A.1 Connection to online learning In Section 2 we motivated the update (2) as a way to adjust the size of our prediction sets in response to the realized historical miscoverage frequency. Alternatively, one could also derive (2) as an online gradient descent algorithm with respect to the pinball loss. To be more precise let t:= sup{: Yt 2 Cˆt()}, where we remark that Cˆt( t) can be thought of as the smallest prediction set containing Yt. Because the pinball loss is convex, this gradient descent update falls within a well understood class of algorithms that have been extensively studied in the online learning literature (see e.g. Unfortunately, this notion of regret fails to capture our intuition that t is adaptively tracking the moving target .

Multi-strategy hedge funds face a fundamental organizational choice: should analysts generating trading strategies communicate, and if so, how? We investigate this using 5-agent LLM-based trading systems across 450 experiments spanning 21 months, comparing five organizational structures from isolated baseline to collaborative and competitive conversation. We show that communication improves performance, but optimal communication design depends on market characteristics. Competitive conversation excels in volatile technology stocks, while collaborative conversation dominates stable general stocks. Finance stocks resist all communication interventions. Surprisingly, all structures, including isolated agents, converge to similar strategy alignments, challenging assumptions that transparency causes harmful diversity loss. Performance differences stem from behavioral mechanisms: competitive agents focus on stock-level allocation while collaborative agents develop technical frameworks. Conversation quality scores show zero correlation with returns. These findings demonstrate that optimal communication design must match market volatility characteristics, and sophisticated discussions don't guarantee better performance.

This paper investigates the structural dynamics of stock market volatility through the Financial Chaos Index, a tensor- and eigenvalue-based measure designed to capture realized volatility via mutual fluctuations among asset prices. Motivated by empirical evidence of regime-dependent volatility behavior and perceptual time dilation during financial crises, we develop a regime-switching framework based on the Modified Lognormal Power-Law distribution. Analysis of the FCIX from January 1990 to December 2023 identifies three distinct market regimes, low-chaos, intermediate-chaos, and high-chaos, each characterized by differing levels of systemic stress, statistical dispersion and persistence characteristics. Building upon the segmented regime structure, we further examine the informational forces that shape forward-looking market expectations. Using sentiment-based predictors derived from the Equity Market Volatility tracker, we employ an elastic net regression model to forecast implied volatility, as proxied by the VIX index. Our findings indicate that shifts in macroeconomic, financial, policy, and geopolitical uncertainty exhibit strong predictive power for volatility dynamics across regimes. Together, these results offer a unified empirical perspective on how systemic uncertainty governs both the realized evolution of financial markets and the anticipatory behavior embedded in implied volatility measures.

Volatility forecasting is essential for risk management and decision-making in financial markets. Traditional models like Generalized Autoregressive Conditional Heteroskedasticity (GARCH) effectively capture volatility clustering but often fail to model complex, non-linear interdependencies between multiple indices. This paper proposes a novel approach using Graph Neural Networks (GNNs) to represent global financial markets as dynamic graphs. The Temporal Graph Attention Network (Temporal GAT) combines Graph Convolutional Networks (GCNs) and Graph Attention Networks (GATs) to capture the temporal and structural dynamics of volatility spillovers. By utilizing correlation-based and volatility spillover indices, the Temporal GAT constructs directed graphs that enhance the accuracy of volatility predictions. Empirical results from a 15-year study of eight major global indices show that the Temporal GAT outperforms traditional GARCH models and other machine learning methods, particularly in short- to mid-term forecasts. The sensitivity and scenario-based analysis over a range of parameters and hyperparameters further demonstrate the significance of the proposed technique. Hence, this work highlights the potential of GNNs in modeling complex market behaviors, providing valuable insights for financial analysts and investors.

