This is a summary of links featured on Quantocracy on Monday, 07/03/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Selected ML Papers from ICML 2023 [Gautier Marti]This blog post serves as a summary and exploration of ~100 papers, providing insights into the key trends presented at ICML 2023. The papers can be categorized into several sub-fields, including Graph Neural Networks and Transformers, Large Language Models, Optimal Transport, Time Series Analysis, Causality, Clustering, PCA and Autoencoders, as well as a few miscellaneous topics. Graph Neural
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Factor Olympics 2023 1H [Finominal]All popular factors generated negative excess returns in 1H 2023 Small caps performed best, low-risk stocks worst Somewhat surprisingly, long-short multi-factor products produced positive returns INTRODUCTION We present the performance of five well-known factors on an annual basis for the last 10 years. Specifically, we only present factors where academic research supports the existence of