPY, zero-lower-bound respected.
🧱 𝗘𝗻𝗵𝗮𝗻𝗰𝗶𝗻𝗴 𝗮 𝗥𝗶𝘀𝗸 𝗠𝗼𝗱𝗲𝗹 𝗯𝘆 𝗔𝗱𝗱𝗶𝗻𝗴 𝗧𝗿𝗮𝗻𝘀𝗶𝗲𝗻𝘁 𝗦𝘁𝗮𝘁𝗶𝘀𝘁𝗶𝗰𝗮𝗹 𝗙𝗮𝗰𝘁𝗼𝗿𝘀
Stanford, BlackRock (Candès, Hastie, Boyd, Kochenderfer, Kahn)
A weighted maximum-likelihood EM procedure that refines the Barra short-term US risk model and bolts on a handful of statistical factors. Picks up regime shifts a quarterly update would miss.
🎲 𝗖𝗿𝘆𝗽𝘁𝗼𝗰𝘂𝗿𝗿𝗲𝗻𝗰𝘆 𝗣𝗿𝗲𝗱𝗶𝗰𝘁𝗶𝗼𝗻 𝗠𝗮𝗿𝗸𝗲𝘁𝘀 𝘁𝗵𝗿𝗼𝘂𝗴𝗵 𝘁𝗵𝗲 𝗗𝗲𝗿𝗶𝘃𝗮𝘁𝗶𝘃𝗲𝘀 𝗟𝗲𝗻𝘀
Seoul National University
Treats Kalshi and Polymarket binaries as cash-or-nothing digitals and extracts the full toolkit: implied vol surface, risk-neutral density, variance risk premium. Polymarket's VRP is roughly 16x Kalshi's, mostly contract design rather than mispricing.
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