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 · 103 shown
Intraday electricity markets enable participants to adjust energy positions close to delivery, with price forecasts necessary to support trading and the scheduling of flexible electricity resources as well as increasingly responsive consumers.
PAPER REPORTS · Test AQL 10.62 €/MWh, MAE 28.04, RMSE 101.76, R² 0.39, AQCE 2.29%, AQCR 0.00% — averaged over forecast origins…
Abstract This paper studies how pre-trade transparency is associated with market quality in corporate bond markets.
The actor model - state isolation, data-race freedom, deadlock resistance, and sequential single-message reasoning - has long been dismissed as unsuitable for high-frequency trading (HFT): actors seem to imply many threads, a mailbox per actor, and a…
Prediction-market shares differ from traditional financial products in that, with no information or outside utility, classical delta-neutral Central Limit Order Book~(CLOB) market making cannot be financed by payoff-uninformative noise flow.
Automated execution algorithms are organized into schedule-based and liquidity-seeking families.
PAPER REPORTS · Relative slippage vs. arrival mid, passive Shadow-PPOV: +0.0955 ± 0.0130 ticks/contract (CME ES, calendar 2025, 246… · Relative to immediate execution: −0.4236 ± 0.0117 ticks/contract (same sample and cost assumptions)
We present SAiFE_gym, a Python module that provides a collection of simulation environments for studying trading problems in Constant Product Markets (CPMs) with Concentrated Liquidity (CL).
PAPER REPORTS · Nominal PPO LP agent, mean terminal PnL (gas included, 2 units X per rebalance) = +55.43 at training domain… · Domain-randomized PPO LP agent, mean terminal PnL (gas included) = +55.38 at (sigma=0.03, alpha1=450); grid values span…
We study strategic trading around index reconstitution in a continuous-time, multiasset game with transient cross-asset price impact and heterogeneous beliefs about future index membership.
Prediction-market resolution is often reduced to a terminal outcome and one timestamp.
Reinforcement learning trading systems published in the academic literature overwhelmingly rely on price-aggregate state representations (OHLCV bars) or limit-order-book depth features, leaving microstructure pattern theories from the practitioner literature,…
PAPER REPORTS · TSLA: +163.6% ROI, -27.5% max drawdown, 27,019 trades, held-out final 12 months of Jan 2020-Feb 2026 data, zero… · NVDA: +116.5% ROI, -47.8% max drawdown, 12,892 trades, same held-out 12-month partition, zero leverage, $0.0002/share…
We consider two canonical market-microstructure regularities: the long-memory of trade signs and the square-root law of meta-order impact. The point is not to propose new empirical laws, but to separate the clocks on which existing laws are defined.
Price-level limit order book (L2) data reveal aggregate liquidity but not the ordered queue required by price--time priority.
PAPER REPORTS · Passive-at-touch implementation shortfall, 1301.T, 18 held-out July 2025 dates, 1,080 episodes, zero… · Passive-at-touch implementation shortfall, 7911.T, same 18 held-out dates: 0.765 bps [0.547, 0.974] front, 0.926…
Classical market-making strategies based on stochastic control, such as the Avellaneda-Stoikov and the Guéant-Lehalle-Fernandez-Tapia (GLFT) extension, provide closed-form quoting rules, but rest on assumptions that break down at realistic microstructure…
PAPER REPORTS · Stationary flow: DQN risk-return frontier lies above the GLFT frontier throughout the observed risk range (N_sim = 1000… · Regime-switching (tau_r = 60 MO events, omega = 0.30, N_sim = 100 paired episodes of 100,000 LOB events): Algorithm B…
Decentralized exchanges record trading and liquidity provision on public blockchains, but empirical analysis requires interpreting these records and linking them to execution metadata.
We develop a theoretical model that endogenizes the regulator's decision to impose short-selling bans to prevent large stock price declines.
Financial markets alternate between periods of relative stability and instability, with structural breaks marking the transitions between these regimes.
We develop a filter for time series, defined at each time $t$ as the minimizer of a discounted convex combination of observed and expected losses.
Understanding the joint dynamics of prices and trades is central to market microstructure, where returns and order flow interact through nonlinear and state-dependent mechanisms.
Transaction costs can make or break a trading strategy, particularly in relative-value trading of commodity and macro markets, where edges are a few basis points. Price impact is a central component of transaction cost.
PAPER REPORTS · Net P&L, monthly average over 2004-2011 (96 months), in basis points of $1B gross limit, after simulated impact cost…
Although market participants generally have access to a common information set, they make decisions based on forecasts formed over heterogeneous horizons.
Trade durations in high-frequency foreign exchange data exhibit increased occurrence near integer values. To address this empirical phenomenon, we propose the granularity-adjusted autoregressive conditional duration (GA-ACD) model.
This paper develops a mechanism through which costly changes in the representations used for portfolio choice can contribute to persistent signed order flow.
Transient impact models compose a nonlinearity with a memory kernel, and the order of composition determines the criterion for absence of price manipulation. We classify both orders.
Market-order flow in financial markets exhibits long-range correlations. This is a widely known stylised fact of financial markets. A popular hypothesis for this stylised fact comes from the Lillo-Mike-Farmer (LMF) order-splitting theory.
Loss-versus-Rebalancing (LVR) is the dominant adverse-selection cost borne by liquidity providers on automated market makers.
