DUCKQUANT / THE QUANT & AI DIRECTORY
1,058 resources, ranked by in-directory PageRank
Publication: Replicating Monotonic Payoffs Without Oracles. Published Nov 26, 2021.
Publication: No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books. Published Oct 11, 2024.
Publication: The "double" square-root law: Evidence for the mechanical origin of market impact using Tokyo Stock Exchange data. Published Feb 22, 2025.
Publication: Priority Gas Auction Cadence and Searcher Competition: Evidence from Flashblocks on Base. Published Oct 2, 2026.
Publication: Jump detection in high-frequency order prices. Published Feb 26, 2024.
Publication: Is Trend Still Your Friend?: A Microstructural Account of the Demise of Short-Term Trend-Following. Published Jul 2, 2026.
Publication: Optimal liquidation with temporary and permanent price impact, an application to cryptocurrencies. Published Mar 17, 2023.
Publication: Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. Published Sep 19, 2022.
Publication: Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing. Published Mar 24, 2025.
Publication: Optimal Execution among $N$ Traders with Transient Price Impact. Published Jan 16, 2025.
Publication: Large and Deep Factor Models. Published Jan 20, 2024.
Publication: The Elasticity of Quantitative Investment. Published Mar 25, 2023.
Publication: AlphaPADI: Formulaic Alpha Discovery via Pool-Aware Hierarchical Discrete Diffusion. Published Oct 4, 2026.
Publication: Signal Correlation, IC, and PnL Dependence. Published Sep 9, 2026.
Publication: Controlling False Discovery Rates under Cross-Sectional Correlations. Published Feb 15, 2021.
Publication: Dynamic Latent-Factor Model with High-Dimensional Asset Characteristics. Published May 24, 2024.
Publication: Is Factor Momentum More than Stock Momentum?. Published Sep 10, 2020.
Publication: AlphaEval: A Comprehensive and Efficient Evaluation Framework for Formula Alpha Mining. Published Aug 10, 2025.
Publication: Why and how systematic strategies decay. Published May 4, 2021.
Publication: Latent Factor Analysis in Short Panels. Published Jun 24, 2023.
Publication: High-Throughput Asset Pricing. Published Nov 17, 2023.
Publication: FactorBench: A Portfolio-Aware Benchmark for Automated Factor Mining. Published Oct 3, 2026.
Publication: Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging. Published Apr 4, 2020.
Publication: DiffLOB: Diffusion Models for Counterfactual Generation in Limit Order Books. Published Feb 3, 2026.
Publication: Explicit Signal-Adaptive Sequential Optimal Execution Quotes. Published May 22, 2026.
Publication: A singular stochastic control approach for optimal pairs trading with proportional transaction costs. Published Nov 24, 2019.
Publication: Quant Bust 2020. Published Jun 10, 2020.
Publication: RiskMiner: Discovering Formulaic Alphas via Risk Seeking Monte Carlo Tree Search. Published Feb 11, 2024.
Publication: Heterogeneous rarity patterns drive price dynamics in NFT collections. Published Apr 21, 2022.
Publication: Return-Decay Residuals and Tail-Risk Forecasting: Timing Artifacts, Conditional Inference, and Cross-Market Evidence. Published Dec 11, 2025.
Publication: The Price of Permission: Classification Uncertainty in Constrained Capital Markets. Published Aug 12, 2026.
Publication: Identifying Risk Variables From Raw ESG Data Using Its Hierarchical Structure. Published Aug 26, 2025.
Publication: Financial factors selection with knockoffs: fund replication, explanatory and prediction networks. Published Mar 10, 2021.
Publication: Network Momentum across Asset Classes. Published Aug 22, 2023.
Publication: Sparse Asymptotic PCA: Identifying Sparse Latent Factors Across Time Horizon in High-Dimensional Time Series. Published Jul 13, 2024.
Publication: Hierarchical PCA and Modeling Asset Correlations. Published Oct 8, 2020.
