AIQF Daily digest — 12 new papers

Quant Paper Radar · 6 of 12

1. 1

   Assessing the effectiveness of Greenblatt's Magic Formula across international stock markets : literature review

   Podgórski, Krzysztof · ECONBIZ · Quality and Value

   we backtested it — Sharpe 0.38 · quant relevance 0.99

   This literature review evaluates an annually rebalanced, equal-weight equity strategy combining high return on tangible capital with high EBIT/enterprise value. It synthesizes published backtests rather than presenting a new original backtest, highlighting transaction costs, universe selection and whether earnings yield alone performs better. The US implementation is buildable over available history, but the international results and earlier sample periods cannot be replicated with platform coverage.

   original paper

2. 2

   A Drift-Aware Continuous Hybrid Learning Framework for Adaptive and Robust Stock Trading

   Annalakshmi N, S Thangapriya · OPENALEX · Adaptive Machine Learning / Reinforcement Learning

   quant relevance 1.00

   The framework combines adaptively weighted SVM and XGBoost forecasts with a DDPG trading policy and drift-triggered retraining. Its US-equity, daily-frequency implementation is buildable, but NIFTY 50 coverage is unavailable and historical S&P 500 membership requires a disclosed capitalization-screen approximation. The abstract reports improved risk-adjusted trading performance, although numerical results are not visible in the supplied excerpt.

   original paper

3. 3

   The Conditional Value of High-Frequency Covariance Estimates in Minimum-Variance Portfolio Optimization: Evidence from Borsa Istanbul

   Taner Taş · OPENALEX · Minimum-Variance Portfolio Optimization

   quant relevance 1.00

   The study compares constrained minimum-variance portfolios using 5-minute, 30-minute, and daily covariance estimates on 11 Borsa Istanbul stocks. It reports conditional benefits from intraday covariance estimates, particularly with three-month estimation windows, rather than unconditional superiority. The investing application is direct, but the Turkish equity universe is unavailable on the platform.

   original paper

The rest of the batch

• Do profitable firms earn higher stock returns in frontier markets? : Evidence from the colombo stock exchange

  Jayasinghe, Gayani, Fernando, Ruwani, Pathirawasam, Chandrapala · ECONBIZ · relevance 0.94

  The study tests operating- and cash-profitability stock-selection signals using monthly profitability-sorted portfolios on the Colombo Stock Exchange from April 2010 to December 2023.

• AI-Based Stock Risk Classification and Portfolio Analysis

  Bhoomika Nitin Patil, Rashmi Kulkarni · OPENALEX · relevance 0.92

  This review proposes an integrated stock-risk classifier and portfolio-risk analysis framework using historical price indicators and conventional machine learning.

• Pricing American Options Time-Capped by a Drawdown Event in a Lévy Market

  Zbigniew Palmowski, Paweł Stȩpniak · OPENALEX · relevance 0.91

  The paper derives a valuation formula and optimal exercise threshold for a perpetual American put that settles upon a specified underlying drawdown under a downward-jump Lévy model.

and 6 more · see the full radar