This is a summary of links recently featured on Quantocracy as of Sunday, 05/18/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Poor Person’s Transformer: Transformer as a sample-specific feature selection method [EP Chan]For those of us who grew up before GenAI became a thing (e.g. Ernie), we often use tree-based algorithms for supervised learning. Trees work very well with heterogeneous and tabular feature sets, and by limiting the number of nodes or the depth of a branch, there is feature selection by default. With neural networks (NN), before deep learning comes around, it is quite common to perform feature
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I Found a One-Hour Edge in the S&P, Then Three LLMs Made It Better [Rogue Quant]A friend of mine owns a Neapolitan-style pizzeria this is the real pizzeria When he first opened, he had one recurring headache: He could never guess how many pizzas hed sell each night. Some days he ran out of dough by 9pm. Other days he overprepared and ended up tossing dozens of unused bases. But a few months in, something clicked. He told me he started watching the playground. The
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Research Review | 16 May 2025 | Asset Allocation [Capital Spectator]Rethinking the Stock-Bond Correlation Thierry Roncalli (Amundi Asset Management & University of Evry) February 2025 The stock-bond correlation is a basics of finance and is related to some of the fundamentals of asset management. However, understanding the stock-bond correlation is not easy. In this presentation, we answer the following questions What is the natural sign of the stock-bond
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What Can We Expect from Long-Run Asset Returns? [Quantpedia]What can we realistically expect from investing across different asset classes over the long run? Thats the kind of big-picture question the Long-Run Asset Returns paper tacklesoffering a sweeping look at how stocks, bonds, real estate, and commodities have performed over the past 200 years. The paper goes beyond just listing historical returnsit explains how reliable (or not) those
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Profitability Retrospective: Key Takeaways for Investors [Alpha Architect]In his 2013 paper The Other Side of Value: The Gross Profitability Premium, Robert Novy-Marx documented that profitability, broadly measured, has as much power as relative price in predicting cross-sectional differences in expected returns. With the publication of that paper, profitability quickly become a prominent theme in asset pricing research. For example, Dimensional began