We report a market in which a positive return is visible in prices yet cannot be realized by a fixed trading policy, and we measure why.
Coupled feedback networks are often monitored channel by channel even though cross-channel paths alter both stability margins and transmitted disturbances.
PAPER REPORTS · Detection power 1.00 with false-alarm rate 0.12 on zero-coupling entries under independent regime-switching gains (n =… · Detection power 1.00, false-alarm rate 0.22, off-diagonal RMSE 0.28 under correlated staircase gains (same design)
We study equilibria in a closed, fee-free constant-function market maker (CFMM) economy with two assets and two traders.
Tick-level trade-and-quote data for the Tokyo Stock Exchange is distributed through the Nikkei NEEDS service as thousands of zipped CSV archives spanning four data types with era-dependent schemas and Japanese-language layouts.
The stability of markets hosting leveraged exchange-traded products is governed not by any single product's loop gain but by the spectral radius of a loop-gain matrix, and scalar per-product monitoring underestimates system feedback by construction.
At 15-minute horizons, directional mean reversion is far stronger and more pervasive in cryptocurrency markets than in US equities: scored under one matched, strictly out-of-sample protocol, 90% of 183 Binance pairs carry significant directional reversal…
PAPER REPORTS · Gross edge per trade peaks near 1.3 bp of notional (BTC/ETH, 15m, 2025-01 to 2026-02) against a 5 bp cheapest maker… · Directional accuracy rises monotonically with confidence threshold, clearing 56% on the most confident bars (BTC/ETH);…
Automated market makers (AMMs) are a cornerstone of decentralised finance (DeFi). Constant product markets with concentrated liquidity, such as UniswapV3, are now a well-established design.
PAPER REPORTS · PPO_narrow, risk-neutral, sigma=0.01, g=2: mean PnL 49.91 +/- 0.38 USDC, 5% CVaR 9.15 +/- 0.65, over 1000 evaluation… · PPO, risk-neutral, sigma=0.01, g=2: mean PnL 42.31 +/- 0.97 USDC, 5% CVaR 6.08 +/- 0.97
We introduce a reinforcement learning framework for market making in a limit order book.
PAPER REPORTS · Normalized cash flow (20), noise market: LN mean 6.03, sd 2.81 (M=2); mean 4.66, sd 1.41 (M=20); 10,000 test episodes,… · Normalized cash flow, noise+tactical market: LN mean 9.11, sd 2.20 (M=2); mean 5.68, sd 1.03 (M=20)
This study examines the dynamic effects of monetary policy changes on derivatives pricing behavior, emphasizing applications in financial risk management for industrial commodities.
Financial markets do not evolve uniformly through calendar time. Periods of intense information arrival accelerate market activity, while information-poor periods produce the familiar intraday lull in trading.
Limit order book (LOB) simulators are most useful to practitioners when they combine realistic market dynamics, computationally efficient sampling, controllable scenario generation, and the ability to generalize beyond the instruments seen during…
Generative models of limit orderbook (LOB) data have advanced rapidly, but their evaluation often focuses on stylised facts and selected market statistics.
This study analyzes the microstructural mechanisms through which the rapidly expanding single-stock leveraged ETFs in the Korean capital market impede the price discovery function and amplify endogenous volatility.
Cryptocurrency exchange-traded products (ETPs) listed on European exchanges provide a regulated environment for studying intraday market anomalies.
PAPER REPORTS · AUC-ROC up to 0.823 for one-bar-ahead DPOT prediction (LR, cumulative features, VIRBTC.ST), out-of-sample last 20% of… · AUC-ROC 0.821 for DPOT, LR, cumulative, VBTC.XE; 0.812 session-based
We consider a market maker who can only obtain and dispose of inventory by responding to a sequence of sealed-bid enquiries, and whose customers arrive with imbalanced intent: sellers more often than buyers, or the reverse.
Hawkes-based microstructural foundations for rough volatility, leverage, and rough Heston-type limits were developed by El Euch et al.
Informed traders are supposed to need anonymity: they profit by hiding among the uninformed. A decentralized exchange now publishes the counterparty. Every committed order, cancellation, rejection, and fill carries a persistent pseudonymous wallet address.
PAPER REPORTS · One-second out-of-sample R2: 10.88% anonymous vs 12.31% with identity, +13.2% relative (t=9.2), ridge, evaluation July… · Gradient-boosted trees, one second: 19.48% -> 20.65%, +6.0% (t=5.0), same evaluation window, no costs
We study seven major crypto-perpetual liquidation cascades (2022-2025), and in the largest of them we can watch the mechanism directly.
We formulate an over-the-counter (OTC) market-making problem in which request-for-quote (RFQ) arrivals are modelled by general Hawkes kernels and fills are controlled thinnings of the exogenous request flow.
PAPER REPORTS · Exponential Hawkes benchmark objectives (Monte Carlo, 2x10^4 paths, T=1 day, no transaction costs modelled): benign —… · Near-critical regime objectives: exact HJB 48.80+/-0.24, Poisson 42.58+/-0.22, mean VR 48.37+/-0.25, noise-aware VR…
We develop an exactly solvable nonlinear time-series model by incorporating the square-root price-impact law into the Lillo--Mike--Farmer (LMF) model to resolve the diffusive price-dynamics paradox under predictable market-order flow.
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.
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.
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…