AIQF Daily digest — 15 new papers

Quant Paper Radar · 4 of 15

1. 1

   Simple Dynamic Stock/Bond/Gold Portfolios

   Nikhil Devanathan, Alexandros E. Tzikas, Stephen P. Boyd · ARXIV

   we backtested it — Sharpe 0.43 · quant relevance 1.00

   The paper evaluates monthly, long-only dynamic allocation among SPY, AGG, GLD, and cash, using volatility targeting and constrained Markowitz optimization. It reports improved Sharpe ratios, drawdowns, and risk consistency relative to fixed-weight stock/bond and stock/bond/gold benchmarks. The platform can implement the ETF and FRED-based methodology, although its price history supports replication from approximately 2010 rather than the paper's full 2006--2026 evaluation window.

   original paper

2. 2

   Nyström Attention Matches Full Attention for Cross-Sectional Stock Prediction

   Kunhan Guo · ARXIV

   we backtested it — Sharpe -0.58 · quant relevance 0.96

   The paper tests a low-rank Nyström approximation to cross-sectional Transformer attention for forecasting and ranking future stock returns. On Chinese A-share universes, it reports preserving the Rank IC of full attention while reducing attention complexity from O(N²) to O(mN), though gains from the cross-stock module did not reliably extend to the largest universe.

   original paper

3. 3

   AlphaRJM: Reward-Jump Memory for Stochastic Return-Guided Alpha Discovery

   Sayan Dhan, Selvaraju Natarajan · ARXIV

   quant relevance 0.96

   AlphaRJM uses reinforcement learning to discover interpretable formulaic equity alpha signals, with rewards tied to incremental improvements in ensemble information coefficient. The paper reports empirical gains and stability across equity universes, forecast horizons, and random seeds.

   original paper

The rest of the batch

• Variance-Optimal Hedging in the Rough Hawkes--Heston Model

  Yingli Wang, Xiaoyu Wang · ARXIV · relevance 0.98

  The paper derives variance-optimal stock hedges for European calls in a rough Hawkes–Heston model and provides theoretical convergence results for kernel-regularized hedges.

and 11 more · see the full radar