Research
A continuously updated feed of research papers that pass our automated relevance screening for systematic trading — plus every paper we have published a review of, whatever it scored. Particular focus on alpha hypotheses that can be formalised and tested. The Radar also covers portfolio construction, market risk and execution where the research is directly relevant to systematic investment processes. Follow new entries by RSS.
15,697 papers screened · 250 on the radar · 248 shown
Frequent market instability and the lack of rigorously validated forecasting frameworks pose significant challenges for predicting market stress in the Dhaka Stock Exchange (DSE).
PAPER REPORTS · Random Forest crash-gated risk-off strategy, pooled equal-weighted, 2019-2022 test period: total return 67.26% (15.01%… · Annualized volatility 16.39% (strategy) vs. 18.11% (buy-and-hold); maximum drawdown -32.21% vs.
OUR BACKTEST · Sharpe 0.47 · Return +25.2% · Max DD -21.6%
Clean energy equities play a pivotal role in sustainable finance and the global energy transition, yet their performance remains highly sensitive to global fossil energy price fluctuations and climate policy uncertainty.
OUR BACKTEST · Sharpe 0.07 · Return +5.2% · Max DD -40.7%
This paper examines whether the risk-adjusted performance of Environmental, Social, and Governance (ESG)-focused Exchange Traded Funds (ETFs) reflects distinct investment behavior or is primarily influenced by benchmark exposure, geography, and sector…
OUR BACKTEST · Sharpe 0.56 · Return +53.4% · Max DD -37.6%
Transaction costs can make or break a trading strategy, particularly in relative-value trading of commodity and macro markets, where edges are a few basis points. Price impact is a central component of transaction cost.
PAPER REPORTS · Net P&L, monthly average over 2004-2011 (96 months), in basis points of $1B gross limit, after simulated impact cost…
Artificial intelligence (AI) now supports investment workflows from data and prediction through research, portfolios, execution, and tool use. Technical capability, however, is not evidence of investment profitability.
We compare the Heston model with $ρ=-1$ to the one-dimensional local-volatility model calibrated to the same European option prices.
We propose a new model of expected stock returns that incorporates quantity information from market trading activities into the factor pricing framework.
PAPER REPORTS · Panel OOS predictive R2 (2010-2022, monthly individual stock returns, no demeaning): 0.75% single-factor CAPM BTQ;… · In-sample R2 (2000-2022 full sample): 1.01% single-factor MKT BTQ, 1.21% FF5C BTQ, vs 0.05% and 0.22% for beta-only
This study constructs a climate risk attention indicator for Chinese funds by applying Word2Vec-based text analysis to annual fund reports.
PAPER REPORTS · Carhart four-factor alpha regression coefficients (2013-2023, annual fund-year panel, fund and year fixed effects):… · Authors' summary claim: "an annualized alpha of approximately 2.7% associated with acute risk focus" (conclusion…
Let a finite population of n labelled examples carry a class-weighted loss, with pi*n in a rare positive class weighted by N0/N1. We study estimation of total risk from a subsample K << n under designs allocating K0 and K1 draws to the two strata.
Modern portfolio theory identifies diversification as the primary tool for risk reduction. However, under model uncertainty, this cornerstone may no longer remain optimal.
OUR BACKTEST · Sharpe -0.52 · Return -29.5% · Max DD -24.9%
Herein, we propose a quantum circuit learning framework for modeling the realized volatility (RV) of Bitcoin and investigate the statistical properties of the predicted time series through multifractal analysis.
This article investigates the risk exposure of eight Central and Eastern European markets using monthly data.
Abstract We examine whether disproportionate insider control, or the divergence between insider voting and cash flow rights at dual-class firms, influences the extent to which stock price reflects information about future firm performance.
Abstract This study examines the dynamic and quantile-dependent spillover connectedness among African stock markets, precious metals, and cryptocurrencies.
Portfolio replication, or the construction of a tradable basket of assets to match the risk-return profile of a target benchmark, is fundamentally an ill-posed inverse problem.
Robust portfolio rules that reconstruct confidence sets after learning need not preserve the evaluator obtained by prior-by-prior Bayesian transport.
Abstract This study develops a robust framework for modeling dynamic volatility, asymmetry, and tail dependence in financial returns, focusing on the daily returns of Natural Resource Index () and the Oil and Gas Index ().
