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 · 12 shown
Haug and Haug extend the Margrabe exchange option by adding knock-in and knock-out provisions written on the ratio of two asset prices. This paper applies and develops their framework for stock-for-stock takeover bids with collars.
Investors interpret social disclosures from a risk perspective, yet relevant information can reach them through channels that differ sharply in regulatory enforcement and materiality: SEC filings, sustainability reports, or financial reports.
Two old market sayings hold that news is already priced in by the time it is published, and that the rumor is bought while the news is sold. Both place the price move associated with a piece of news before and at publication rather than after it.
PAPER REPORTS · Fade small-cap launch/partnership news (short after positive, buy after negative; enter close of day +5, exit close of… · Short any covered small cap (sentiment-ignoring benchmark, 260,472 events, same windows, 2023-2026): 15.9% annualized,…
OUR BACKTEST · Sharpe -0.23 · Return -18.9% · Max DD -51.9%
This study examines the dynamic effects of monetary policy changes on derivatives pricing behavior, emphasizing applications in financial risk management for industrial commodities.
Shariah-compliant equity screening provides a transparent setting in which institutional rules determine who may own a stock.
PAPER REPORTS · SC Malaysia inclusions, 295 continuously listed liquidity-qualified events, Nov 2013-Nov 2025: matched… · 410 continuously listed inclusions (no turnover floor): +0.896pp [0,10] (p_date=0.127; p_wild=0.134) and +1.458pp…
Our primary goal is to forecast and empirically examine the evolution of the implied volatility (IV) surface, with particular focus on the dates of scheduled meetings of the Federal Open Market Committee (FOMC).
PAPER REPORTS · h=1 out-of-sample RMSE, calls, ConvLSTM on SVI surface without dummy: 0.085 (sd 0.003) vs random walk 0.092; test year… · h=1 out-of-sample RMSE, puts, ConvLSTM on SVI surface without dummy: 0.077 (sd 0.003) vs random walk 0.084; test year…
A new class of software systems is transforming investment analysis. Large language model agents assembled into collaborative team structures including analysts, researchers, and risk managers are increasingly deployed across financial markets.
PAPER REPORTS · Author's own prior human practice (not the AI framework): 127.17% return vs 50.67% benchmark within sixteen months,… · Ranked first among 276 comparable peer funds nationally through the 2020 market-stress period (peer average negative);…
The daily return of a stock is often restricted to an exchange-imposed band to curb extreme fluctuations. Any attempted price movement beyond this band is clipped, leaving an unobserved excess.
We introduce data-driven measures of high-frequency trading (HFT) that distinguish between liquidity-supplying and liquidity-demanding strategies.
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.
Using the outbreak of COVID-19 in Singapore as a quasi-natural experiment, we investigate tenants' changing responses to road traffic noise in the rental housing market, using 46,980 transaction records between 2006 and 2022.