AIQF Daily digest — 14 new papers

Quant Paper Radar · 4 of 14

1. 1

   From Alpha to Execution: Trading Horizons, Regimes, and Schedules under Concave Impact and Hurst Scaling

   Dnyanesh Kulkarni, Revant Nayar · ARXIV · Optimal Execution

   we backtested it — Sharpe -0.29 · quant relevance 0.98

   The paper derives an alpha-aware execution horizon and a front-loaded schedule under concave impact and Hurst-scaled price risk. Its reported 10–17% cost saving comes from its execution-cost model, not measured trading performance.

   original paper

2. 2

   Reading the News Without Hindsight: NoLBERT Topics and the Cross-Section of Stock Returns

   Kevin Foley, Jonathan Hartadi, Shivesh Prakash et al. · ARXIV · News-based cross-sectional return prediction

   we backtested it — Sharpe -0.73 · quant relevance 0.98

   The paper evaluates news-topic attention and stock exposures as cross-sectional return signals for US equities. Its reported ensemble performance does not significantly beat a price-only benchmark. A forward-shifted version can be backtested, but the platform cannot reproduce the paper's early training sample or its NoLBERT comparison.

   original paper

3. 3

   Combinatorial Arbitrage in Prediction Markets

   Hongjian Shi, Daojing Zhai · ARXIV · Combinatorial Arbitrage

   quant relevance 1.00

   The paper identifies executable arbitrage portfolios across logically related Polymarket contracts and simulates them. Its reported profits depend on contract-resolution rules and full-depth order books.

   original paper

The rest of the batch

• Klasifikasi Arah Tren Harga Bitcoin Menggunakan Metode Ensemble Learning Random Forest

  Fadhlan Subhan Fadilah, Indra Yustiana, Nugraha · OPENALEX · relevance 0.95

  Using hourly Bitcoin technical indicators, the study trains a Random Forest and reports trading results based on probability thresholds and trailing stops.

and 10 more · see the full radar