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 · 132 shown
We present an end-to-end deep learning framework for systematic options trading that directly embeds hedging behavior through explicit control of portfolio-level risk exposures.
PAPER REPORTS · DP (L1), α=10^2: annualized Sharpe 2.339, E[Return] 0.436, Vol 0.186, MDD 0.210, Sortino 3.583, Calmar 2.078, hit rate… · ENP (L2), α=10^1: Sharpe 2.260, E[Return] 0.409, MDD 0.236, hit rate 0.638. Zero costs.
Self-evolving agents aim to turn research feedback into reusable skills, tools, and research rules. Whether these accumulated capabilities continue to improve later research requires controlled evaluation.
PAPER REPORTS · Mean final portfolio IC, development 2025-01-01 to 2025-12-31 (in-sample, per-bar cross-sectional Pearson vs next… · Mean final portfolio IC, OOS 2026-01-01 to 2026-06-30, with development-period weights frozen (predictive IC only; no…
This article is concerned with the asymptotic shape of quantile surfaces, defined as the set of quantiles at a given level $α$ generated by a controlled one-dimensional distribution.
OUR BACKTEST · Sharpe 0.53 · Return +55.1% · Max DD -40.5%
This paper investigates cost-sensitive online window size selection for portfolio management under changing market conditions.
PAPER REPORTS · Hedge, DJIA 2021/03/04-2024/02/25, net of c=0.001 turnover cost: cumulative return 41.6977%, MDD -12.6326%, annualized… · Fixed Share, DJIA 2021/03/04-2024/02/25, net of c=0.001: cumulative return 38.1074%, MDD -12.9282%, annualized Sharpe…
The equal-weighted portfolio is a passive, rule-based strategy that has historically been difficult to outperform, delivering higher returns than the capitalization-weighted "market" benchmark across many markets and periods.
PAPER REPORTS · Mean-reverting frictional λ*,mr, 1995–2024 monthly, net of 15bp proportional costs: - cumulative net return 44.92 -… · Trending frictional λ*,trend, 1995–2024, net of 15bp costs: - cumulative net return 31.41 - return 0.13, volatility…
OUR BACKTEST · Sharpe 0.24 · Return +0.0% · Max DD -0.0%
Language-model agents now run the whole of quantitative factor research: they propose investment factors, backtest them, select the survivors and retire them. We ask which of those jobs an agent should keep.
PAPER REPORTS · Certified (frozen-referee) book, 4-family library, 20 groups of 5 seeds, campaigns starting 2016-2019 through 2026-08:… · Deflated Sharpe ratio 0.49-0.69 against 108 groups.
Stock price forecasting is a long-standing challenge in computational finance, driven by the inherent randomness of markets and complex temporal patterns.
PAPER REPORTS · CSI300 test (2017-01-01 to 2020-08-01), Qlib top-50 long, 20 replacements/day: excess annualized return 0.1809, excess… · CSI500 test (2017-01-01 to 2020-08-01), same strategy: excess annualized return 0.1529, excess information ratio…
We study the infinite-horizon optimal investment and consumption problem in a general class of continuous financial markets, where uncertainty is driven by a continuous non-decreasing stochastic clock representing accumulated variance.
Abstract. We study equilibrium feedback strategies for a family of dynamic mean-variance problems with competition among a large group of agents.
OUR BACKTEST · Sharpe 1.68 · Return +3.0% · Max DD -0.3%
Financial language models can transform unstructured firm-specific news into structured decision signals, but financial AI research lacks an integrated deployment framework for evaluating whether those signals remain useful in financial decision systems.
PAPER REPORTS · Long-short net Sharpe 2.85 (LLaMA-3, value-weighted quintile, net of 5bp one-way costs, 10% ADV cap, Jun 2024-Jan 2026) · Mean daily net return 0.34%, daily vol 1.89%, max drawdown -12.3%, cumulative long-short return 180% (LLaMA-3, same…
Mitigating \emph{drawdown}, the decline in wealth from its running peak, presents a canonical problem in path-dependent risk control.
