Research
Every research paper we have written up, newest paper first. New arrivals are screened automatically for topical fit with systematic trading; the ones that clear it are read, written up, and — where the idea is testable on our data — backtested. Particular focus on alpha hypotheses that can be formalised and tested. The Radar also covers portfolio construction, market risk and execution where the research is directly relevant to systematic investment processes. Follow new entries by RSS.
16,915 papers screened · 588 on the radar
LLM agents that act on live Web data must combine heterogeneous evidence, remember what they have done and improve from outcomes without weakening their own safeguards.
PAPER REPORTS · Live paper portfolio, Apr 8 to Sep 10, 2026 (102 trading days): - Return +5.0% vs SPY +12.4%. · Live paper portfolio, June 22 to July 29, 2026: -0.3%, vs SMH -24.6% over the same window.
Portfolio optimization techniques often use historical data to estimate parameters for Markowitz-type or ML models. Effective allocation requires a way to align the available data with conditions expected over the investment horizon.
PAPER REPORTS · Markowitz, lambda=0 (historical mean only, no future information in the view): net Sharpe 0.019 (gross 0.050), net MDD… · LSTM mean of 100 seeds, lambda=0: net Sharpe -0.021 (gross 0.037), net MDD -24.7%, final wealth 0.978.
We propose a market-making game played among $N \ge 2$ strategic market makers and a single non-strategic representative trader.
This paper compares financial-market reactions to the releases of DeepSeek R1 in January 2025 and Kimi K3 in July 2026.
This article studies a finite-horizon American put option with up to $m$ exercise rights under the risk-neutral Black--Scholes model, where consecutive exercises must be separated by a prescribed refractory period $δ>0$ and unused rights may expire.
Financial news can influence investment decisions long after publication. Timely news may reach an investor before prices fully adjust, whereas older news may already be reflected in prices.
PAPER REPORTS · LLM (GPT-4.1 mini) Market Data + Filtered News, 2023–2025 average of annual tests, net of 10 bp per dollar traded: -… · LLM Market Data + News + News Age, 2023–2025, net of 10 bp: 16.73% / 13.26% / 17.17% annualized at 0 / 1 / 4 week…
We model the dynamics of the liquidity profile in Uniswap~V3 and other concentrated-liquidity automated market makers with a stochastic partial integro-differential equation (SPIDE).
Optimal capital allocation in financial markets has long been a challenging task due to the dynamic nature of market conditions, risk factors, and the complexity of financial data.
PAPER REPORTS · Annualized Sharpe ratio 1.91, computed from daily portfolio returns with 252 trading days and a 2% annual risk-free… · Cumulative return 1.12. The test period is not stated beyond the 250 trading days in Fig 7, and it is unclear whether…
We study changes in underlying-market quality around Korea's May 2026 introduction of single-stock leveraged ETFs, using Samsung Electronics and SK Hynix as a case study. These were the first eligible underlying stocks.
This study examines the relationship between the dispersion in analysts' target prices and stock returns for firms listed on the KOSPI and KOSDAQ markets.
PAPER REPORTS · High-minus-Low TP_DISP(T) tercile, next-month excess return: 0.595 (t=1.77). Quarterly formation, Jan 2006-Mar 2026.
In January 2021, retail investors coordinating on Reddit’s r/WallStreetBets forced large price increases in heavily shorted stocks such as GameStop and AMC, imposing substantial losses on several hedge funds.
PAPER REPORTS · Reddit-favoured (top-5 WSB mentions) cohort: mean three-month holding-period return 13.00%, median 20.00%, win rate… · Institutionally accumulated (top-5 net 13F increase) cohort: mean three-month holding-period return 6.78%, median…
Indonesia's Islamic capital market has grown rapidly, with PT Bank Syariah Indonesia Tbk (BSI) emerging as one of its actively traded Sharia-compliant issuers.
Formulaic alpha factor mining searches for symbolic expressions that transform market data into predictive signals. Recent LLM-based evolutionary factor mining methods use large language models as semantic variation operators.
PAPER REPORTS · CSI 500, test 2022-05-01 to 2026-04-30, top-20 combined signal, Qlib TopkDropout (top 50, drop 5, daily) net of open… · S&P 500, test 2022-05-01 to 2026-04-30, same backtest and cost settings: annualized return 27.00%, information ratio…
Worst-case risk evaluation is central to finance and operations research, yet existing analytical results remain fragmented and largely confined to ambiguity sets with specific structures.
OUR BACKTEST · Sharpe 0.67 · Return +44.6% · Max DD -28.9%
We study strategic liquidity provision in decentralized exchanges with concentrated liquidity as a mean-field game.
PAPER REPORTS · Margin-gated provision backtest on four Base pools, 7497 hours, September 2024 to July 2025: in the market 2.5–12% of…
This paper extends the damped-sinc (DSINC) method for American options beyond the affine Heston class to general one-factor stochastic-volatility models.
Autoregressive foundation models offer state-of-the-art capabilities to simulate the market by generating the message flow of limit order books (LOBs).
Logistic stock-price dynamics have been proposed as a way of representing assets whose growth is bounded by competition, saturation or finite market capacity, but the derivations available in the literature retain a logistic drift while invoking a…
The electricity system in Great Britain (GB) allows participants to deliberately produce or consume a different volume to their traded position and has incentivised this practice with a single imbalance price since 2015.
We develop an arithmetic multi-factor stochastic volatility model for commodity futures and options.
