AIQF Daily digest — 12 new papers

Quant Paper Radar · 4 of 12

1. 1

   Model-Free Passive Execution via Order-Level Shadowing

   Vincent Maciejewski · ARXIV

   quant relevance 0.99

   The paper proposes a passive execution algorithm that uses order identifiers to shadow individual third-party limit orders by placing and cancelling associated orders. It evaluates replay-simulation slippage and sensitivity to latency for CME ES futures against aggressive POV execution.

   original paper

2. 2

   Calibrated predictive regions for static hedging of piecewise-affine claims with option portfolios

   Nikolaos Halidias · OPENALEX

   quant relevance 0.96

   The paper converts calibrated future-price regions into static option portfolios with certified payoff constraints over those regions. Its numerical illustration constructs forecast intervals and payoff and loss bounds rather than running a conventional realized-performance backtest; implementation can use daily underlying prices and end-of-day listed-option data while respecting execution timing and contract availability.

   original paper

3. 3

   Leverage, drawdowns and risk relativity

   Hans‐Peter Bermin, Magnus Holm · OPENALEX

   we backtested it — Sharpe 0.67 · quant relevance 0.90

   The paper develops a leverage and drawdown-risk framework for multi-asset allocation, including a generalized Kelly portfolio and benchmark-relative allocations under a specified drawdown-risk target. It implies dynamic leverage and portfolio sizing based on estimated returns and covariances rather than variance alone.

   original paper

The rest of the batch

• Optimal entry and exit for variance swaps: closed-form rules for the perpetual contract

  Jun Maeda · ARXIV · relevance 0.94

  The paper derives closed-form optimal entry and exit thresholds for long and short perpetual variance-swap positions under a physical-measure CIR/Heston variance model, variance-risk-premium assumptions, and carrying costs.

and 8 more · see the full radar