AIQF Daily digest — 10 new papers

Quant Paper Radar · 4 of 10

1. 1

   News sentiment and stock price ratio dynamics: implications for pairs trading strategies

   William Finnbar Derry Lee, Frédérik Sinan Bernard, Wouter van Heeswijk et al. · OPENALEX · Sentiment-augmented pairs trading

   quant relevance 0.98

   The paper tests whether news sentiment improves US equity pairs trading. Its sentiment-aware strategies did not consistently beat a Bollinger-band baseline on returns or Sharpe ratio, although one reported better Sortino ratios and lower maximum drawdowns. A backtest is feasible with available prices and the platform’s news feeds instead of the study’s scraped Google News headlines.

   original paper

2. 2

   SOTA: Stock Options Trading Agents Guided by Option-Implied Return Distributions

   Yizhen Xie, Mengyang Liu · ARXIV · Agentic options strategy selection

   quant relevance 1.00

   SOTA selects and trades option strategies on nine U.S. stocks and SPY. It reports an 18.3% return and a 1.60 Sharpe ratio over a six-month out-of-sample test, but the available data and methods cannot reproduce its trading environment or full policy.

   original paper

3. 3

   Optimal Investment to Reach a Financial Goal: A Stochastic Control Framework

   Gechun Liang, Moris S. Strub, Yuwei Wang et al. · ARXIV · Goal-based portfolio optimization

   we backtested it — Sharpe 0.63 · quant relevance 0.92

   The paper develops an optimal portfolio-allocation policy for reaching a financial target before a deadline. Its results come from theoretical and numerical analyses of a stochastic model, not measured trading performance on historical market data.

   original paper

The rest of the batch

• Multi-period Mean-Expectile Portfolio Optimization under Wasserstein Ambiguity: Reformulation, Degeneracy and the Role of the Ground Metric

  Rupendra Yadav, Aparna Mehra · ARXIV · relevance 0.95

  The paper develops a distributionally robust portfolio-allocation method, with out-of-sample performance reported on 90 FTSE constituents.

and 6 more · see the full radar