PAPER REPORTS · Figure 1 reports higher estimated expected terminal return E[R_pi] for the drawdown-modulated policy than for the… · Maximum drawdown is guaranteed by construction: P(d* <= d_max) = 1 and V(k) >= (1 - d_max)V_max(k) > 0 for all k with…
OUR BACKTEST · Sharpe -1.60 · Return -0.0% · Max DD -0.0%
Day-ahead electricity price forecasts support trading and storage decisions, but for battery arbitrage predicting intraday price spreads is more relevant than predicting individual hourly prices.
PAPER REPORTS · Germany, 01.01.2021-31.12.2025, 1 MWh BESS, eta=1, 25 EUR round-trip cost: best Spread THieF total profit 154,265 EUR… · Spain, same period and setup, eta=1: best Spread THieF total profit 81,859 EUR (NARX) vs Oracle 95,336 EUR; relative…
Purpose: This paper explores the asymmetric and state-dependent dependence relationship of the S&P Green Bond Index with six international markets and assesses whether such dependence patterns are correlated with the risk-reduction benefit associated with…
PAPER REPORTS · Long-only two-asset minimum-variance portfolio, green bonds + S&P 500: GB weight 86.8%, annualized return 1.47%,… · Green bonds + S&P Bitcoin: GB weight 99.3%, annualized return 0.13%, volatility 7.48%, Sharpe 0.017, variance reduction…
Nested clustered optimization allocates within each cluster from the cluster's own covariance block and then across the resulting cluster portfolios.
Abstract We develop a continuous-time framework in which the risk associated with leverage is parameterized by a dimensionless drawdown-risk index relative to an arbitrary reference asset.
PAPER REPORTS · μ_{0|w} = 0.145 with σ_{0|w} = 0.274 and s_{0|w} = 0.665 for the scaled growth-optimal Kelly strategy k_{0|e1}w* on the… · μ_{e1|w} = 0.096 with σ_{e1|w} = 0.223 and s_{e1|w} = 0.543 for w = e1 + k_{0|e1}w*_{e1} (index-relative…
OUR BACKTEST · Sharpe 0.67 · Return +59.2% · Max DD -35.9%
Modern economic and financial data are increasingly organized as multiway arrays, with observations indexed simultaneously by geographic regions, industrial sectors, asset categories, and other economic characteristics.
PAPER REPORTS · TF-BEKK constrained global minimum-variance portfolio, 250-day out-of-sample period 2024-04-09 to 2025-04-18, Chinese… · TF-BEKK has the highest cumulative return at the end of the 250-day out-of-sample window (Figure 4) and the highest AV…
This study integrates the Black-Litterman (BL) model with deep learning techniques to construct a stock portfolio that incorporates investor sentiment.
PAPER REPORTS · BERT_BL, 2024-07-11 to 2024-12-31 (117 trading days), zero transaction costs: annualized return 106.58%, Sharpe 2.64,… · BERT_BL, same period, net of 0.03% commission + 0.1% sell stamp duty: annualized return 51.87%, Sharpe 1.55, Sortino…
We study exact-cardinality, equally weighted minimum-variance portfolio selection under a one-factor covariance model supplied in factor form. In the nonnegative homoskedastic regime, selecting the K smallest loadings is optimal.
OUR BACKTEST · Sharpe 0.65 · Return +50.5% · Max DD -24.3%
Early warning of market turbulence is usually treated as a classification problem, yet a usable system must also produce trustworthy probabilities, stay parsimonious and convert forecasts into defensible positions.
PAPER REPORTS · Optimized policies, mean of the eleven metaheuristics on the untouched holdout (25 Apr 2019-21 Feb 2020, 5 bp per unit… · Best optimized method by mean return (CS), 30 runs: balanced accuracy 0.693 +/- 0.026, AUC 0.763 +/- 0.019, return…
OUR BACKTEST · Sharpe 0.89 · Return +22.5% · Max DD -8.6%
Special Markowitz (SM) regularises returns and covariance jointly, relative to a reference state (mu_ref, Sigma_ref). Each eigendirection of the whitened relative operator carries a spectral reliability potential Phi_k, derived from its estimation quality.
OUR BACKTEST · Sharpe 0.30 · Return +32.3% · Max DD -54.9%
An ensemble of roughly 3,000 signals over 20 assets was reported to have approximately 90% correlation with the leading component of the asset-space return structure.
OUR BACKTEST · Sharpe -0.16 · Return -29.7% · Max DD -97.0%
In recent years, when traditional portfolio optimization (PO) models deal with highly volatile and irrational market environments, they often face problems of deviation in return prediction and lag in risk response.
