Grounding LLMs with knowledge, tools and files.

Stock-bond correlation is one of the oldest topics in asset allocation, and it keeps coming back for a reason. No surprise: it’s a key input for modern portfolio construction. For decades, bonds h...

The Factor Zoo In our previous blog, The Adjustment for Luck, we embarked on an exploration of how to identify factors that genuinely drive cross-sectional security returns out-of-sample in the re...

The “Big Hit” In a previous blog Nowcasting: The News From Jagged Economic Data, we have explored the impressive capabilities of a dynamic factor model based nowcasting system to process and inter...

Those Factors Shrink out of sample As Nobel Laureate Ronald Coase once said: “If you torture data long enough, it will confess to anything”. It starts with the million dollar question in finance ...

Where and how it begins The genesis of this endeavor sprouted a couple of years back when I found myself in various research projects, craving efficiency and scalability. The repetitive tasks of d...

Introduction There is the subtle feeling when reading into a ‘small’ yet delicate modeling like volatility index (VIX) at an era of roaring LLMs! Like many, I found myself astonished by the insigh...

Introduction In a previous blog From Volatility to Maximum Drawdown, we delved into the widely quoted risk measure, maximum drawdown, exploring factors impacting it and uncovering pain points in i...

Introduction In the realm of risk measures, volatility stands out as a star player, and with good reason. It has deep roots in asset pricing theories, intricately connected to the concepts of both...

Introduction Forecasting expected return is a rewarding yet challenging endeavor. One shot to tilt the odds in our favor a bit in this battle is probably to take into account as much relavant info...