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.
16,925 papers screened · 588 on the radar · 589 shown
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.
Modeling the dynamics of option implied volatility surface (IVS) is crucial for pricing, hedging, and risk-managing option portfolios.
Intraday electricity markets enable participants to adjust energy positions close to delivery, with price forecasts necessary to support trading and the scheduling of flexible electricity resources as well as increasingly responsive consumers.
PAPER REPORTS · Test AQL 10.62 €/MWh, MAE 28.04, RMSE 101.76, R² 0.39, AQCE 2.29%, AQCR 0.00% — averaged over forecast origins…
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…
We examine log-optimal portfolio allocation when the long-run price of an asset follows a power-law trajectory, $P(t)=At^α$, and its instantaneous return variance decays as $σ^2(t)=σ_0^2 t^{-2γ}$.
Abstract This paper studies how pre-trade transparency is associated with market quality in corporate bond markets.
Sustainable financial investments are emerging as a multidimensional decision-making area that requires a holistic assessment of environmental, social, and governance (ESG) criteria.
Abstract This research utilizes explainable artificial intelligence (XAI) techniques to explore the relationship between size-sorted environmental, social, and governance (ESG) portfolio indices (large-cap, mid-cap, and small-cap ESG portfolios) and their…
This study examines capital market reactions to the gazettal of Hong Kong's Stablecoin Ordinance. This event provides a clearly identifiable informational signal that resolves regulatory uncertainty.
PAPER REPORTS · Cumulative average abnormal return of 13.0% over the 2-day window (-1, 0), t = 8.230 (CAPM), event date May 30, 2025;… · Cumulative average abnormal return of 18.8%-18.9% over window (-1, +3), t = 7.661 (CAPM) / 7.697 (FF3); no transaction…
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.
Catastrophe (cat) bonds overcome some lack of reinsurance by sourcing capacity from the wider capital markets. We present a new type of cat bond addressing the known trade-off between moral hazard and basis risk.
PAPER REPORTS · Cat bond tranche A (attachment 7.861e9 = modeled 100-yr, exhaustion 11.008e9 = modeled 200-yr), extremal-t Cauchy… · Tranche B (attachment 9.593e9 = modeled 150-yr, same exhaustion), same parameters: price 100.69 EUR; par-implied spread…
We study a representative-agent Epstein-Zin economy with geometric dividends and a hidden finite-state Markov drift.
This paper proposes discrete-time approximations to rough continuous-time models of realized variance (RV). The leading rough models can be viewed as autoregressive processes driven by fractional Gaussian noise.
PAPER REPORTS · 1-day-ahead MSE relative to HAR benchmark, average over 10 ETFs, 2010-01-04 to 2024-12-31 rolling 500-day window, no… · 1-day-ahead QLIKE relative to HAR, same sample: log-RAR 0.7942, log-RHAR 0.7925
The standard Euler discretization schemes for numerical option pricing under stochastic volatility models are known to exhibit high biases and potential unreliability.
We develop an efficient Monte Carlo simulation scheme for pricing options under the Ornstein-Uhlenbeck driven stochastic volatility model via the operator splitting approach.
Abstract We consider a robust asymptotic growth problem under model uncertainty in the presence of stochastic factors.
The actor model - state isolation, data-race freedom, deadlock resistance, and sequential single-message reasoning - has long been dismissed as unsuitable for high-frequency trading (HFT): actors seem to imply many threads, a mailbox per actor, and a…
In a statistical factor model, principal components (or eigenvectors) of a sample covariance matrix serve as estimates of {\it principal directions}, the true drivers of co-movement of a collection of observed variables.
OUR BACKTEST · Sharpe 0.52 · Return +30.7% · Max DD -31.0%
This paper develops inference for a Gaussian-nested hypergeometric family of distribution functions.
Abstract We develop a modular forecast-to-construction framework for static option-portfolio design with piecewise-affine contingent claims.
PAPER REPORTS · Out-of-sample predictive-region coverage on 200 purged test origins (20 Jun 2025 – 7 Apr 2026): 200/200 = 1.000000 at… · Deterministic hedge certificate for the single deployed portfolio: Profit(x) ≥ 0 on [4.0, 8.5] (e.g.
Prediction-market shares differ from traditional financial products in that, with no information or outside utility, classical delta-neutral Central Limit Order Book~(CLOB) market making cannot be financed by payoff-uninformative noise flow.
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%
We study libraries of cross-sectional signals: at each date, a forecast vector over $d$ assets intended to predict the next period's cross-sectional return.
