Amundi
2025 Top 500 ranking: 8
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White papersConflict affecting sentiment
The Eurozone March PMI survey fell during the previous month, indicating businesses are getting worried about the Middle East conflict.
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White papersOut of the Black Box: Uncertainty Quantification for LLMs via Conditional Probabilities
Autoregressive LLMs generate text by sampling from estimated probability distributions over the next token, conditional on preceding context. We leverage these conditional probabilities to construct an entropy-based measure of prediction uncertainty, which we term inner confidence. Predictions with higher inner confidence are systematically more accurate.
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White papersModeling and Forecasting of Large Unbalanced Option Implied Volatility Surfaces
Forecasting the option implied volatility (IV) surface is difficult with standard time-series models because of its time-varying granularity. We propose a new two-step real-time sequential forecasting framework. The first step fits the daily surface and can accommodate any underlying specification for option prices or IVs, including dynamic option-pricing models, nonparametric methods, and machine-learning techniques. In the second step, we sequentially estimate a dynamic IV model using an updating rule.
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