In quantitative investing, return prediction supports various tasks, including stock selection, portfolio optimization, and risk management. Quantitative factors, such as valuation, quality, and growth, capture various characteristics of stocks. Unstructured data, like news and transcripts, has attracted growing attention, driven by recent advances in large language models (LLMs). This paper examines effective methods for leveraging multimodal factors and newsflow in return prediction and stock selection. First, we introduce a fusion learning framework to learn a unified representation from factors and newsflow representations generated by an LLM. Within this framework, we compare three methods of different architectural complexities: representation combination, representation summation, and attentive representations. Next, building on the limitation of fusion learning observed in empirical comparison, we explore the mixture model that adaptively combines predictions made by single modalities and their fusion. To mitigate the training instability of the mixture model, we introduce a decoupled training approach with theoretical insights. Finally, our experiments on real investment universes yield several insights into effective multimodal modeling of factors and news for stock return prediction and selection.

Limited visibility of power distribution network power flows at the low voltage level presents challenges to both distribution network operators from a planning perspective and distribution system operators from a congestion management perspective. Forestalling these challenges through scenario analysis is confounded by the lack of realistic and coherent load data across representative distribution feeders. Load profiling approaches often rely on summarising demand through typical profiles, which oversimplifies the complexity of substation-level operations and limits their applicability in specific power system studies. Sampling methods, and more recently generative models, have attempted to address this through synthesising representative loads from historical exemplars; however, while these approaches can approximate load shapes to a convincing degree of fidelity, the co-behaviour between substations, which ultimately impacts higher voltage level network operation, is often overlooked. This limitation will become even more pronounced with the increasing integration of low-carbon technologies, as estimates of base loads fail to capture load diversity. To address this gap, a Conditional Diffusion model for synthesising daily active and reactive power profiles at the low voltage distribution substation level is proposed. The evaluation of fidelity is demonstrated through conventional metrics capturing temporal and statistical realism, as well as power flow modelling. The results show synthesised load profiles are plausible both independently and as a cohort in a wider power systems context. The Conditional Diffusion model is benchmarked against both naive and state-of-the-art models to demonstrate its effectiveness in producing realistic scenarios on which to base sub-regional power distribution network planning and operations.

Set theory is foundational to mathematics and, when sets are finite, to reasoning about the world. An intelligent system should perform set operations consistently, regardless of superficial variations in the operands.

Large-scale models are pretrained on massive web-crawled datasets containing documents of mixed quality, making data filtering essential. A popular method is Classifier-based Quality Filtering (CQF), which trains a binary classifier to distinguish between pretraining data and a small, high-quality set. It assigns each pretraining document a quality score defined as the classifier's score and retains only the top-scoring ones. We provide an in-depth analysis of CQF. We show that while CQF improves downstream task performance, it does not necessarily enhance language modeling on the high-quality dataset. We explain this paradox by the fact that CQF implicitly filters the high-quality dataset as well. We further compare the behavior of models trained with CQF to those trained on synthetic data of increasing quality, obtained via random token permutations, and find starkly different trends. Our results challenge the view that CQF captures a meaningful notion of data quality.

Sparse autoencoders (SAEs) and transcoders have become important tools for machine learning interpretability. However, measuring how interpretable they are remains challenging, with weak consensus about which benchmarks to use. Most evaluation procedures start by producing a single-sentence explanation for each latent. These explanations are then evaluated based on how well they enable an LLM to predict the activation of a latent in new contexts. This method makes it difficult to disentangle the explanation generation and evaluation process from the actual interpretability of the latents discovered. In this work, we adapt existing methods to assess the interpretability of sparse coders, with the advantage that they do not require generating natural language explanations as an intermediate step. This enables a more direct and potentially standardized assessment of interpretability. Furthermore, we compare the scores produced by our interpretability metrics with human evaluations across similar tasks and varying setups, offering suggestions for the community on improving the evaluation of these techniques.