PAPER REPORTS · Annualized return 0.196 (out-of-sample test set within 2018-2023, daily rebalancing, no trading costs) · Annualized volatility 0.187; Sharpe ratio 1.048 with risk-free rate assumed zero (no trading costs)
Abstract This paper investigates Magic: The Gathering (MTG) trading cards as a modern class of emotional assets and evaluates their role within diversified portfolios.
PAPER REPORTS · TCG Equal-Weighted Index, Oct 2010 - Mar 2025: annualized mean log return 18.73% (t = 5.48), volatility 13.01%, Sharpe… · TCG index alpha vs S&P 500: 17.84% annualized (t = 5.06), beta 0.07, R² = 0.01, same period, no cost adjustment stated
Abstract Whether richer information systematically improves portfolio allocation remains an open question in extreme-risk digital asset markets.
PAPER REPORTS · Gross of costs (2021-01-01 to 2024-03-31, out-of-sample rolling windows): GBRT+MV cumulative return 4.978, annual SD… · Gross: RF+MV return 4.806, SD 1.195, Sharpe 4.020; RF+MMV return 4.944, SD 1.386, Sharpe 3.567
We develop Entropic Value-at-Risk (EVaR) parity for tempered stable returns. EVaR-based inverse risk parity (IRP) and equal risk contribution (ERC) portfolios are constructed using multivariate normal tempered stable models and independent component analysis…
PAPER REPORTS · SECTOR EVaR-ERC ICA+NTS: cumulative return 853.79%, Sharpe 0.588, max drawdown 48.56%, turnover 6.93% (out-of-sample… · SECTOR EVaR-ERC ICA+CTS: cumulative return 821.40%, Sharpe 0.579, MDD 48.39%, turnover 9.49% (gross)
OUR BACKTEST · Sharpe 0.37 · Return +14.3% · Max DD -22.0%
Signal correlation and PnL correlation are correlations over different index sets - across assets at each date versus across dates for scalar payoffs - and practitioners often treat the first as a proxy for the second.
OUR BACKTEST · Sharpe -0.83 · Return -17.6% · Max DD -18.1%
Abstract This research seeks to delve deeper into the financial significance of the eigenvector associated with the second-largest eigenvalue of the correlation matrix of returns.
OUR BACKTEST · Sharpe -0.48 · Return -35.9% · Max DD -49.7%
For more than four decades, the 60/40 stock/bond portfolio has served as a benchmark for delivering reasonable returns without excessive risk. More recently, a 50/30/20 stock/bond/alternative portfolio has been suggested.
PAPER REPORTS · Markowitz: 11.6% annualized return, 9.0% annualized volatility, Sharpe 1.08, max DD 18.1%, mean DD 3.0%, turnover… · Simple Markowitz: 10.4% return, 9.3% volatility, Sharpe 0.91, max DD 15.8%, turnover 278.9%, same period and costs
OUR BACKTEST · Sharpe 0.43 · Return +18.9% · Max DD -16.4%
Modern portfolio theory identifies diversification as the primary tool for risk reduction. However, under model uncertainty, this cornerstone may no longer remain optimal.
OUR BACKTEST · Sharpe -0.52 · Return -29.5% · Max DD -24.9%
Modern portfolio management increasingly demands a balance between traditional risk-adjusted returns and strict Environmental, Social, and Governance (ESG) mandates.
PAPER REPORTS · Europe persona, out-of-sample 2015–mid-2016: Sharpe drop −0.144 (±0.335) vs Λ=[1,0,0,0] baseline; ESG score gains… · Asia persona, out-of-sample 2015–mid-2016: Sharpe drop −0.045 (±0.068); ESG gains +13.12%/+28.75%/+46.60%.
This paper examines asymmetric volatility spillovers and dynamic connectedness among BRICS exchange rates, the US Dollar Index (USDX), the Japanese Yen (JPY), Brent crude oil, and the Geopolitical Risk Index (GPRD), employing a Time-Varying Parameter Vector…
PAPER REPORTS · Minimum Variance Portfolio risk-reduction effectiveness (RE = 1 - var(rp)/var(ri)), Sept 2014 - Oct 2024, no… · Minimum Correlation Portfolio RE, same sample, no costs stated: RUB 0.98, BRL 0.96, ZAR 0.95, JPY 0.86, USDX 0.76,…
We study whether nuclear and energy-adjacent equity options exhibit a harvestable variance risk premium. Using CRSP and OptionMetrics data for 2000-2024, we construct a systematic cash-secured short-put strategy on a curated universe of nuclear-related firms.