This paper introduces the FinSen dataset that revolutionizes financial market analysis by integrating economic and financial news articles from 197 countries with stock market data. The dataset's extensive coverage spans 15 years from 2007 to 2023 with temporal information, offering a rich, global perspective with 160,000 records on financial market news. Our study leverages causally validated sentiment scores and LSTM models to enhance market forecast accuracy and reliability. Utilizing the FinSen dataset, we introduce an innovative Focal Calibration Loss, reducing Expected Calibration Error (ECE) to 3.34 percent with the DAN 3 model. This not only improves prediction accuracy but also aligns probabilistic forecasts closely with real outcomes, crucial for the financial sector where predicted probability is paramount. Our approach demonstrates the effectiveness of combining sentiment analysis with precise calibration techniques for trustworthy financial forecasting where the cost of misinterpretation can be high. Finsen Data can be found at [this github URL](https://github.com/EagleAdelaide/FinSen_Dataset.git).

Predicting the S&P 500 index volatility is crucial for investors and financial analysts as it helps assess market risk and make informed investment decisions. Volatility represents the level of uncertainty or risk related to the size of changes in a security's value, making it an essential indicator for financial planning. This study explores four methods to improve the accuracy of volatility forecasts for the S&P 500: the established GARCH model, known for capturing historical volatility patterns; an LSTM network that utilizes past volatility and log returns; a hybrid LSTM-GARCH model that combines the strengths of both approaches; and an advanced version of the hybrid model that also factors in the VIX index to gauge market sentiment. This analysis is based on a daily dataset that includes S&P 500 and VIX index data, covering the period from January 3, 2000, to December 21, 2023. Through rigorous testing and comparison, we found that machine learning approaches, particularly the hybrid LSTM models, significantly outperform the traditional GARCH model. Including the VIX index in the hybrid model further enhances its forecasting ability by incorporating real-time market sentiment. The results of this study offer valuable insights for achieving more accurate volatility predictions, enabling better risk management and strategic investment decisions in the volatile environment of the S&P 500.

It is an issue of great importance for policy and investment decision makers (Schwert, 1989; Fama, 1990; Corradi et al., 2013; Chauvet et al., 2013). Empirical studies have been used to examine whether stock market volatility, which behaves differently in expansion and recession periods, can be predicted by macroeconomic variables (Schwert, 1989; Hamilton and Lin, 1996). Research has also established a link between stock market volatility and macroeconomic fundamentals (Engle and Rangel, 2008; Diebold and Yilmaz, 2008; Corradi et al., 2013; Choudhry et al., 2016). However, despite recent successes in developing machine learning (ML) models for predicting financial prices of different assets (see e.g., Gu et al. (2020); Heaton et al. (2017); Gu et al. (2021); Bianchi et al. (2021)), there is little literature discussing the impact of business cycles and market volatility on stock price forecasting with ML models. This paper fills this gap and explores the data-shifting effects of market volatility resulted from recessions on ML models. Specifically, we focus on answering the following three research questions in this work: 1. Do ML models perform differently during the recession compared to non-recession? 2. Does including recession data in the in-sample (training) period improve ML performance?

After the latest update of the infamous artificial intelligence (AI) chatbot ChatGPT-4, the technology has been a buzzword inside and outside the crypto industry. While opinions on the technology may be mixed, companies continue to integrate AI to enhance their user experience. On March 31, the cryptocurrency exchange and Web3 technology company OKX announced that it will be launching a new integration from EndoTech.io The algorithms incorporate both machine learning and "other advanced techniques" in an effort to conduct real-time analyses of data and trading opportunities. OKX also jumped on the AI bandwagon on March 30 when it posted an AI-generated poem from ChatGPT-4 about the company's wallet. The amazing features of #OKXWallet presented as Sea Shanty by #ChatGPT.

Columbia Venture Community (CVC) is hosting an exclusive symposium to Limited Partners (LPs) & General Partners (GPs) to discuss strategies & network. This four (4) hour symposium is the launch of a private investing special interest group for CVC. According to surveys of membership, over 13% of CVC members are private investors. A staggering 40% of CVC members are founders. Over 60% of membership are C-level leaders.