Set theory is foundational to mathematics and, when sets are finite, to reasoning about the world. An intelligent system should perform set operations consistently, regardless of superficial variations in the operands. Initially designed for semantically-oriented NLP tasks, large language models (LLMs) are now being evaluated on algorithmic tasks. Because sets are comprised of arbitrary symbols (e.g. numbers, words), they provide an opportunity to test, systematically, the invariance of LLMs' algorithmic abilities under simple lexical or semantic variations. To this end, we present the SetLexSem Challenge, a synthetic benchmark that evaluates the performance of LLMs on set operations. SetLexSem assesses the robustness of LLMs' instruction-following abilities under various conditions, focusing on the set operations and the nature and construction of the set members. Evaluating seven LLMs with SetLexSem, we find that they exhibit poor robustness to variation in both operation and operands. We show -- via the framework's systematic sampling of set members along lexical and semantic dimensions -- that LLMs are not only not robust to variation along these dimensions but demonstrate unique failure modes in particular, easy-to-create semantic groupings of "deceptive" sets. We find that rigorously measuring language model robustness to variation in frequency and length is challenging and present an analysis that measures them independently. The code for reproducing the results of this paper, and for generating the SetLexSem Challenge dataset, is available at \href{https://github.com/amazon-science/SetLexSem-Challenge}{https://github.com/amazon-science/SetLexSem-Challenge}.

Large language models (LLMs) and their fine-tuning techniques have demonstrated superior performance in various language understanding and generation tasks. This paper explores fine-tuning LLMs for stock return forecasting with financial newsflow. In quantitative investing, return forecasting is fundamental for subsequent tasks like stock picking, portfolio optimization, etc. We formulate the model to include text representation and forecasting modules. We propose to compare the encoder-only and decoder-only LLMs, considering they generate text representations in distinct ways. The impact of these different representations on forecasting performance remains an open question. Meanwhile, we compare two simple methods of integrating LLMs' token-level representations into the forecasting module. The experiments on real news and investment universes reveal that: (1) aggregated representations from LLMs' token-level embeddings generally produce return predictions that enhance the performance of long-only and long-short portfolios; (2) in the relatively large investment universe, the decoder LLMs-based prediction model leads to stronger portfolios, whereas in the small universes, there are no consistent winners. Among the three LLMs studied (DeBERTa, Mistral, Llama), Mistral performs more robustly across different universes; (3) return predictions derived from LLMs' text representations are a strong signal for portfolio construction, outperforming conventional sentiment scores.

How similar are politicians to those who vote for them? This is a critical question at the heart of democratic representation and particularly relevant at times when political dissatisfaction and populism are on the rise. To answer this question we compare the online discourse of elected politicians and their constituents. We collect a two and a half years (September 2020 - February 2023) constituency-level dataset for USA and UK that includes: (i) the Twitter timelines (5.6 Million tweets) of elected political representatives (595 UK Members of Parliament and 433 USA Representatives), (ii) the Nextdoor posts (21.8 Million posts) of the constituency (98.4% USA and 91.5% UK constituencies). We find that elected politicians tend to be equally similar to their constituents in terms of content and style regardless of whether a constituency elects a right or left-wing politician. The size of the electoral victory and the level of income of a constituency shows a nuanced picture. The narrower the electoral victory, the more similar the style and the more dissimilar the content is. The lower the income of a constituency, the more similar the content is. In terms of style, poorer constituencies tend to have a more similar sentiment and more dissimilar psychological text traits (i.e. measured with LIWC categories).

In this paper, we develop new methods for analyzing high-dimensional tensor datasets. A tensor factor model describes a high-dimensional dataset as a sum of a low-rank component and an idiosyncratic noise, generalizing traditional factor models for panel data. We propose an estimation algorithm, called tensor principal component analysis (TPCA), which generalizes the traditional PCA applicable to panel data. The algorithm involves unfolding the tensor into a sequence of matrices along different dimensions and applying PCA to the unfolded matrices. We provide theoretical results on the consistency and asymptotic distribution for the TPCA estimator of loadings and factors. We also introduce a novel test for the number of factors in a tensor factor model. The TPCA and the test feature good performance in Monte Carlo experiments and are applied to sorted portfolios.

From administrative registers of last names in Santiago, Chile, we create a surname affinity network that encodes socioeconomic data. This network is a multi-relational graph with nodes representing surnames and edges representing the prevalence of interactions between surnames by socioeconomic decile. We model the prediction of links as a knowledge base completion problem, and find that sharing neighbors is highly predictive of the formation of new links. Importantly, We distinguish between grounded neighbors and neighbors in the embedding space, and find that the latter is more predictive of tie formation. The paper discusses the implications of this finding in explaining the high levels of elite endogamy in Santiago.