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 · 34 shown
This paper compares financial-market reactions to the releases of DeepSeek R1 in January 2025 and Kimi K3 in July 2026.
We study changes in underlying-market quality around Korea's May 2026 introduction of single-stock leveraged ETFs, using Samsung Electronics and SK Hynix as a case study. These were the first eligible underlying stocks.
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…
Which inputs drive a language model's financial forecast? We construct synthetic earnings announcements that independently reverse 20-day momentum, non-informational commentary tone, and whether fixed actual EPS beats a manipulated consensus.
Corporate financial disclosures often unfold over time, with announcements, prepared remarks, and discussion spanning multiple high-frequency return intervals.
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 how retained ownership supports the value of an asset that pays no dividends and is held only for resale.
We study whether stock disclosures by recognizable investors generate abnormal market reactions beyond the reactions produced by comparable but non-recognizable managers.
PAPER REPORTS · High-recognition minus control long-short calendar-time Carhart alpha: 10.4 bps/day at H=21 (p<0.001), 4.8 bps/day at… · High-recognition buys long-only calendar-time Carhart alpha: 9.8 bps/day H=21 (p<0.001), 4.4 bps/day H=63 (p=0.003),…
Temporal point processes are used both to measure market mechanisms, for example how fast prices absorb news and how much of the reaction is the market responding to itself, and to predict the next event.
FLEX options are customized exchange-traded contracts allowing participants to choose nonstandard strikes, expirations, exercise styles, and settlement terms while retaining central clearing.
PAPER REPORTS · Rich-IV short straddle, research proxy (0.85 haircut, event close): N 40, mean P&L 1.5350% per trade, win rate 80.0%,… · Rich-IV short straddle, execution-stressed (1.25× median chain relative spread + $0.65/contract × 4 legs): N 40, mean…
Financial LLM agents are often evaluated by comparing their end-to-end returns with those of a baseline and testing the paired difference against zero.
PAPER REPORTS · Full agent (A0) vs frozen-rule baseline, 723 earnings events, 2020-2024: gross deployment value +15.2 bps/event… · Same comparison net of a pre-stated 40 bps cost per nonzero event position: -1.2 bps/event (95% CI [-59.8, +54.3]),…
Liberalisation has been a catalyst for the strengthening of India’s banking sector; however, financial distress, fraud, and unethical practices continue to threaten the stability of the financial and stock markets.
Whether abnormal returns around different pharmaceutical policy events exhibit similar patterns, and whether these patterns vary across industry-index levels, return scales, and event windows, has received limited comparative examination within a unified…
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…
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…
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.
Abstract This paper investigates the pricing of ESG momentum in corporate bond markets, identifying a credibility barrier that conditions whether sustainability improvements are rewarded by investors.
PAPER REPORTS · Long-short ESG momentum quintile spread: mean 0.926 bps per month, t = 1.302, p = 0.196, Dec 2014 - Apr 2025 (114… · Conditional ESG momentum marginal effect of 0.877 bps per month (95% CI [0.292, 1.462]) for issuers excluded by 5+…
We build and evaluate a pre-game win-probability forecaster for individual maps (``games'') in professional \emph{League of Legends} (LoL).
PAPER REPORTS · Global time-based 0.2 holdout, n_te = 912, 2024-2026 corpus: proposed one-stage model RPS/Brier 0.2230, log-loss… · Per-game walk-forward, 4,605 scored games (min 500 prior games): proposed model RPS 0.2207; calibration intercept…
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.