AIQF Daily digest — 17 new papers

Quant Paper Radar · 7 of 17

1. 1

   Nested Clustered Optimization Is One End of a Schur Bridge, and the Interior Is Sometimes Provably Better

   Peter Cotton · ARXIV

   quant relevance 0.96

   The paper develops a covariance-based portfolio method that bridges nested clustered optimization and the unconstrained global minimum-variance portfolio. It argues that partial use of cross-cluster covariance information can improve out-of-sample minimum-variance allocation under estimation error while preserving smaller optimization problems.

   original paper

2. 2

   On Control of Drawdown: Robust Invariance and Optimality

   Chung-Han Hsieh · ARXIV

   quant relevance 0.94

   The paper derives dynamic multi-asset position sizing that seeks terminal wealth while enforcing a maximum percentage drawdown constraint. The method can be backtested daily with US equity or ETF prices, but its robust guarantee requires future-return support sets that historical data alone cannot establish.

   original paper

3. 3

   Stealing profits: Spread-based temporal hierarchy forecasting for day-ahead electricity markets

   Arkadiusz Lipiecki, Nikolaos Kourentzes, Rafal Weron · ARXIV

   quant relevance 0.96

   The paper develops a spread-aware temporal-hierarchy method for forecasting hourly day-ahead electricity prices and tests its decision value through battery charge and discharge arbitrage. It reports improved forecast accuracy and realized BESS-arbitrage profit gains in German and Spanish power markets.

   original paper

The rest of the batch

• Universal Diffusion Models for Implied Volatility Surfaces: Learning Shared Dynamics Across Stocks

  Mingzhi Yang, Sheng Wang, Chao Zhang et al. · ARXIV · relevance 0.94

  The paper develops a cross-stock conditional diffusion model for next-day equity returns and implied-volatility-surface changes, with applications to option pricing, hedging, scenario generation, and risk management.

• Ergodic robust maximisation of asymptotic growth with stochastic factor processes

  David Itkin, Benedikt Koch, Martin Larsson et al. · OPENALEX · relevance 0.93

  The paper derives a robust trading portfolio that maximizes long-run growth under uncertainty in drift and factor dynamics, using an asset covariance structure and an invariant state distribution.

• OrderFusion+: Probabilistic Buy--Sell Price Trajectory Forecasting in Intraday Electricity Markets

  Runyao Yu, Derek W. Bunn · ARXIV · relevance 0.92

  The paper develops an open-source deep-learning model that produces probabilistic buy- and sell-side intraday electricity-price trajectory forecasts from German continuous-market order-book data and neighboring delivery products.

• Pre-trade transparency and market quality in corporate bond markets

  Brian Mattmann · OPENALEX · relevance 0.92

  The paper examines whether publicly displayed pre-trade corporate-bond quotes improve liquidity, transaction costs, price dispersion, and price impact, including for OTC executions.

and 10 more · see the full radar