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
Asset-pricing models typically condition on a fixed information set. This paper endogenises the market's conditioning architecture by allowing portfolios to choose representations whose induced exposures affect prices.
We study optimal investment for insurers managing participating (profit-sharing) contracts under probability distortion and probability benchmark (aspiration) constraints.
Using the local time-space calculus of Peskir (2005) and the method developed in Mijatovic (2010), we derive a new integral representation for the distribution of the first-passage time (FPT) of a diffusion process through a time-dependent barrier.
OUR BACKTEST · Sharpe 0.66 · Return +35.3% · Max DD -18.7%
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.
Narrow Uniswap v3 liquidity ranges resemble short dated options, and Panoptic's streaming premium echoes the short maturity concentration of Black-Scholes theta near the strike.
Crypto-listed equity perpetuals trade while the primary cash market is closed, yet still need a mark for margin, funding, and liquidation.
Completely monotonic inverse marginal (CMIM) utilities, introduced in [MSZ24], constitute a tractable class of preferences that includes many of the most important utility functions used in mathematical finance, such as power and exponential utilities.
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.
We study Lambda-quantiles, a generalisation of classical quantiles in which the constant probability level $λ\in [0,1]$ is replaced by a functional parameter $Λ\colon \mathbb{R} \to [0,1]$.
OUR BACKTEST · Sharpe 0.68 · Return +249.4% · Max DD -84.8%
The enormous growth in datasets, both in number and size, has prompted investors to adapt to new ways for assimilating information.
OUR BACKTEST · Sharpe 0.11 · Return +31.6% · Max DD -96.3%
Neural and numerical policy solvers can produce feasible controls even when the optimal rule and its binding constraints are unavailable.
This paper develops a unified mathematical theory of implied, local, and learned volatility surfaces.
This paper studies the investment and insurance strategies of defined-contribution (DC) pension plans under the mean-variance framework. We consider a stochastic environment with time-varying interest rates, contributions, and mortality risk.
We introduce a framework for preference-robust decision making when preferences over risk are modelled through generalised distortion risk measures. Unlike distributional robustness, our approach addresses ambiguity in the risk functional itself.
OUR BACKTEST · Sharpe 0.27 · Return +30.1% · Max DD -23.4%
This paper builds Path Portfolio Optimization: portfolio theory on a path-first framework in which the signature is the universal coordinate of the price path, and asks whether it survives estimation.
PAPER REPORTS · Cross-area lead-lag portfolio, sign-carrying excitation 1→2 with q=0.85: mean P&L +0.000189, s.e. · Cross-area, sign-carrying excitation 2→1 with q=0.85: mean P&L −0.000227, s.e. 0.000012, t=−18.92, annualized Sharpe…
OUR BACKTEST · Sharpe 0.45 · Return +21.4% · Max DD -19.5%
We develop a unified modeling framework that connects two distinct types of bubbles defined in the literature: the rational bubbles (aka P-bubbles), and the local martingale bubbles (aka Q-bubbles).
OUR BACKTEST · Sharpe 0.47 · Return +220.6% · Max DD -131.6%
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.
Leveraged event positions combine a repayable loan with an outcome claim that may become non-tradable before oracle payout is final.
This note studies the conditional-density equation and its pathwise transformation in local stochastic rough volatility models, with rough Heston (rHeston) as the main explicit example.
OUR BACKTEST · Sharpe -0.45 · Return -4.2% · Max DD -7.5%
Finite multiplicative systems often cease to evolve when a lower continuation threshold is reached,whereas standard growth-optimal benchmarks assume uninterrupted continuation.
OUR BACKTEST · Sharpe 0.68 · Return +16.4% · Max DD -8.3%
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.
When do outcome records carry enough signal to support reliable inferences about skill? When they do not, what should evaluators substitute? The framework answering the first question characterizes any decision domain with two parameters: the noise reflected…
This paper studies how much public information is needed to implement efficient trade in dynamic markets with privately informed sellers and buyers.
Persistent whistleblowing failure in hierarchical healthcare organisations is typically attributed to insufficient legal protection for reporters or inadequate managerial incentives to investigate. This diagnosis is argued to be structurally incomplete.
Building on the identity that expected regret equals the covariance between costs and decisions, this paper develops the complete derivative theory of the covariance regret functional.
OUR BACKTEST · Sharpe 0.57 · Return +131.1% · Max DD -35.8%
We study a monopolist facing a buyer whose valuation is determined by pre-trade investment. Before setting price, the seller observes a signal about the buyer's private investment cost (buyer profiling).
The theory of portfolios, and its allied notions and fundamental results concerning growth optimality, the numéraire property, and ``market viability'' -- which rules out the possibility of financing nontrivial future liability streams starting with…
OUR BACKTEST · Sharpe 0.51 · Return +48.5% · Max DD -23.8%
I develop a model of learning-by-doing and curriculum design, and use it to study the impact of artificial intelligence (AI). A myopic student faces a sequence of tasks that he can work on or delegate to AI.
Firms in non-contractual commerce face the challenge of knowing how many customers they actually have because customers can stop buying without ever saying they have left.