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Narratives from GPT-derived Networks of News, and a link to Financial Markets Dislocations
Starting from a corpus of economic articles from The Wall Street Journal, we present a novel systematic way to analyse news content that evolves over time.
DeFi: data-driven characterisation of Uniswap v3 ecosystem & an ideal crypto law for liquidity pools
We conclude our work by testing for relationships between the characteristic mechanisms of each pool, i. e. liquidity provision, consumption, and price variation.
SEC Form 13F-HR: Statistical investigation of trading imbalances and profitability analysis
US Institutions with more than $100 million assets under management must disclose part of their long positions into the SEC Form 13F-HR on a quarterly basis.
Returns-Driven Macro Regimes and Characteristic Lead-Lag Behaviour between Asset Classes
We define data-driven macroeconomic regimes by clustering the relative performance in time of indices belonging to different asset classes.
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