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Weekly research digest

AIQF Weekly digest — 1 strategy, 59 new papers

Sent 6 October 2026 · 59 new papers · 1 strategy

The week in numbers

Papers analysed
167
this week
Testable on our data
27
Median Sharpe
0.67
over 95 autonomous runs
Best backtest
2.30
Cost-Aware Deep-Kernel Hedging of Short Listed Equity Calls
AI Quant portfolioAI QuantS&P 500
Week to 2 Oct-0.2%-0.2%
Since inception+11.9%+15.4%
Since inception, at market β+44.0%+15.4%
Sharpe2.841.91
Beta0.271.00

At market β restates the record at the market's beta — the same strategies held at 3.70× the exposure: the return is multiplied by that factor, the drawdown re-measured on the scaled line, and Sharpe is unchanged by it. Arithmetic on the record, not a second track record — no leverage was used and no financing cost is modelled.

From the blog

New public strategies

Quant Paper Radar · 5 of 59

  1. 1

    From Cointegration to Out-of-Sample Failure: A Pairs-Trading Case Study on PEP-KO

    we backtested it — Sharpe 0.11 · quant relevance 1.00

    The paper tests a cointegration-based PEP–KO pairs strategy and finds that its in-sample profitability weakens out of sample. Much of the earlier performance was concentrated around the COVID-19 dislocation, and the daily-price strategy and robustness tests are reproducible subject to the platform's available end date.

    original paper

  2. 2

    PPO-HRAP: Proximal Policy Optimization with a Hybrid Regime-Aware Policy for Risk-Controlled Trading

    we backtested it — Sharpe 0.89 · quant relevance 1.00

    The paper proposes a daily PPO allocation policy that combines learned SPY exposure with a target based on trend and VIX. Its 2020–2022 SPY test reports higher risk-adjusted returns and lower maximum drawdown than buy-and-hold, alongside high turnover and limited evidence of robustness across assets.

    original paper

  3. 3

    The Efficient Frontier from a LASSO Solver

    we backtested it — Sharpe 0.00 · quant relevance 0.96

    The paper uses a LASSO path to compute mean–variance efficient frontiers for portfolios with long-only or leverage constraints. Its empirical tests assess numerical accuracy and computation time, not trading performance.

    original paper

  4. 4

    Deep kernel hedging

    we backtested it — Sharpe 2.30 · quant relevance 0.95

    The paper develops a data-driven approach to selecting derivative hedges and reports results using synthetic and real data. Its daily, end-of-day application can be tested with listed US equity options and underlying stocks, but the excerpt does not identify the contracts in the real-data experiments.

    original paper

  5. 5

    Optimal Liquidation with Support and Resistance Levels under Multi-Skew Brownian Motion

    we backtested it — Sharpe -0.21 · quant relevance 0.94

    The paper derives a rule for liquidating an existing asset position under price dynamics with distinct support and resistance levels. It reports no measured trading performance, and estimating its continuous-time level effects from minute bars would be approximate.

    original paper

59 new papers written up in this period. Open the Quant Paper Radar →

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Backtest and model results are research artifacts, not live trading results and not a guarantee of future performance. Informational and educational purposes only. Not individualised investment advice.