PAPER REPORTS · EW put unconditional, 2000-2024 (300 months): 18.7% annualized return, 2.4% annualized volatility, Sharpe 7.81, MaxDD… · CAP-10 unconditional: 18.6% return, 2.4% vol, Sharpe 7.79, MaxDD 0.0%
Recent advances in LLM agents enable a new paradigm for asset pricing, which we call Agentic Empirical Asset Pricing (AEAP): systems that autonomously conduct the scientific discovery process itself. We define AEAP and identify its core building blocks.
PAPER REPORTS · SEADS mean per-factor OOS Sharpe 0.25 on Panel A (JKP) and 0.16 on Panel B (CRSP/Compustat), OOS windows 2020\u20132025… · SEADS productivity 14.0 (Panel A) / 13.8 (Panel B) admissions out of a 300-candidate budget
Foundation models promise accurate forecasts with little or no task-specific training, but whether they can replace models designed specifically for electricity price forecasting remains unclear.
PAPER REPORTS · Total BESS arbitrage profit over 2021-2025 (1,826 days, 1 MWh battery, 25 EUR round-trip operating cost deducted per… · Total profit Poland: unlimited-bid best 106,685 EUR (TabPFN-3) vs Oracle 123,439 EUR, 86.4% of perfect foresight; Spain…
Quantitative trading is moving from isolated predictive models toward agentic workflows that combine reasoning, tool use, memory, and feedback.
Small-cap-inclusive equity universes contain recently listed and intermittently traded securities, so enforcing a common look-back discards a substantial fraction of the available information.
PAPER REPORTS · Annualized five-session volatility 11.17%, January 2000 - December 2025, net of all modeled execution costs… · Sharpe 0.814, same period, net of execution costs
Stablecoins, typically pegged to fiat currencies, cannot achieve true stability because they inherit fluctuations in the underlying unit of account.
PAPER REPORTS · USD evaluation, USD risk space: annualized return 0.117, annualized volatility 0.211, Sharpe 0.554, max drawdown… · USD evaluation, MLV risk space: annualized return 0.156, annualized volatility 0.223, Sharpe 0.699, max drawdown…
Portfolio risk assessment ordinarily relies on reliable estimates of cross-asset return covariances, which are difficult to obtain in short, high-dimensional panels.
PAPER REPORTS · In-sample standardized variance percentile of the news-only allocation: 0.69%-1.33% across four prespecified capped… · Standardized in-sample variance 0.357, 8.3% below the equal-risk (inverse-volatility) benchmark and 35.6% above the…
OUR BACKTEST · Sharpe 0.47 · Return +44.2% · Max DD -29.9%
Algorithmic trading now represents a market exceeding $20 billion, where even marginal gains in signal robustness can translate into economically significant returns.
PAPER REPORTS · Hybrid ensemble, OOS 2025 (252 trading days), 2.2bp per trade per leg: total return 51.26%, Sharpe 2.44, Sortino 5.35,… · Hybrid ensemble, OOS 2025: annualised CAPM alpha 0.423 (p = 0.011), beta 0.048, Probabilistic Sharpe Ratio 0.960
OUR BACKTEST · Sharpe 0.75 · Return +696.5% · Max DD -365.1%
We model equity markets using geometric Brownian particles entering and exiting at rank-dependent intensities.
PAPER REPORTS · p=0 (equally weighted) diversity-weighted portfolio capitalization growth: +3.4% per year above the front speed,… · p=1 (market) portfolio: -0.5% per year relative to the front, 1975-2024, frictionless
OUR BACKTEST · Sharpe 0.63 · Return +66.6% · Max DD -37.1%
Abstract The emergence of cryptocurrencies has presented investors with novel portfolio diversification opportunities.
PAPER REPORTS · Unconstrained mean-CVaR with crypto: mean monthly return 2.63%, mean monthly CVaR 1.15%, mean monthly risk-return ratio… · Unconstrained without crypto: mean monthly return 0.46%, CVaR 0.42%, risk-return ratio 1.09%
We show that the key optimization results of the classical Markowitz portfolio selection theory, originally formulated for variance as the risk measure, remain available in explicit closed form under a broader class of strictly convex quadratic risk measures.
