3 papers
q-fin.ST2025
STRAPSim: A Portfolio Similarity Metric for ETF Alignment and Portfolio Trades
Mingshu Li, Dhruv Desai, Jerinsh Jeyapaulraj +4
Accurately measuring portfolio similarity is critical for a wide range of financial applications, including Exchange-traded Fund (ETF) recommendation, portfolio trading, and risk a…
stat.ML2024
Quantile Regression using Random Forest Proximities
Mingshu Li, Bhaskarjit Sarmah, Dhruv Desai +4
Due to the dynamic nature of financial markets, maintaining models that produce precise predictions over time is difficult. Often the goal isn't just point prediction but determini…
q-fin.ST2024
Machine Learning-based Relative Valuation of Municipal Bonds
Preetha Saha, Jingrao Lyu, Dhruv Desai +4
The trading ecosystem of the Municipal (muni) bond is complex and unique. With nearly 2\% of securities from over a million securities outstanding trading daily, determining the va…