AIQF Daily digest — 3 new papers

Quant Paper Radar · 3 new

1. 1

   SBCA: cross-modal gated actor-critic with frozen BERT-based sentiment features for multi-asset portfolio optimization

   Jinfeng Pan, Mi Liu, 晓萍 et al. · OPENALEX · News-informed portfolio optimization

   we backtested it — Sharpe 2.62 · quant relevance 0.98

   The paper tests a daily, news-informed actor-critic policy for allocating among U.S. equities, with downside-risk and turnover penalties. Its reported performance is for its own small equity portfolios; our shorter news history would not reproduce its 11-year test.

   original paper

2. 2

   Impact of Foreign Institutional Investment on Indian Stock Market Volatility Evidence from the NIFTY Bank Index

   Christian Orlin Wilsonbhai, Dr. Dixitabahen M. Oza · OPENALEX · Institutional-flow volatility signal

   quant relevance 0.62

   The study tests whether daily foreign institutional flows provide a useful signal for Indian banking-index returns or volatility. It finds little evidence that net flows add to a stand-alone volatility forecast, and its analysis is contemporaneous rather than a trading backtest.

   original paper

3. 3

   Capital Flow, and Exchange Rate on the Indonesia Composite Stock Price Index (IHSG) with Profitability as a Moderating Variable

   Rinda Setyowati, Sriyono Sriyono, Ika Oktaviyanti · OPENALEX · Macro-fundamental equity forecasting

   quant relevance 0.61

   The study estimates relationships between Indonesian macroeconomic variables, company profitability, and the Jakarta Composite Index, with an explicit proposed use in investment decisions. Its reported findings are regression relationships, not measured trading performance or a demonstrated forward-looking signal.

   original paper