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 · 85 shown
We model the dynamics of the liquidity profile in Uniswap~V3 and other concentrated-liquidity automated market makers with a stochastic partial integro-differential equation (SPIDE).
We study strategic liquidity provision in decentralized exchanges with concentrated liquidity as a mean-field game.
PAPER REPORTS · Margin-gated provision backtest on four Base pools, 7497 hours, September 2024 to July 2025: in the market 2.5–12% of…
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%,…
Weak-form efficiency implies symmetry restrictions on the Markov chain governing movement across the cryptocurrency capitalisation distribution.
PAPER REPORTS · Equal-weighted bottom-decile, survivors only, market-adjusted, gross: 27.49%/wk (t=3.69) frontier 2013:04-2017:11;… · Bottom decile with delisting at -100%, gross, market-adjusted: 20.41%/wk (t=2.84) frontier; 6.91%/wk (t=8.06)…
Crypto venues increasingly list perpetual futures on equities and other real-world assets (RWAs), which trade continuously yet reference dividend-paying stocks: a long equity perpetual marked to the ex-dividend cash price bears the ex-dividend drop without…
Abstract This study examines the association between derivatives trading and the spot return volatility of cryptocurrencies, focusing specifically on Bitcoin (BTC) and Ethereum (ETH).
Bitcoin's extreme price volatility poses significant challenges for investors and traders in making informed investment decisions. Conventional technical analysis approaches are often subjective and unable to capture complex market dynamics accurately.
PAPER REPORTS · Trailing-stop strategy, threshold 0.37, test period 1 Jan 2025-1 Mar 2026: net profit +8,491 USD on 10,000 USD (total… · No-trailing-stop strategy, threshold 0.35, same test period: net profit +8,978 USD (total return +89.78%), win rate…
Automated markets increasingly host autonomous, learning trading agents and are powered by formulaic automated market makers (AMMs).
PAPER REPORTS · Rolling 7-day annualized Sharpe ratio of net strategy returns ranges roughly between -20 and +20 for every agent…
Privacy-preserving protocols can repair a vulnerability without establishing whether it was exploited beforehand, even when no theft is reported and aggregate supply is protected. We call the potential value reduction from this gap the verifiability discount.
We study the spread a liquidity provider needs to break even against counterparties that can exploit a stale quote, and we place two defenses on a single scale: repricing sooner and screening informed flow.
Tokenized equities trade while listed markets are closed, so their marks could improve off-hours measurement along layered exposures that link Bitcoin, crypto-treasury stocks, and leveraged ETFs.
PAPER REPORTS · Expanding-window out-of-sample forecasts of the opening gap (BTC-and-age spec plus token, July 2025-June 2026, no… · July 2026 holdout with coefficients frozen on June 5, 2026 (forecast, not a trading strategy, no costs): sign hit rate…
Score-based diffusion methods usually perturb data with Brownian Gaussian noise, corresponding to a light-tailed forward stochastic differential equation (SDE).
PAPER REPORTS · Feishu A-share OOS (one-year out-of-sample period, dates not stated), StochLOB (jump-Poisson) constrained long-only… · BTC chronological held-out directional classification (test 2026-07-10 to 2026-07-13, no trading costs): StochLOB…
We study liquidity provision in automated market makers when trading in the external market incurs proportional transaction costs. We consider both separately collected fees and fees retained in reserves.
We study how retained ownership supports the value of an asset that pays no dividends and is held only for resale.
The rapid growth of crypto markets is increasing investment opportunities, but also volatility risks. There is a need to automate portfolio construction to rapidly adapt investment decisions to rapidly changing markets.
PAPER REPORTS · Crew B (30-day rolling Sharpe max), out-of-sample per Table 6: expected return 10%, volatility 10%, Sharpe 0.72,… · Crew B (30-day window), out-of-sample per the window-sensitivity table: expected return -20.58%, volatility 39.88%,…
When a trader executes a large order, the relevant question is not \emph{what will the price be?} but \emph{what would the price have been had I not traded?} Market impact is thus a causal quantity, yet classical models (Almgren--Chriss, propagators) regress…
Renewed attention to the identity of Bitcoin’s pseudonymous creator has revived an old worry: that the roughly 1.148 million BTC mined by Satoshi and never moved represent a major tail risk for Bitcoin. This paper argues that the worry is overstated.
Abstract Using Gate.io hourly spot-order-book archives from January 2022 through June 2023, this paper reconstructs a long-horizon five-second panel for comparing the direct Ether/Tether (ETH/USDT) quote with the synthetic Ether/Bitcoin (ETH/BTC) $$\times $$…
Abstract We formulate a dimensionally consistent time-fractional Black–Scholes model through inverse-stable subordination. A product pricing measure fixes the clock law and operational numeraire, while clock risk remains unspanned.
