AIQF Daily digest — 13 new papers

Quant Paper Radar · 3 of 13

1. 1

   PPO-HRAP: Proximal Policy Optimization with a Hybrid Regime-Aware Policy for Risk-Controlled Trading

   Duong Hien Chi Kien, Thanh Trung Huynh · ARXIV · Regime-aware reinforcement learning allocation

   we backtested it — Sharpe 0.89 · quant relevance 1.00

   The paper proposes a daily PPO policy that combines learned SPY exposure with a regime target based on trend and VIX. In its 2020–2022 SPY test, it reports higher risk-adjusted returns and lower maximum drawdown than buy-and-hold, but notes high turnover and limited evidence of robustness across assets.

   original paper

2. 2

   Portfolio Choice under General Utility with Transaction Costs and Search Frictions

   Tae Ung Gang, Donghan Kim · ARXIV · Portfolio Optimization

   we backtested it — Sharpe 0.52 · quant relevance 0.90

   The paper derives an optimal stock-and-cash rebalancing policy with proportional transaction costs and randomly arriving trading opportunities. Its numerical examples show policy shapes, not measured trading performance on market data.

   original paper

3. 3

   Certified Alpha Capacity: Statistical Evidence, Economic Lifetime, and Arbitrage under Decay

   Nicolò Bonacorsi · ARXIV · Alpha validation and decay-aware deployment

   quant relevance 0.90

   The paper develops a rule for deciding whether a trading signal can be validated before its expected value decays. Its equity-anomaly application can be tested with available data, but its cryptocurrency perpetual-funding illustration cannot be replicated because funding rates are unavailable.

   original paper

10 more papers written up in this period. Open the Quant Paper Radar →