Quantitative Finance

Follow this topic Ask about this topic

Momentum

12 papers in the last four weeks, up 9% on the four weeks before. 0.1% of all new papers.

Jul 13Week of Sep 28

Latest papers 123

All topics

Large and Deep Factor Models
Jan 20, 2024Bryan Kelly, Boris Kuznetsov, Semyon Malamud +1Quantitative Finance Neural Tangent Kernel
Yale School of Management, AQR Capital Management, and NBER · AQR Capital Management · NBER +5
Machine Learning Classification and Portfolio Construction: Does the Loss Function Matter?
Aug 4, 2021Yang Bai, Kuntara PukthuanthongQuantitative Finance Classification
College of Business and Economics, California State University, Fullerton · Trulaske Sr. College of Business, University of Missouri
OpenFinGym: A Verifiable Multi-Task Gym Environment for Evaluating Quant Agents
Date pendingKaicheng Zhang, Wen Ge, Lei Jiang +5Quantitative Finance LLM Agent Evaluation
University of Edinburgh · University College London · Alan Turing Institute +1

Jan 20, 2024, q-fin.STJ/K move · Enter open · S save

Large and Deep Factor Models

Bryan Kelly, Boris Kuznetsov, Semyon Malamud, Yuan Zhang

Yale School of Management, AQR Capital Management, and NBER · AQR Capital Management · NBER+5

Quantitative Finance Neural Tangent Kernel Finance

Open paper AskPDF arXiv

We show that a deep neural network (DNN) trained to construct a stochastic discount factor (SDF) admits an additive decomposition separating nonlinear characteristic discovery from the pricing rule that aggregates them. This decomposition yields a linear factor representation governed by the Portfolio Tangent Kernel (PTK), which summarizes the network's learned features. In population, the implied SDF converges to a ridge-regularized version of the true SDF, with the degree of regularization determined by spectral complexity. Empirically, using U.S. equity data, the PTK representation delivers economically and statistically significant performance gains, while rising spectral complexity imposes tighter limits on finite-sample pricing.

Momentum

Related topics

Latest papers 123

Large and Deep Factor Models

Machine Learning Classification and Portfolio Construction: Does the Loss Function Matter?

OpenFinGym: A Verifiable Multi-Task Gym Environment for Evaluating Quant Agents