Trade-sign errors can change measured trading costs even when classification accuracy is high. We validate the side of Polymarket's public trade prints against the taker leg of each print's on-chain settlement.
Flashblocks divide a block's priority gas auction into shorter sequential auctions that commit transaction order before the block is complete. We ask how this auction cadence affects bidding and competition among automated arbitrageurs, or searchers.
networks and Transformer models for financial volatility forecasting, with specific applications to the CBOE Volatility Index (VIX) and cryptocurrency markets (Bitcoin, Ethereum).
Deep reinforcement-learning policies for order execution can vary substantially across training seeds, so apparent architectural gains may reflect favourable training realisations rather than reproducible properties of the architecture.
PAPER REPORTS · Mean implementation shortfall, out-of-sample Jan 16–20 2023, frictionless replay with no commissions or market impact,… · Per-run CVaR-95 under the same setup: DDQL 110.8, MoE K=8 122.2, DDQL-cap8 104.1 bps.
Large language models are moving from producing trading signals to writing the code that executes them.
Liquidity provision in automated market makers is typically analyzed at the pool level, implicitly assuming LP homogeneity.
In quantitative finance, standard regression losses are misaligned with the economics of return prediction.
PAPER REPORTS · BTC 15-min, CZAR tuned (alpha about 0.054). Test window 2,000 candles (about 21 days); costs, slippage and sizing… · BTC 15-min, CZAR fixed alpha=0.005 to 1: naive annualized Sharpe of 5.62, -0.95, 3.95, 1.15, 4.76 and 5.08…
This paper introduces oracle-parametrized automated market makers (OP-AMMs), i.e., automated market makers whose quoted price depends jointly on the pool reserves and an external oracle price.
PAPER REPORTS · Counterfactual arbitrage-only SPY backtest, one-second NBBO, 2023 (250 trading days, daily reset): the Pull-oracle GA…
Self-evolving agents aim to turn research feedback into reusable skills, tools, and research rules. Whether these accumulated capabilities continue to improve later research requires controlled evaluation.
PAPER REPORTS · Mean final portfolio IC, development 2025-01-01 to 2025-12-31 (in-sample, per-bar cross-sectional Pearson vs next… · Mean final portfolio IC, OOS 2026-01-01 to 2026-06-30, with development-period weights frozen (predictive IC only; no…
Market microstructure studies how trading rules turn orders into prices and allocations.
Private and encrypted mempools hide pending transactions to stop sandwich attacks and other forms of maximal extractable value (MEV), but what they hide is rarely everything: a transaction's pair, direction, and a coarse range for its size can still leak.
Abstract Binary direction classifiers can appear stable on one chronological split while offering little predictive or economic value out of sample.
PAPER REPORTS · Full AND-gate (LightGBM + trend + Hurst), 3 expanding walk-forward folds, Mar-May 2025, 9 configurations: precision… · Full AND-gate unlevered next-bar accepted-signal mean return: -0.16 bps at 0 cost, -10.16 bps at 10 bp round-trip cost,…
Volatility forecasts play a central role in financial risk management because their overall level and day-to-day movements affect downstream decisions. Most studies compare forecasting models while keeping the training loss fixed.
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 $σ^2(t)=σ_0^2 t^{-2γ}$.
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…
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.
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…
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.
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…
The favorite--longshot bias (FLB) is one of the most persistent return patterns in betting markets, but its prevalence in modern prediction markets and its relation to recurrent longshot demand remain unclear.
Abstract Whether richer information systematically improves portfolio allocation remains an open question in extreme-risk digital asset markets.
PAPER REPORTS · Gross of costs (2021-01-01 to 2024-03-31, out-of-sample rolling windows): GBRT+MV cumulative return 4.978, annual SD… · Gross: RF+MV return 4.806, SD 1.195, Sharpe 4.020; RF+MMV return 4.944, SD 1.386, Sharpe 3.567
Decentralized exchanges record trading and liquidity provision on public blockchains, but empirical analysis requires interpreting these records and linking them to execution metadata.
Decentralized finance (DeFi) lending has grown from nonexistent in 2017 to nearly 40 billion US Dollars in deposited funds in May 2022.
We introduce ALM-GARCH, an asymmetric long-memory GARCH model in which positive and negative innovations enter conditional variance with different injection amplitudes and kernel offsets.
OUR BACKTEST · Sharpe 0.19 · Return +7.4% · Max DD -20.9%
Artificial intelligence (AI) now supports investment workflows from data and prediction through research, portfolios, execution, and tool use. Technical capability, however, is not evidence of investment profitability.