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
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.