4/07/2023 Sustainable Finance From Climate Stress Testing to Climate Value-at-Risk: A Stochastic Approach This paper proposes a comprehensive climate stress testing approach to measure the impact of transition risk on investment portfolios.
28/06/2023 Portfolio Strategy Retail Investors’ Behaviour in the Digital Age: How Digitalisation is Impacting Investment Decisions This paper outlines how digitalisation is impacting the behaviour and decisions of retail investors.
1/03/2023 Machine Learning & Artificial Intelligence Time Series Forecasting with Transformer Models and application for Asset Management Since its introduction in 2017 (Vaswani et al., 2017), the Transformer model has excelled in a wide range of tasks involving natural language processing...
13/01/2023 Portfolio Strategy What Artificial Intelligence reveals about share price reactions? What AI reveals about stock prices?- this piece outlines research by Amundi on the usefulness of using AI in stock analysis and valuation.
22/09/2022 Machine Learning & Artificial Intelligence Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach This paper proposes a weighted group neural network model and reexamines whether treasury bond returns are predictable when real-time, instead of fully-revised,...
1/07/2022 Machine Learning & Artificial Intelligence Credit Factor Investing with Machine Learning techniques The most common models to assess asset returns are a linear combination of risk factors.
1/03/2022 Machine Learning & Artificial Intelligence Augmenting Investment Decisions with Robo-Advice We study the introduction of robo-advising on a large representative sample of Employee Saving Plans.