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 · 60 shown
This paper investigates whether textual tone derived from large language models (LLMs) can predict future stock returns. Using Korean news articles, we employ five LLMs to extract textual tones: BERT (KrFinBERT), DistilBERT, RoBERTa, ELECTRA, and Llama3.
PAPER REPORTS · BERT (KrFinBERT) equal-weighted quintile High-Low: 0.242% per day, t=3.772 (5.324% per month), May 2023-May 2024, gross… · BERT High-Low Fama-French 3-factor alpha 0.232% per day (t=3.582); 5-factor alpha 0.232% per day (t=3.566), same…
Current portfolio construction methods are either agnostic to the effects of idiosyncratic shocks (standard factor models) or to the latent data structure driving systematic returns (recent graph-based approaches).
PAPER REPORTS · Contagion Cut (proposed): CAGR 21.0%, Sharpe 1.07, Calmar 0.611, Jan 2019-Mar 2026, 0 bps transaction costs · Contagion Cut: Sharpe 1.04 at 10 bps, 1.01 at 20 bps, 0.929 at 50 bps (CAGR 20.5%, 19.9%, 18.3%), Jan 2019-Mar 2026
OUR BACKTEST · Sharpe 0.75 · Return +143.1% · Max DD -40.3%
Risk-aware Q-learning (RaQL) provides a model-free, two-timescale estimator for dynamic risk objectives, but its finite-budget behavior remains fragile: fixed inner-loop hyperparameters can produce unstable value estimates, persistent Bellman residuals, and…
PAPER REPORTS · Scheme 6 out-of-sample (918 daily obs, chronological test set, after 5bp turnover costs, mean over 20 seeds): Sharpe… · Scheme 0 fixed-parameter baseline out-of-sample (same test set, after 5bp costs, 20 seeds): Sharpe 0.5628 (sd 0.2281),…
OUR BACKTEST · Sharpe 0.34 · Return +16.6% · Max DD -10.4%
This paper studies conditional allocation between a growth/technology ETF basket, denoted by $G$, and a defensive income/value-oriented ETF basket, denoted by $D$.
PAPER REPORTS · Selected smooth-score policy, 2017-06-28 to 2026-05-15, 10bp cost: 19.24% CAGR, 19.29% vol, Sharpe 1.01, Sortino 1.22,… · Selected policy vs 50/50 G/D: annual excess 1.78%, tracking error 3.74%, info ratio 0.48, max DD improvement 1.95%
OUR BACKTEST · Sharpe 0.92 · Return +111.2% · Max DD -31.6%
At the scale of seconds the observed mid carries a stationary, mean-reverting error around a latent efficient price.
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%
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%…
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.
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%