OUR BACKTEST · Sharpe 0.47 · Return +42.5% · Max DD -27.9%
Abstract Value-at-Risk (VaR), the most widely used measure of market risk, is typically evaluated through backtesting of point forecasts. Such procedures, however, say little about the uncertainty of the estimated quantile.
Although market participants generally have access to a common information set, they make decisions based on forecasts formed over heterogeneous horizons.
Large Language Models (LLMs) increasingly use user context such as memory, profiles, and role prompts to personalize their responses.
PAPER REPORTS · Q5-Q1 one-year (252 trading day) cumulative abnormal return relative to the S&P 500, sorting n~3,393 filings by… · Per-persona 12-model panel means: Value +5.63%, LongOnly +3.84%, ESG +3.44%, SellSide +3.30%, Credit +3.29%,…
We study deep hedging in the context of dynamics risk measures, where sequential decisions are time-consistent.
PAPER REPORTS · Terminal hedging loss CVaR95% at 1-year maturity, 10,000-path test set with initial state perturbation, 0.1%… · Mean terminal P&L, same setup (alpha=95%): log -1.1143 (std 1.7095), static +0.2161 (std 2.6423)
Transient impact models compose a nonlinearity with a memory kernel, and the order of composition determines the criterion for absence of price manipulation. We classify both orders.
This paper develops a mechanism through which costly changes in the representations used for portfolio choice can contribute to persistent signed order flow.
This paper develops uniform inference and certified capacity decisions for an estimated financial stability boundary. Conditional risk, temporary cross-impact, and effective risk-bearing capacity are jointly estimated from dependent observations.
PAPER REPORTS · Capacity/regret under the baseline loss convention (simulated 60-cell design, no market data): Projected safe - planned… · Under the high convention-loss calibration: projected-safe mean regret 0.107, below pointwise delta 0.120 and plug-in…
Trade durations in high-frequency foreign exchange data exhibit increased occurrence near integer values. To address this empirical phenomenon, we propose the granularity-adjusted autoregressive conditional duration (GA-ACD) model.
We establish the consistency and asymptotic normality of a two-step estimator of conditional expectiles in the context of conditional scale models.
Modern portfolio management increasingly demands a balance between traditional risk-adjusted returns and strict Environmental, Social, and Governance (ESG) mandates.
PAPER REPORTS · Europe persona, out-of-sample 2015–mid-2016: Sharpe drop −0.144 (±0.335) vs Λ=[1,0,0,0] baseline; ESG score gains… · Asia persona, out-of-sample 2015–mid-2016: Sharpe drop −0.045 (±0.068); ESG gains +13.12%/+28.75%/+46.60%.
This paper proposed a new model to price a stock option based on the Skewed Laplace distribution approach (SLOP).
PAPER REPORTS · MSE of SLOP 65.6667 vs MSE of BSOP 87.1059 across all 44 contracts (May 14, 2018 - May 14, 2019 sample for volatility;… · APE of SLOP 0.0425 (underpricing) vs APE of BSOP -0.1929 (overpricing), same sample
Abstract Sentiment indicators are widely used in digital asset markets, but their economic meaning remains ambiguous.
PAPER REPORTS · Expanding-window out-of-sample R-squared vs historical-mean benchmark, 2018-2026 sample, no transaction costs… · Out-of-sample directional hit rate of the ridge sentiment model: 49.8% (1d), 51.5% (7d), 48.1% (30d), no cost…
This paper examines asymmetric volatility spillovers and dynamic connectedness among BRICS exchange rates, the US Dollar Index (USDX), the Japanese Yen (JPY), Brent crude oil, and the Geopolitical Risk Index (GPRD), employing a Time-Varying Parameter Vector…
PAPER REPORTS · Minimum Variance Portfolio risk-reduction effectiveness (RE = 1 - var(rp)/var(ri)), Sept 2014 - Oct 2024, no… · Minimum Correlation Portfolio RE, same sample, no costs stated: RUB 0.98, BRL 0.96, ZAR 0.95, JPY 0.86, USDX 0.76,…
Abstract Existing studies of cryptocurrency contagion typically analyse either event-driven shock propagation or time-varying correlations in isolation and often focus on small asset panels.
Recent advances in LLM agents enable a new paradigm for asset pricing, which we call Agentic Empirical Asset Pricing (AEAP): systems that autonomously conduct the scientific discovery process itself. We define AEAP and identify its core building blocks.