OUR BACKTEST · Sharpe 0.11 · Return +11.3% · Max DD -39.9%
This study examines the financial interaction between stock returns and fan tokens of the four major football clubs competing in the Türkiye Super League and publicly traded.
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.
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…
Automated execution algorithms are organized into schedule-based and liquidity-seeking families.
PAPER REPORTS · Relative slippage vs. arrival mid, passive Shadow-PPOV: +0.0955 ± 0.0130 ticks/contract (CME ES, calendar 2025, 246… · Relative to immediate execution: −0.4236 ± 0.0117 ticks/contract (same sample and cost assumptions)
We present SAiFE_gym, a Python module that provides a collection of simulation environments for studying trading problems in Constant Product Markets (CPMs) with Concentrated Liquidity (CL).
PAPER REPORTS · Nominal PPO LP agent, mean terminal PnL (gas included, 2 units X per rebalance) = +55.43 at training domain… · Domain-randomized PPO LP agent, mean terminal PnL (gas included) = +55.38 at (sigma=0.03, alpha1=450); grid values span…
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%
Bu çalışma, Türkiye’de kamu ve özel kesime ait kısa ve uzun vadeli dış borcun BIST Banka Endeksi üzerindeki asimetrik etkilerini 1996–2024 dönemi için incelemektedir.
Hybrid Deep Learning for equity index forecasting is limited by three problems: propagation of OHLCV noise into derived technical indicators (TIs), channel-indiscriminate multi-scale decomposition that conflates heterogeneous frequency signatures, and static…
PAPER REPORTS · WaVeFuse directional strategy, 365-day 2023 out-of-sample, 10bp per-trade cost: mean CAGR 24.6%, mean Sharpe 3.69, mean… · Per-index directional (2023, 10bp): KOSPI CAGR 34.4%, Sharpe 4.73 [95% CI 4.37-5.09], max DD 1.9%; GDAXI 13.3%, Sharpe…
OUR BACKTEST · Sharpe 0.03 · Return +2.7% · Max DD -41.1%
Public evidence can become sufficient to settle a prediction-market contract before the venue records its first determination, but the relevant boundary depends on the applicable rule version, exact release object, source hierarchy, correction history, and…
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.
An Oracle result is not yet a protocol payout, a redeemable position is not yet collateral in a holder's account, and a redemption event is not a complete measure of economic entitlement.
Prediction-market resolution is often reduced to a terminal outcome and one timestamp.
Return models for risk-neutral financial valuation based on skew Brownian motions (SBMs) have been introduced about twenty years ago, and have recently enjoying growing popularity.
Retail proprietary-trading firms sell a two-stage product: a paid evaluation that must reach a profit target before breaching a trailing drawdown, then a funded account that must survive a minimum window and a consistency rule before a payout.
PAPER REPORTS · Adversarial implementation of a published practitioner rule set (not the authors' own edge, but the authors' own… · Best in-sample payout rate achievable by the authors' payout-rate optimisation: 4.6% (Lucid Flex) versus a 9.5%…
This paper proposes an investment strategy through resource allocation into Kalshi Crypto Event Contracts in order to effectively hedge exposure to spot asset volatility.
PAPER REPORTS · Bullish 2024 (Mar-Dec 2024 contract), Strategy C with Kalshi fees: +38.69% return vs BTC +36.23%; Sharpe 1.27 (1.30… · Flat Dec 2025 (Nov-Dec 2025 contract), Strategy C: -3.04% (Table 1) vs BTC -3.58%; Sharpe -0.10 with fees (+0.05…
Managing drawdown, the peak-to-trough decline in an investment portfolio's value, is a precondition for long-term survival in practical investment management.
PAPER REPORTS · NASDAQ 2010.01-2025.04, zero transaction costs and zero slippage: CAST annualized Sharpe 0.523, MDD 0.114, Calmar… · CSI300 2010.01-2025.04, frictionless: CAST ASR 0.269, MDD 0.158, CR 0.104, SoR 0.257, FV $1272
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.
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%
We develop a diffusion-model framework for dynamic implied-volatility surface generation and evaluate its economic usefulness through data-driven hedging. The framework consists of two models.
PAPER REPORTS · AD-Seq-Vol hedging, held-out 1 Jul 2018 - 28 Feb 2023, transaction costs included as half bid-ask spread in the… · AD-Seq-Vol, same period, COVID window (13 Feb - 21 Jul 2020) excluded: mean 0.78, median 0.02, std 8.33, 5% VaR 10.72,…
We derive a first-order representation of Black-Scholes implied variance in a continuous local martingale model.