DUCKQUANT / THE QUANT & AI DIRECTORY
1,058 resources, ranked by in-directory PageRank
Publication: Variable Clustering via Distributionally Robust Nodewise Regression. Published Dec 15, 2022.
Publication: AlphaForge: A Framework to Mine and Dynamically Combine Formulaic Alpha Factors. Published Jun 26, 2024.
Publication: Multi-Industry Simplex 2.0 : Temporally-Evolving Probabilistic Industry Classification. Published Jul 23, 2024.
Publication: AutoAlpha: an Efficient Hierarchical Evolutionary Algorithm for Mining Alpha Factors in Quantitative Investment. Published Feb 9, 2020.
Publication: HireVAE: An Online and Adaptive Factor Model Based on Hierarchical and Regime-Switch VAE. Published Jun 5, 2023.
Publication: When can weak latent factors be statistically inferred?. Published Jul 4, 2024.
Publication: Model-Free Market Risk Hedging Using Crowding Networks. Published Jun 13, 2023.
Publication: Sparse spanning portfolios and under-diversification with second-order stochastic dominance. Published Feb 2, 2024.
Publication: Nested Multilevel Monte Carlo with Biased and Antithetic Sampling. Published Aug 15, 2023.
Publication: Two is better than one: Regularized shrinkage of large minimum variance portfolio. Published Feb 14, 2022.
Publication: A Set-Sequence Model for Time Series. Published May 16, 2025.
Publication: Dynamic Portfolio Allocation in High Dimensions using Sparse Risk Factors. Published May 13, 2021.
Publication: Mixing-Law Uncertainty in Multivariate Normal Mean-Variance Mixtures: Semi-parametric Estimation and Robust Cumulative-Prospect Decisions. Published Jul 21, 2026.
Publication: Statistical inference for the EU portfolio in high dimensions. Published May 10, 2020.
Publication: Relative Arbitrage: Sharp Time Horizons and Motion by Curvature. Published Mar 30, 2020.
Publication: Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation. Published Dec 14, 2021.
Publication: Data-Dependent Bounds for Online Portfolio Selection Without Lipschitzness and Smoothness. Published May 23, 2023.
Publication: The Decision Geometry of Covariance Estimation for the Global Minimum-Variance Portfolio under Heavy Tails. Published Jun 25, 2026.
Publication: Stochastic arbitrage with market index options. Published Jul 3, 2022.
Publication: Bertram's Pairs Trading Strategy with Bounded Risk. Published Feb 8, 2021.
Publication: Trading multiple mean reversion. Published Sep 21, 2020.
Publication: Model-free Analysis of Dynamic Trading Strategies. Published Nov 5, 2020.
Publication: Optimal Turnover, Liquidity, and Autocorrelation. Published Oct 7, 2021.
Publication: Lead-lag detection and network clustering for multivariate time series with an application to the US equity market. Published Jan 20, 2022.
Publication: Ledoit-Wolf linear shrinkage with unknown mean. Published Apr 14, 2023.
Publication: Enhanced indexation using both equity assets and index options. Published Aug 28, 2025.
Publication: From Value Bounds to Policy-Distance and Active-Face Certificates: Same-Grid Duality for Constrained Dynamic Portfolios. Published Aug 6, 2026.
Publication: Asset Selection via Correlation Blockmodel Clustering. Published Mar 26, 2021.
Publication: Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization. Published Dec 5, 2022.
Publication: Robust deep hedging. Published Jun 18, 2021.
Publication: Markov Decision Processes under Model Uncertainty. Published Jun 13, 2022.
Publication: Excess Out-of-Sample Risk and Fleeting Modes. Published May 2, 2022.
Publication: Multi Anchor Point Shrinkage for the Sample Covariance Matrix (Extended Version). Published Sep 1, 2021.
Publication: KellyBoost: Growth-Optimal Portfolio Construction with Gradient-Boosted Trees. Published Aug 24, 2026.
Publication: Signature Methods in Stochastic Portfolio Theory. Published Oct 3, 2023.
Publication: Canonical Portfolios: Optimal Asset and Signal Combination. Published Feb 22, 2022.
