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.
16,925 papers screened · 589 on the radar
At the scale of seconds the observed mid carries a stationary, mean-reverting error around a latent efficient price.
We introduce data-driven measures of high-frequency trading (HFT) that distinguish between liquidity-supplying and liquidity-demanding strategies.
I revisit the exchange rate disconnect puzzle, first documented by Meese and Rogoff (1983), using generative artificial intelligence (AI) to forecast currency returns based on economic fundamentals.
PAPER REPORTS · Annualized Sharpe ratio 0.594 at 48-month lookback (cross-sectional long top-2 / short bottom-2 of 9 currencies,… · Annualized Sharpe ratios 0.577 / 0.604 / 0.594 / 0.491 / 0.467 for 36 / 42 / 48 / 54 / 60-month lookbacks (2001-2024,…
Leveraged event positions combine a repayable loan with an outcome claim that may become non-tradable before oracle payout is final.
This note studies the conditional-density equation and its pathwise transformation in local stochastic rough volatility models, with rough Heston (rHeston) as the main explicit example.
OUR BACKTEST · Sharpe -0.45 · Return -4.2% · Max DD -7.5%
How deep and how long should the drawdowns of a systematic trading strategy run, given its Sharpe ratio and the statistical structure of its returns? Building on the drawdown framework of Rej, Seager and Bouchaud (2017), we develop the answer in three steps.
We present a unified approach to designing trend-following (TF) systems and classify them into European, American, and Time Series Momentum categories.
PAPER REPORTS · European TF system: annualized Sharpe 0.47, monthly returns net of transaction costs and net of 2%/20%… · American TF system: annualized Sharpe 0.50, net of transaction costs and 2%/20% fees, 31 December 1999 to 30 June 2026…
OUR BACKTEST · Sharpe 0.10 · Return +8.4% · Max DD -30.4%
Recently, it has been proposed to model the microstructure noise in prices by a continuous-time process with continuous sample paths that are rougher than those of a standard Brownian motion.
Implied volatility surface forecasting is essential for option valuation, hedging,and risk management, but remains difficult because future surfaces are stochastic while pricing inputs must satisfy static no-arbitrage shape restrictions.
Production forecasting systems retrain models regularly, but a retrained candidate does not necessarily outperform a continuously maintained incumbent that has continued to learn.
PAPER REPORTS · Metric is negative log-likelihood of a 3-class 300s direction forecast, not trading P&L; no Sharpe, return, alpha or… · Pooled 48 weeks (4 Aug 2025 - 5 Jul 2026, Binance USD-M + COIN-M, 8 underlyings, 3 seeds): SBS relative NLL reduction…
Parent-order execution is a core problem in algorithmic trading, where the goal is to split a large order into smaller orders while reducing execution costs.
PAPER REPORTS · Aggressive setting, April 2026, DS-v4-f: value-weighted price performance -2.26 bps vs TWAP benchmark price, i.e. · Passive setting, April 2026, DS-v4-f: -3.92 bps wbp, +1.07 bps vs TWAP and +0.71 bps vs strongest baseline; 100%…
We derive a mesoscopic model for optimal execution with limit orders that incorporates microstructural features of passive price impact.
PAPER REPORTS · Baseline simulation, η=0: mean P&L $320 (95% CI 301–339), mean implementation shortfall −$35 (CI −37 to −34), mean… · Simulation with η=0.005: mean P&L $71 (CI 49–93), shortfall −$19 (CI −21 to −17), final inventory 1,928 shares, trading…
This paper develops bootstrap inference for autoregressive conditional duration (ACD) models observed over a fixed calendar span, so that the number of durations is random.
Long-term transmission rights (LTTRs) are designed to support hedging in interconnected European electricity markets. LTTR auction prices have historically fallen short of forward market prices, signaling limited arbitrage.
Finite multiplicative systems often cease to evolve when a lower continuation threshold is reached,whereas standard growth-optimal benchmarks assume uninterrupted continuation.
OUR BACKTEST · Sharpe 0.68 · Return +16.4% · Max DD -8.3%
Recent advances in Generative AI have substantially improved financial sentiment analysis through post-trained financial large language models (LLMs).
PAPER REPORTS · FinSMART (static): cumulative return 264.9%, annualized return 91.5%, Sharpe 1.97, Sortino 2.40, Calmar 4.23, RankIC… · FinSMART (periodically retrained every 6 months): cumulative return 406.2%, annualized return 125.7%, Sharpe 2.41,…
OUR BACKTEST · Sharpe -0.46 · Return -48.2% · Max DD -75.2%
Powered by advances in LLMs and autonomous agents, deep research has become one of the most widely adopted agentic products. However, most deep research systems write general-purpose reports, which are inadequate for financial deep research.
PAPER REPORTS · FinanceHarness (Qwen3.6-27B backbone): overall rubric score 32.4%, pre-cutoff 45.7%, post-cutoff 11.8%, bootstrap SE… · FinanceHarness + GRPO (RFT): overall 32.8%, pre-cutoff 46.2%, post-cutoff 12.1% (same backbone and benchmark)
Pay-as-produced power purchase agreements (PPAs) expose buyers and sellers to the joint risk of power prices and renewable production.
