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 · 131 shown
Abstract. In this paper, infinite horizon stochastic difference equations and backward stochastic difference equations with fractional noise are studied. The main difficulty comes from the self-dependence of fractional noise on an infinite horizon.
OUR BACKTEST · Sharpe 0.59 · Return +40.5% · Max DD -26.3%
Building on the forest expansion of Alòs, Gatheral and Radoičić and on the explicit Bergomi-Guyon smile expansion derived by Bourgey and Gatheral (2026), we derive fixed-point approximations, in terms of the implied total variance at a small number of magic…
The internal-models approach of the Fundamental Review of the Trading Book (FRTB-IMA) determines market-risk capital at the aggregate level of a bank's approved trading desks, but it does not say how that charge should be attributed to individual trades.
We study simple predictable processes whose coefficients are represented by neural networks. On finite measure spaces, we establish density results for neural networks in Orlicz spaces.
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%
Private and encrypted mempools hide pending transactions to stop sandwich attacks and other forms of maximal extractable value (MEV), but what they hide is rarely everything: a transaction's pair, direction, and a coarse range for its size can still leak.
European electricity trading in the EU operates as a constrained multi-layer system in which legal design, exchange microstructure, and network physics are executed jointly across forward, day-ahead, intraday, and balancing horizons.
The National Best Bid and Offer (NBBO), the consolidated "now" at the centre of U.S. equity market structure under Regulation NMS, requires comparing price events at exchanges whose separation places those events outside one another's light cones.
Macroeconomic crises are rare, yet they can have large effects on asset prices. Because the probability of entering a crisis from normal times is small relative to the probability of recovery, the dynamics are nearly reducible: setting the crisis-entry…
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.
In this paper, we study the diversification properties of convex combinations of iid random variables with infinitely divisible distributions.
OUR BACKTEST · Sharpe 0.45 · Return +46.7% · Max DD -40.4%
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%
We study affine stochastic Volterra equations on the cone of symmetric positive semidefinite matrices.
We study optimal stopping under dynamic risk measures with simultaneous ambiguity in the probability model and the discount rate.
Nested clustered optimization allocates within each cluster from the cluster's own covariance block and then across the resulting cluster portfolios.
We study a representative-agent Epstein-Zin economy with geometric dividends and a hidden finite-state Markov drift.
Abstract We consider a robust asymptotic growth problem under model uncertainty in the presence of stochastic factors.
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%
Variance swaps are a convenient instrument for trading vega and convexity, and a listed contract now trades on Cboe.
Alòs, Gatheral and Radoičić derived the Bergomi-Guyon expansion of the implied variance smile from the forest expansion of the cumulant generating function.
We study robust bond valuation with endogenous short-rate feedback under volatility uncertainty.
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%
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.
Normalized implied-volatility coordinates reveal no-arbitrage structure that is less transparent in strike space. This paper centers on a single quantity that gives those coordinates a direct probabilistic interpretation.
We derive a first-order representation of Black-Scholes implied variance in a continuous local martingale model.
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.
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 this note, we propose a general structural approach to model a default time $τ$ as the first-passage time (FPT) of a (``firm-value'') process $S$ below a (``debt'') barrier $K$ that comply with a pre-specified survival probability curve $G(t)=\Pr(τ>t)$.
We give a two-period counterexample to the absence of arbitrage for the posterior-weighted pricing rule in Estimate nothing by Duembgen and Rogers.
We prove that the skew stickiness ratio converges to two at short maturity under local volatility models. This appears to be the first rigorous proof of this limit for a general time-dependent local volatility function.
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%
Let \(P\) be a fixed physical law and let \(Q\) be an equivalent martingale measure selected from the martingale-measure set associated with a chosen numeraire.
OUR BACKTEST · Sharpe 0.54 · Return +50.1% · Max DD -37.6%
We compare the Heston model with $ρ=-1$ to the one-dimensional local-volatility model calibrated to the same European option prices.
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%
Although market participants generally have access to a common information set, they make decisions based on forecasts formed over heterogeneous horizons.
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.
We investigate arbitrage in a discrete-time financial market model where, in addition to finitely many dynamically traded assets, there are also static options to choose from.
OUR BACKTEST · Sharpe 0.35 · Return +21.4% · Max DD -34.1%
Loss-versus-Rebalancing (LVR) is the dominant adverse-selection cost borne by liquidity providers on automated market makers.
We study the quadratic tracking problem of a general stochastic target process with absolutely continuous controls, with and without terminal constraint. We derive explicit, non-asymptotic upper bounds in terms of a Besov-type modulus of the target.
In this paper, we study causal non-causal state space models to model time series characterised by a local explosive increase followed by a sharp decrease such as stock prices.
Haug and Haug extend the Margrabe exchange option by adding knock-in and knock-out provisions written on the ratio of two asset prices. This paper applies and develops their framework for stock-for-stock takeover bids with collars.
We study exponential-utility maximization for high-frequency trading in a discretized fractional Brownian motion model. Using spectral methods for stationary Gaussian sequences, we derive the asymptotic growth rate of the optimal certainty equivalent.
We develop a PDE-based methodology for pricing and hedging European contingent claims in general one-dimensional diffusion markets characterized solely by their scale function and speed measure, possibly without a classical SDE representation, and with…
PAPER REPORTS · Bachelier (premium 2.0), N_MC=2000, N^space_FD=4000, T=10, no transaction costs: MTE* −0.002 ± 0.008 and StDTE* 0.192 ±… · Skew-Sticky 1 (premium 0.271, κ₋₁=0.3, κ₁=0.7, ρ=1, r=0.2, ELMM exists): MTE* 0.058 ± 0.022 and StDTE* 0.506 ± 0.024 at…
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%
We study equilibria in a closed, fee-free constant-function market maker (CFMM) economy with two assets and two traders.
W-shaped smiles appear in near-expiry options around binary events such as earnings, and have been associated with bimodal risk-neutral densities. The three-parameter eSSVI slice cannot produce them.
We study discrete-time asset pricing with bid-ask spreads and model uncertainty. The family of probability measures enters the no-arbitrage condition through the union of its supports.
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%
We consider the question of the optimal timing of the sale of an asset with stochastic dynamics. Our analysis is based on the method of the distribution builder introduced by Sharpe, Goldstein and Blythe [SGB00] for the purpose of optimal portfolio selection.
OUR BACKTEST · Sharpe 0.59 · Return +60.8% · Max DD -39.2%