Daily digest — 17 new papers

Quant Paper Radar · 5 of 17

1. 1

   Portfolio Diversification and Concentration under Dependence Uncertainty: A Majorization Approach

   Peng Liu, Yang Liu · ARXIV

   we backtested it — Sharpe -0.52 · quant relevance 0.94

   The paper studies long-only portfolio allocation when cross-asset dependence is uncertain, using VaR, Expected Shortfall, Range-VaR, and volatility objectives. It is directly relevant to robust portfolio construction and proposes blending risk under a reference model with risk under worst-case dependence.

   original paper

2. 2

   An Entropic Factor Model for Robust Portfolio Replication

   Argimiro Arratia, Henryk Gzyl · ARXIV

   quant relevance 0.98

   The paper proposes a constrained, entropy-based method for factor estimation and portfolio weighting in robust benchmark replication. It compares investable index and ETF tracking, turnover, trading-friction-adjusted returns, and stress-period behavior against OLS.

3. 3

   Розробка поліноміальної моделі алгоритмічних торговельних стратегій для prop-трейдерів: політика економічної безпеки

   Катерина Анатоліївна Андрющенко, Володимир Валерійович Коваль, Olena Arefieva et al. · OPENALEX

   quant relevance 0.98

   The paper develops intraday cryptocurrency strategies based on polynomial autoregression and polynomial moving-regression bands. In six months of live trading, buy-and-hold outperformed the automated strategies across the tested cryptocurrencies.

   original paper

The rest of the batch

• Convex Modeling of Price Cross-Impact over Time

  Vincent Yinjun-Wang, Madeleine Udell · ARXIV · relevance 0.96

  The paper develops a convex multi-period transaction-cost model that combines cross-impact among related contracts with power-law transient impact over time.

• Artificial Intelligence in Equity and Crypto Markets: Progress, Profitability Evidence, and the Limits of Automated Investing

  Linsen Zhu, Mengqing Cai · ARXIV · relevance 0.95

  This critical review covers AI applications to equity and cryptocurrency return prediction, portfolio construction, and execution, with a focus on the evidence required to establish net tradable alpha.

and 12 more · see the full radar