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 · 48 shown
The electricity system in Great Britain (GB) allows participants to deliberately produce or consume a different volume to their traded position and has incentivised this practice with a single imbalance price since 2015.
We develop an arithmetic multi-factor stochastic volatility model for commodity futures and options.
PAPER REPORTS · V3 vanilla option portfolio one-day hedge, 2013-2024 (2,809 dates), in-sample, no transaction costs stated: hedging… · VC3 calendar spread option portfolio one-day hedge with 2 hedge options, 2013-2024 (2,806 dates), in-sample:…
PAPER REPORTS · Recommended allocation (20% equities + 100 tons gold), historical simulation Nov 2002–Oct 2022, rolling 1-year returns:… · Same recommended allocation, rolling annualized 5-year returns, Nov 2002–Oct 2022: CZK average 3.48%, volatility 2.79%,…
As renewable energy integration accelerates, intraday continuous (IDC) electricity markets have become essential for short-term balancing.
Abstract Evaluating systemic risk transmission across financial and commodity markets is vital for maintaining macroeconomic stability in hydrocarbon-dependent economies.
Pergerakan harga emas yang dipengaruhi oleh volatilitas pasar dan ketidakpastian ekonomi memerlukan metode peramalan serta analisis risiko yang akurat.
PAPER REPORTS · ARIMA(1,1,1) price forecast: MAPE 9.15%, MAE USD 396.14, RMSE USD 454.31, directional accuracy 100%. · MC GBM Geopolitik scenario: MAPE 10.37%, MAE USD 426.43, RMSE USD 465.29, directional accuracy 100%.
OUR BACKTEST · Sharpe 0.01 · Return +0.6% · Max DD -35.1%
The end-of-month option allows the short in a futures contract to choose when to deliver during a window in which the delivery price is fixed. We characterize optimal delivery through a universal index obtained from the Bank--El Karoui representation theorem.
This project investigates the valuation of American commodity options using the Schwartz two-factor model.
Wavelet-based financial forecasters typically use the transform only to denoise, or reduce it to a single spectral snapshot at the forecast origin, and the convolution that produces the coefficients is usually bilateral, so it can read past the forecast…
PAPER REPORTS · S&P 500 DSTNet asymmetric risk-off allocation, test 2023-06-01 to 2024-05-31, 10 bps per unit turnover, idealised… · NYSE DSTNet risk-off, same period, 10 bps: Sharpe 1.80, MaxDD 5.65%, CumRet 11.31%, exposure 56.77%, total turnover…
OUR BACKTEST · Sharpe 0.46 · Return +21.1% · Max DD -24.7%
Abstract The energy and digital transitions are increasing demand for metals used in renewable energy, electrification, storage, and digital infrastructure.
The growing importance of intraday trading in Europe, driven by the increasing penetration of renewable energy sources, has led to higher volatility and periods of market stress.
This paper develops a reproducible framework for predicting gold-price direction and converting the forecasts into a currency-hedged SHFE-COMEX spread-trading strategy.
PAPER REPORTS · Hedged (USD/CNH) walk-forward strategy: annual return 14.8%, volatility 7.1%, Sharpe 2.08, max drawdown 4.2%, win rate… · Unhedged version, same setup: annual return 11.2%, volatility 9.0%, Sharpe 1.24, max drawdown 12.7%, win rate 61.3%, 52…
Short-horizon price-trend prediction from limit order books in equity and intraday electricity markets requires models that combine predictive quality with low single-sample latency and a small serialized model size to keep pace with rapid and continuous…
PAPER REPORTS · Classification performance only. These are not trading returns: no Sharpe, PnL or cost assumption is reported, and the… · MBOFormer test macro-F1 (mean of 3 seeds), h=10/20/50/100: - EPEX (3 test days, March 2021): 0.651/0.577/0.517/0.472 -…
The increasing volatility of electricity prices driven by renewable energy integration, market shocks, and regulatory changes has reinforced the need for forecasting methods that go beyond point predictions and accurately describe the full conditional price…
PAPER REPORTS · JSU(4), the paper's preferred specification: average MAE 19.39 (SD 0.12) over the 24 hourly series. · JSU(4) average pinball loss: tau=0.99 1.29, tau=0.95 3.41, tau=0.05 3.53, tau=0.01 1.13. Same evaluation setup.