PAPER REPORTS · V3 vanilla option portfolio one-day hedge, 2013-2024 (2,809 dates), in-sample, no transaction costs stated: hedging… · VC3 calendar spread option portfolio one-day hedge with 2 hedge options, 2013-2024 (2,806 dates), in-sample:…
We propose a regime-aware tactical asset allocation (TAA) framework integrating market regime detection with Nested Clustered Optimization (NCO) for multi-asset portfolio construction.
PAPER REPORTS · Regime-NCO (proposed), OOS Jan 2021 to Aug 2025, monthly, 10bp proportional costs, rf 0.479%/month: cumulative return… · Regime-NCO, same period and settings: Sharpe -0.9522, Sortino -1.2271.
The rapid advancement of generative artificial intelligence has catalyzed a paradigm shift in quantitative finance, transitioning from traditional point forecasting toward comprehensive financial time-series generation (FTSG) across extrapolation, imputation,…
This study examines the impact of Environmental, Social, and Governance (ESG) Disclosure and commodity price volatility on the stock returns of mining companies listed on the Indonesia Stock Exchange (IDX) during the 2019–2023 period.
This paper investigates the ability of random feature models to learn more complex patterns than the simple negative autocorrelation of financial returns.
PAPER REPORTS · Market timing, RFRR strategy, Jan 1990–Dec 2020, annualized certainty-equivalent returns, weights in [-1,2]: 8.84%… · Same strategy and period, weights in [-0.5,1.5]: 8.81% (a=2, p=0.04%), 7.26% (a=4, p=0.01%), 5.55% (a=6, p=0.02%).
Estimating extreme risk in reinforcement learning becomes increasingly difficult as the confidence level increases, since only a small number of observations contribute to empirical estimates of Conditional Value-at-Risk (CVaR).
PAPER REPORTS · Simulated Merton jump-diffusion, K=140 call, 63 daily steps; transaction costs not mentioned. · Same setting, EVT-trained policy hedging error on 3,000 paths conditional on unhedged payoff > 0.999 quantile: mean…
This paper studies continuous-time portfolio selection under Range Value-at-Risk (RVaR), with both portfolio performance and risk evaluated in terms of logarithmic returns.
OUR BACKTEST · Sharpe 0.18 · Return +15.4% · Max DD -38.2%
Realistic market impact is essential for generative limit order book (LOB) models to serve as world models for trading agents. If a simulator misprices this mechanism, agents learn policies that are optimal in the simulator but wrong in the real market.
This study evaluates the reliability and investment consequences of scenarios from a specified time-series generative adversarial network (TimeGAN) in Rachev-ratio portfolio allocation.
PAPER REPORTS · Historical RRP: 3.48% annualized net return, volatility 9.42%, Sharpe 0.26, realized RR 0.96, MDD 39.59%, daily 5% CVaR… · Hybrid eta=1/2, M=756: 2.80% return, volatility 8.98%, Sharpe 0.19, MDD 41.50%, turnover 420.65% (5-seed average; same…
OUR BACKTEST · Sharpe 0.48 · Return +27.1% · Max DD -26.9%
OUR BACKTEST · Sharpe 0.60 · Return +35.6% · Max DD -23.8%
The value of a forecast depends on its accuracy, but also on its actionability. In trading, an investor must translate return forecasts into positions while accounting for trading costs and the lingering impact of earlier trades.
OUR BACKTEST · Sharpe 0.07 · Return +8.8% · Max DD -55.7%
PAPER REPORTS · DCC-ePOET-1, out-of-sample global MVP on 331 S&P 500 stocks: Var 0.445, Annual-SD 10.840, mean Sharpe ratio 2.281,… · DCC-ePOET-2 (latent factors only, no observable factors), same setup: Var 0.464, Annual-SD 11.049, mean Sharpe ratio…
Value-at-Risk (VaR) is a widely adopted quantile-based risk measure in practice, yet incorporating VaR objectives into Markov decision processes (VaR MDPs) remains a longstanding challenge.
PAPER REPORTS · Simulated alpha-VaR of total execution revenue, dynamic vs. optimal static strategy (Regime 2, Almgren-Chriss…
In this paper, we provide a comprehensive study of how the classical Black--Scholes-type market framework behaves in an infinite-dimensional setting. The asset prices are modeled by stochastic evolution equations in a separable Hilbert space.
PAPER REPORTS · Decile long-short, intraday momentum (even lags, last 5 days): 0.23% per half-day (t=19.85); CAPM alpha 0.23 (t=19.87);… · Decile long-short, overnight momentum (even lags, last 5 days): 0.42% per half-day (t=19.34); TW alpha 0.37 (t=18.90);…
PAPER REPORTS · Recommended allocation (20% equities + 100 tons gold), historical simulation Nov 2002–Oct 2022, rolling 1-year returns:… · Same recommended allocation, rolling annualized 5-year returns, Nov 2002–Oct 2022: CZK average 3.48%, volatility 2.79%,…
OUR BACKTEST · Sharpe 0.92 · Return +94.9% · Max DD -29.7%
Accurate prediction of stock price movements is of substantial importance to investors, portfolio managers, and financial regulators, and although machine learning models are increasingly deployed in quantitative finance, the limited transparency of many such…
PAPER REPORTS · XGBoost long/flat, hold-out period, as-is configuration: annualized return −11.59%, Sharpe −0.241 at 10 bps one-way… · XGBoost long/short, hold-out period, as-is configuration: annualized return −34.29%, Sharpe −1.014 at 10 bps one-way…
OUR BACKTEST · Sharpe 0.09 · Return +2.4% · Max DD -14.9%
The short-term blow up behaviour of the ATM-IV skew is commonly modelled by either a rough volatility process with small Hurst index or an infinite variation Lévy process in the log-price dynamics.