PAPER REPORTS · Wind PPA, held-out simulated test paths, Jan–Dec 2025 delivery: multi-month dynamic futures hedge reduces payoff… · Wind PPA semi-static (dynamic futures + static claims): 87.3% reduction in both std (45.6 kEUR) and 95% CVaR (101.4…
Gerhold and Gülüm derived necessary calendar-vertical-basket conditions for finite call bid-ask quotes when the cash-settlement reference price lies inside a dynamically traded stock spread of bounded absolute width.
When do outcome records carry enough signal to support reliable inferences about skill? When they do not, what should evaluators substitute? The framework answering the first question characterizes any decision domain with two parameters: the noise reflected…
Gaussian Boson Sampling (GBS) provides a native photonic quantum heuristic for sampling dense subgraphs from adjacency matrices, offering a scalable physical approach to combinatorial graph search problems.
PAPER REPORTS · {"costs": "zero transaction costs and zero price impact assumed", "period": "2020 (trading effectively April 2020… · {"costs": "zero transaction costs and zero price impact assumed", "period": "2020", "sharpe": "2.050 ± 0.190",…
OUR BACKTEST · Sharpe -1.00 · Return -5.8% · Max DD -6.2%
We audit whether candle-based machine-learning models can turn predictions of cryptocurrency extrema or short-horizon outcomes into positive Binance Spot paper policies after assumed costs.
PAPER REPORTS · Frozen mandatory-daily selector: -6.72% compounded, 2026-07-01 to 07-19, 19 cycles, 3 wins/16 losses, 31 bps… · Frozen mandatory-daily selector cost stress, same period: -4.74% at 20 bps, -6.72% at 31 bps, -10.21% at 51 bps…
OUR BACKTEST · Sharpe 0.00 · Return +0.0% · Max DD 0.0%
Heavy-tailed diffusion models replace Gaussian noise by a Gaussian variance mixture: denoising Levy probabilistic models (DLPM) take the mixing variables i.i.d. across coordinates, while Student-t EDM shares one mixing variable per sample.
OUR BACKTEST · Sharpe -0.33 · Return -3.3% · Max DD -5.8%
This paper studies how much public information is needed to implement efficient trade in dynamic markets with privately informed sellers and buyers.
The Gasoil options market is illiquid, making it difficult to construct its implied volatility surface directly. However, it is closely linked to the highly liquid Brent options market.
The Observable Matrix Dynamics (OMD) approach monitors the time development of complex non-linear systems through the trajectory of a fixed-size distance matrix and its spectrum.
PAPER REPORTS · Early-warning ROC AUC (the paper's own signal, causal trailing 126-day features, label = forward peak-to-trough…
OUR BACKTEST · Sharpe 0.69 · Return +120.4% · Max DD -33.3%
Persistent whistleblowing failure in hierarchical healthcare organisations is typically attributed to insufficient legal protection for reporters or inadequate managerial incentives to investigate. This diagnosis is argued to be structurally incomplete.
Building on the identity that expected regret equals the covariance between costs and decisions, this paper develops the complete derivative theory of the covariance regret functional.
OUR BACKTEST · Sharpe 0.57 · Return +131.1% · Max DD -35.8%
We study a monopolist facing a buyer whose valuation is determined by pre-trade investment. Before setting price, the seller observes a signal about the buyer's private investment cost (buyer profiling).
The distribution of a normal mean-variance mixture depends on the law of its positive mixing variable. We compare six parametric mixing laws with a grid nonparametric maximum likelihood estimator under the same determinant identification constraint.
PAPER REPORTS · Model-based lower-envelope CPT value at the robust optimum: -0.04478 at 5% annual reference return; -0.09245 at 10%… · Empirical holdout CPT value at the robust weights: -0.04867 at 5% reference; -0.10049 at 10% reference (holdout 483…
OUR BACKTEST · Sharpe 0.13 · Return +0.1% · Max DD -0.2%
The expansion of the cyber insurance market remains exposed to the threat of accumulation events that could simultaneously affect a large number of policyholders.
The theory of portfolios, and its allied notions and fundamental results concerning growth optimality, the numéraire property, and ``market viability'' -- which rules out the possibility of financing nontrivial future liability streams starting with…
OUR BACKTEST · Sharpe 0.51 · Return +48.5% · Max DD -23.8%
Researchers, managers and policymakers are exploring different approaches and data sources to map the development and the diffusion of Artificial Intelligence (AI). In this research note, we illustrate the opportunities offered by trademark data.
I develop a model of learning-by-doing and curriculum design, and use it to study the impact of artificial intelligence (AI). A myopic student faces a sequence of tasks that he can work on or delegate to AI.
Using the outbreak of COVID-19 in Singapore as a quasi-natural experiment, we investigate tenants' changing responses to road traffic noise in the rental housing market, using 46,980 transaction records between 2006 and 2022.
Examining the economic impact of noise pollution from a lens of household is a burgeoning field in the study of environmental sustainability.
Firms in non-contractual commerce face the challenge of knowing how many customers they actually have because customers can stop buying without ever saying they have left.
The development of online banking has brought about an increase in fraudulent operations, which is a major problem for banks.
We study the optimal design and analysis of experiments for estimating spillover effects.