On April 20, 2020, the May front-month WTI oil futures contract, one day before its expiration date, opened near $\$17/$barrel and dropped far below zero in a single trading day, reaching an intraday low of $-\$40.32$ and settling at $-\$37.63$.
We study the anatomy of commodity risk by distinguishing micro, market-level, and economy-wide sources.
Power systems with increasing variable renewable generation face greater uncertainty in scheduling and balancing. Intraday and balancing electricity markets facilitate position adjustments and real-time balancing close to delivery.
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.
Commodity option surfaces contain information beyond the at-the-money volatility level.
Financial time series evolve across multiple temporal resolutions, challenging forecasting systems to incorporate newly available information without repeatedly recomputing unchanged representations.
PAPER REPORTS · HARN test-split forecast error (not a trading strategy; no costs or P&L), AAPL M15, 2025-03-06 to 2026-08-10: MAE… · HARN test-split forecast error, EURUSD M15, 2025-12-19 to 2026-07-29: MAE 0.000306±0.000002, RMSE 0.000467, sMAPE…
We study affine stochastic Volterra equations on the cone of symmetric positive semidefinite matrices.
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…
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…
Forecasting financial markets remains challenging due to nonlinear dynamics, structural changes, volatility clustering, and uncertainty transmission across asset classes.
PAPER REPORTS · No trading strategy, Sharpe ratio, return, alpha or drawdown is reported anywhere in the paper; performance is reported… · Best-model out-of-sample R2 by target (one-step-ahead monthly, price levels, final 20% of sample): VIX 0.999982…
This paper introduces FinAnalyzeNet, a novel hybrid deep learning framework designed to address the complex challenges of financial volatility prediction in dynamic market environments.
PAPER REPORTS · Sharpe ratio 1.42 for the volatility-based trading strategy (test period 2021-2023 implied; no transaction-cost… · Directional accuracy 84.7% (sd 1.2%) on volatility direction, test period 2021-2023
OUR BACKTEST · Sharpe 0.64 · Return +21.0% · Max DD -18.7%
For more than four decades, the 60/40 stock/bond portfolio has served as a benchmark for delivering reasonable returns without excessive risk. More recently, a 50/30/20 stock/bond/alternative portfolio has been suggested.
PAPER REPORTS · Markowitz: 11.6% annualized return, 9.0% annualized volatility, Sharpe 1.08, max DD 18.1%, mean DD 3.0%, turnover… · Simple Markowitz: 10.4% return, 9.3% volatility, Sharpe 0.91, max DD 15.8%, turnover 278.9%, same period and costs
OUR BACKTEST · Sharpe 0.43 · Return +18.9% · Max DD -16.4%
Transaction costs can make or break a trading strategy, particularly in relative-value trading of commodity and macro markets, where edges are a few basis points. Price impact is a central component of transaction cost.
PAPER REPORTS · Net P&L, monthly average over 2004-2011 (96 months), in basis points of $1B gross limit, after simulated impact cost…
Abstract This study examines the dynamic and quantile-dependent spillover connectedness among African stock markets, precious metals, and cryptocurrencies.
This paper examines asymmetric volatility spillovers and dynamic connectedness among BRICS exchange rates, the US Dollar Index (USDX), the Japanese Yen (JPY), Brent crude oil, and the Geopolitical Risk Index (GPRD), employing a Time-Varying Parameter Vector…
PAPER REPORTS · Minimum Variance Portfolio risk-reduction effectiveness (RE = 1 - var(rp)/var(ri)), Sept 2014 - Oct 2024, no… · Minimum Correlation Portfolio RE, same sample, no costs stated: RUB 0.98, BRL 0.96, ZAR 0.95, JPY 0.86, USDX 0.76,…
The study examines whether the information transfer between speculative positions and real interest rates in the gold price formation process operates as a linear, time-independent, and unidirectional mechanism, or whether it exhibits a nonlinear structure…
This paper investigates the dynamic response of Shanghai crude oil futures (INE) to international benchmark price shocks and evaluates the evolution of market maturity from its inception to early 2025.
Abstract The emergence of cryptocurrencies has presented investors with novel portfolio diversification opportunities.
