Research
A continuously updated feed of research papers that pass our automated relevance screening for systematic trading — plus every paper we have published a review of, whatever it scored. 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.
15,697 papers screened · 250 on the radar · 4 shown
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%
Risk-aware Q-learning (RaQL) provides a model-free, two-timescale estimator for dynamic risk objectives, but its finite-budget behavior remains fragile: fixed inner-loop hyperparameters can produce unstable value estimates, persistent Bellman residuals, and…
PAPER REPORTS · Scheme 6 out-of-sample (918 daily obs, chronological test set, after 5bp turnover costs, mean over 20 seeds): Sharpe… · Scheme 0 fixed-parameter baseline out-of-sample (same test set, after 5bp costs, 20 seeds): Sharpe 0.5628 (sd 0.2281),…
OUR BACKTEST · Sharpe 0.34 · Return +16.6% · Max DD -10.4%
Automated market makers (AMMs) are typically interpreted and evaluated as decentralized exchanges.
PAPER REPORTS · VBIAX, monthly TE, Jan 2, 2014 – Jun 30, 2026: G3M Pareto-dominates (higher CAGR and lower TE) for gamma in [2.73%,… · EQL NAV, economic mandate, Jun 19, 2018 – May 29, 2026: G3M dominates for gamma in [3.22%, 7.09%]
OUR BACKTEST · Sharpe 0.71 · Return +133.0% · Max DD -42.0%
We audit whether candle-based machine-learning models can turn predictions of cryptocurrency extrema or short-horizon outcomes into positive Binance Spot paper policies after assumed costs.
PAPER REPORTS · Frozen mandatory-daily selector: -6.72% compounded, 2026-07-01 to 07-19, 19 cycles, 3 wins/16 losses, 31 bps… · Frozen mandatory-daily selector cost stress, same period: -4.74% at 20 bps, -6.72% at 31 bps, -10.21% at 51 bps…
OUR BACKTEST · Sharpe 0.00 · Return +0.0% · Max DD 0.0%