AIQF Daily digest — 27 new papers

Quant Paper Radar · 8 of 27

1. 1

   Empirical Evaluation of Trend Filters and Exit Configurations in a Renko-Based Algorithmic Trading System

   Venkata Maheswara Rao Atchula, Pawan Kumar Pareek · OPENALEX · Renko Trend Following / Exit Architecture

   quant relevance 1.00

   The study compares six trend filters and two exit architectures in a one-minute BTCUSD Renko strategy. All reversal-exit configurations report positive simulated profits, whereas all fixed-stop configurations lose money; synthetic Heikin Ashi prices, proprietary implementation, and a single historical sample substantially limit interpretation.

   original paper

2. 2

   Optimal Order Placement under a State-Dependent Hawkes Process Limit Order Book model

   Jonathan Chávez Casillas, Li Gan · ARXIV · Market Making / Optimal Quote Placement

   quant relevance 1.00

   The study develops inventory-sensitive market-making quotes using state-dependent Hawkes order arrivals and block-specific execution demand, evaluated on five days of MSFT LOBSTER data. Reported aggregate terminal wealth exceeds one- and three-tick fixed-spread benchmarks but trails the two-tick benchmark; these comparisons do not establish superiority under the inventory-penalized objective.

   original paper

3. 3

   Simple Portfolios that Deliver Consistent Decent Returns

   Oskar Edén Wallberg, Alexander Karolin · ARXIV · Risk-Based Asset Allocation

   quant relevance 1.00

   The study evaluates monthly, long-only, unlevered US ETF portfolios using risk-based optimization and momentum-informed return forecasts, and reports outperformance against a 60/40 allocation. Its methods are implementable with available daily ETF prices, although our post-2010 coverage cannot reproduce the full 2005–2025 evaluation.

   original paper

The rest of the batch

• The Illusion of Accuracy: Machine-Learning and GARCH Forecasts of UK Equity Index Prices

  Uzair Bhatti, Sadaat Umer, Awais Iqbal · OPENALEX · relevance 0.97

  The study compares weekly return forecasts, volatility forecasts and forecast-driven index timing for the FTSE 100 and FTSE 250.

• EVALUATING INVESTMENT PORTFOLIO PERFORMANCE USING THE MAR AND MAD MODELS WITHIN THE RETURN AND RISK FRAMEWORK: AN ANALYTICAL STUDY IN THE IRAQ STOCK EXCHANGE

  Banoor Adnan Zayerl, Muhammad Shehab Ahmed · OPENALEX · relevance 0.96

  The study compares MAR- and MAD-based portfolio construction and performance evaluation for 39 Iraqi stocks over 2014–2025.

• The Limits of Machine Learning in Daily Return Forecasting: Evidence from Volatility Regimes, Tail Risk, and Multi-Asset Markets

  Alshaikh A. Shokeralla · OPENALEX · relevance 0.95

  The study directly addresses daily BTC directional forecasting and investment tail-risk management, finding no statistically significant forecasting advantage for XGBoost over linear regression.

• Investor Sentiment, Cross-Market Contagion, and Asset Pricing in China: A Sentiment-Extended Fama–French Framework

  Yufei Li · OPENALEX · relevance 0.92

  The study proposes a China-specific sentiment factor combining broad market sentiment, financial-news tone, and Baidu search attention, then constructs a long–short portfolio sorted on sentiment sensitivity.

• A Semiparametric Real-Time GARCH Model with Nonstationary Variance

  Muyi Li, Yajia Chen, Yuqing Xu et al. · ARXIV · relevance 0.91

  SRT-GARCH combines a smooth long-run variance component with contemporaneous short-run feedback for volatility and VaR forecasting, making it directly relevant to position sizing and risk management.

and 19 more · see the full radar