PAPER REPORTS · Unconstrained mean-CVaR with crypto: mean monthly return 2.63%, mean monthly CVaR 1.15%, mean monthly risk-return ratio… · Unconstrained without crypto: mean monthly return 0.46%, CVaR 0.42%, risk-return ratio 1.09%
Abstract Precious metals historically have been adopted as an effective hedging instrument by investors due to their price dynamics shaped in line with economic and financial risks.
KellyBoost is a single multi-output XGBoost model whose softmax output is the portfolio: with y the vector of per-asset holding-period returns, the training loss is - log(1 + w y), the negative log growth rate, so the fitted model is the growth-optimal…
PAPER REPORTS · KellyBoost (searched, gross of costs), 2013-01 to 2026-07, 163 monthly decisions: mean log growth 0.47 (x100 per 20-day… · KellyBoost hand-built feature pipeline, same period: logG 0.39, annualized return 5.7%, vol 22.9%, Sharpe 0.28, max DD…
Basket options are difficult to value under correlated lognormal dynamics because weighted sums and differences of lognormal variables have no tractable distribution.
PAPER REPORTS · Minimum Variance Portfolio (MVP), 2019-2025 daily, no transaction costs stated: mean daily return 0.0005519, daily… · Minimum Correlation Portfolio (MCP): mean daily return 0.0007516, std dev 0.0014739, Sharpe (std dev) 0.5099, Sharpe…
OUR BACKTEST · Sharpe 0.21 · Return +11.2% · Max DD -24.8%
We measure volatility roughness across asset classes using a common data infrastructure and pipeline. Our data covers 3,926 United States equities, 34 CME futures roots, rates, FX, and commodities, and options on 44 underlyings over 2010-2025.
This study examines the dynamic effects of monetary policy changes on derivatives pricing behavior, emphasizing applications in financial risk management for industrial commodities.
The Triadic Stress Index (TSI) takes a network index whose four factors were first observed in soil microbiome co-occurrence networks and applies it, without alteration, to the correlation network of financial assets.
PAPER REPORTS · Out-of-sample F1@p90 = 0.447 (TSI with memory, 2016-2026, 897 windows, OFR 23-window crisis list; no transaction costs… · F1 gap vs Absorption Ratio = 0.273 (0.447 vs 0.174) out of sample 2016-2026, block-bootstrap 95% CI [0.095, 0.392],…
OUR BACKTEST · Sharpe 0.87 · Return +229.7% · Max DD -46.7%
The paper considers the problem of variable selection for forecasting electricity spot prices.
PAPER REPORTS · BMT hourly rMAE averaged across six areas: 0.501 (2022-2025 out-of-sample, no transaction-cost concept; rMAE < 1 means… · BMT daily baseload rMAE_t averaged across six areas: 0.408 (2022-2025)
The impact of web datasets on market prices has suggested the development of new sources of information, such as social media and web portals, indicating the possibility of an emergent phenomenon.
PAPER REPORTS · Out-of-sample one-step-ahead return forecast Mean Error improved ~10% (-0.05112 to -0.04284) with the open-information… · Out-of-sample RMSE improved ~0.01% (1.94575 to 1.94543) and MAE ~0.1% (1.52465 to 1.52311); no trading strategy,…
For a trading desk, residual climate hedging valuation adjustment (HVA) is the climate cost left after its inherited hedge and any admissible overlay have been taken into account; it therefore cannot be inferred from a stand-alone stress loss.
PAPER REPORTS · Residual climate HVA (own method): entropic climate charge reduced to 0.831 from a 0.906 post-inherited-hedge residual,… · Residual Dyna mean exact regret 0.00757 after 30 updates (6,000 gradient trajectories), vs 0.10863 for observed replay…
Long-term transmission rights (LTTRs) are designed to support hedging in interconnected European electricity markets. LTTR auction prices have historically fallen short of forward market prices, signaling limited arbitrage.
Pay-as-produced power purchase agreements (PPAs) expose buyers and sellers to the joint risk of power prices and renewable production.
PAPER REPORTS · Wind PPA, held-out simulated test paths, Jan–Dec 2025 delivery: multi-month dynamic futures hedge reduces payoff… · Wind PPA semi-static (dynamic futures + static claims): 87.3% reduction in both std (45.6 kEUR) and 95% CVaR (101.4…
The Gasoil options market is illiquid, making it difficult to construct its implied volatility surface directly. However, it is closely linked to the highly liquid Brent options market.