OUR BACKTEST · Sharpe 0.50 · Return +143.8% · Max DD -75.0%
This work complements our previous paper, which studies borrower-side strategies in decentralized lending markets, by focusing on lender-side capital allocation.
PAPER REPORTS · core-inspired strategy: 5.5% APY, $100k budget, Morpho USDC markets on Ethereum, Jan 1 2026 - Apr 1 2026, daily… · prime-inspired strategy: 3.3% APY, $100k budget, same period and cost assumption
KellyBoost is a single multi-output XGBoost model whose softmax output is the portfolio: with y the vector of per-asset holding-period returns, the training loss is - log(1 + w y), the negative log growth rate, so the fitted model is the growth-optimal…
PAPER REPORTS · KellyBoost (searched, gross of costs), 2013-01 to 2026-07, 163 monthly decisions: mean log growth 0.47 (x100 per 20-day… · KellyBoost hand-built feature pipeline, same period: logG 0.39, annualized return 5.7%, vol 22.9%, Sharpe 0.28, max DD…
Large language models (LLMs) are increasingly used in investment decision-making, yet prior work shows that they exhibit systematic, model-specific investment preferences.
PAPER REPORTS · Weekly rebalanced equal-weight long-only top-100 portfolio from Qwen3-8B scores, 427 S&P 500 stocks, 29 signal weeks /… · Realized Sharpe of the top-100 portfolios is shown only graphically (Figure 5c, axis range roughly 2–4); no point…
OUR BACKTEST · Sharpe 0.52 · Return +57.3% · Max DD -40.6%
Abstract A key puzzle in finance is why algorithmic traders with advanced neural models sometimes fail to beat simple traditional strategies, while in other cases they clearly outperform them.
PAPER REPORTS · Cluster 0 (most efficient), test 2025-2026, net of 0.1% one-way costs: DDPG annualised return 34.72%, cumulative… · Cluster 0 best classical: HRP Sharpe 1.591, Calmar 2.3562, max drawdown -13.07%, annualised return 30.80%
OUR BACKTEST · Sharpe 0.78 · Return +25.3% · Max DD -11.7%
Abstract Market timing models aim to anticipate short-term market movements according to a given source of information. Such information could be extracted from an analysis of history or a forecast of the future.
PAPER REPORTS · S&P500 timing, 2018: index -6.7% annualized; Strat1-L 3.8%, Strat1-LS 14.3%, Strat2-L 0.8%, Strat2-LS 8.2% (no… · S&P500 timing, 2023: index 21.6%; Strat1-L 21.9%, Strat1-LS 22.1%, Strat2-L 25.5%, Strat2-LS 29.4% (no transaction…
OUR BACKTEST · Sharpe 0.61 · Return +49.0% · Max DD -31.2%
We study continuous-time dynamic portfolio optimization under a Conditional Value-at-Risk (CVaR) constraint on the investor's terminal loss.
PAPER REPORTS · Complete market, binding c = -0.94, T = 1 simulated: E[W_T] = 1.0242, CVaR_0.95(-W_T) = -0.9406, average exposure… · Complete market, nonbinding c = -0.86, T = 1 simulated: E[W_T] = 1.0322, CVaR_0.95(-W_T) = -0.8671, average exposure…
OUR BACKTEST · Sharpe 0.75 · Return +55.2% · Max DD -26.8%
PAPER REPORTS · Minimum Variance Portfolio (MVP), 2019-2025 daily, no transaction costs stated: mean daily return 0.0005519, daily… · Minimum Correlation Portfolio (MCP): mean daily return 0.0007516, std dev 0.0014739, Sharpe (std dev) 0.5099, Sharpe…
OUR BACKTEST · Sharpe 0.21 · Return +11.2% · Max DD -24.8%
PAPER REPORTS · Monthly PCI-based mean-variance portfolio (1871:02-2023:12), leverage/risk-aversion setting 6: return 2.3331,… · Monthly PCI-based portfolio, setting 8: return 2.9252, volatility 0.0260, Sharpe 16.6522 vs RV benchmark 0.8883; no…