AIQF Daily digest — 15 new papers

Quant Paper Radar · 3 of 15

1. 1

   In search of seasonality in intraday and overnight option returns

   Bali, Turan G., Goyal, Amit, Mörke, Mathis et al. · ECONBIZ · Option return momentum and reversal

   quant relevance 0.98

   The paper reports long-short option returns from momentum and reversal signals based on prior intraday and overnight option returns. We could not construct its half-day returns because the platform lacks intraday option quotes and Greeks.

   original paper

2. 2

   When SHAP explains a leaked target: a cautionary study of an XGBoost and multi-level SHAP pipeline for S&P 500 direction prediction

   Liansheng Yuan, Yansong Leng, Yuqi Zhang · OPENALEX · Machine-learning directional trading and leakage validation

   we backtested it — Sharpe 0.09 · quant relevance 0.90

   This trading-model validation study is not evidence of a profitable signal. It shows that forward-filled non-trading days create misleading S&P 500 direction labels and SHAP explanations; after those rows are removed, the reported cost-aware strategy underperforms buy-and-hold.

   original paper

3. 3

   A bound on price impact and disagreement

   Beck, Philippe van der, Bretscher, Lorenzo, Fu, Julie Zhiyu · ECONBIZ · Price Impact / Liquidity-Aware Portfolio Construction

   we backtested it — Sharpe 0.92 · quant relevance 0.85

   The paper estimates how strongly investor demand affects U.S. equity prices, an input to trade sizing and execution-risk decisions. Its daily approximation can be tested with prices and trading volume, but the platform cannot reproduce its quarterly holdings-based estimates or analyst-forecast measure of investor agreement.

   original paper

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