PAPER REPORTS · SEADS mean per-factor OOS Sharpe 0.25 on Panel A (JKP) and 0.16 on Panel B (CRSP/Compustat), OOS windows 2020\u20132025… · SEADS productivity 14.0 (Panel A) / 13.8 (Panel B) admissions out of a 300-candidate budget
Similar to banks, DeFi protocols expose depositors to operational risk (USD 9.45 billion across 1,075 events since 2020). Unlike banks, they are not required to hold capital against it. A protocol may maintain a buffer voluntarily.
Market efficiency relies fundamentally on stable liquidity. Consequently, forecasting liquidity dynamics is a priority for both investors and regulators.
We study whether nuclear and energy-adjacent equity options exhibit a harvestable variance risk premium. Using CRSP and OptionMetrics data for 2000-2024, we construct a systematic cash-secured short-put strategy on a curated universe of nuclear-related firms.
PAPER REPORTS · EW put unconditional, 2000-2024 (300 months): 18.7% annualized return, 2.4% annualized volatility, Sharpe 7.81, MaxDD… · CAP-10 unconditional: 18.6% return, 2.4% vol, Sharpe 7.79, MaxDD 0.0%
We propose a deterministic numerical method for pricing and hedging surrenderable equity-linked life-insurance contracts with periodic premiums and fund contributions, maturity and death guarantees, and Bermudan surrender under correlated stochastic…
The object of this research is the economic security policy controlling algorithmic trading strategies for prop traders based on Polynomial Moving Regression Bands (MRB).
PAPER REPORTS · Six-month live trading test, four cryptocurrencies: buy-and-hold outperformed the proposed PAR automated system on all…
Abstract Publicly listed companies are increasingly disclosing climate-related financial risks to their businesses since the promulgation of the Task Force on Climate-related Financial Disclosures (TCFD), and more recently under the climate-related…
This study investigates the forecasting performance of machine learning models and traditional econometric volatility models in predicting daily stock price volatility across selected Southern African Development Community (SADC) markets from 02 January 2015…
This study comparatively examined the forecasting performance of machine learning and traditional volatility models in predicting daily exchange rate volatility across selected economies from 01 January 2015 to 08 May 2026.
Foundation models promise accurate forecasts with little or no task-specific training, but whether they can replace models designed specifically for electricity price forecasting remains unclear.
PAPER REPORTS · Total BESS arbitrage profit over 2021-2025 (1,826 days, 1 MWh battery, 25 EUR round-trip operating cost deducted per… · Total profit Poland: unlimited-bid best 106,685 EUR (TabPFN-3) vs Oracle 123,439 EUR, 86.4% of perfect foresight; Spain…
Generative models for implied volatility surfaces must produce outputs that satisfy static no-arbitrage constraints. We study these constraints in latent space.
Abstract This study examines the role of different social media sentiment dimensions in explaining stock market volatility in Pakistan.
Stablecoins, typically pegged to fiat currencies, cannot achieve true stability because they inherit fluctuations in the underlying unit of account.
PAPER REPORTS · USD evaluation, USD risk space: annualized return 0.117, annualized volatility 0.211, Sharpe 0.554, max drawdown… · USD evaluation, MLV risk space: annualized return 0.156, annualized volatility 0.223, Sharpe 0.699, max drawdown…
Loss-versus-Rebalancing (LVR) is the dominant adverse-selection cost borne by liquidity providers on automated market makers.
Small-cap-inclusive equity universes contain recently listed and intermittently traded securities, so enforcing a common look-back discards a substantial fraction of the available information.
PAPER REPORTS · Annualized five-session volatility 11.17%, January 2000 - December 2025, net of all modeled execution costs… · Sharpe 0.814, same period, net of execution costs
We investigate arbitrage in a discrete-time financial market model where, in addition to finitely many dynamically traded assets, there are also static options to choose from.
OUR BACKTEST · Sharpe 0.35 · Return +21.4% · Max DD -34.1%
We introduce ISCOS, a cross-entropy importance-sampling calibration method for rare credit-portfolio losses. We derive Gaussian and Gaussian--inverse-Gamma proposals and analyse the propagation of finite-COS approximation errors to the fitted parameters.
We propose a neural calibration method to construct a recombining binomial tree directly from a set of given option prices.
Market-order flow in financial markets exhibits long-range correlations. This is a widely known stylised fact of financial markets. A popular hypothesis for this stylised fact comes from the Lillo-Mike-Farmer (LMF) order-splitting theory.