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 · 10 shown
Transient impact models compose a nonlinearity with a memory kernel, and the order of composition determines the criterion for absence of price manipulation. We classify both orders.
This paper develops a mechanism through which costly changes in the representations used for portfolio choice can contribute to persistent signed order flow.
This paper develops uniform inference and certified capacity decisions for an estimated financial stability boundary. Conditional risk, temporary cross-impact, and effective risk-bearing capacity are jointly estimated from dependent observations.
PAPER REPORTS · Capacity/regret under the baseline loss convention (simulated 60-cell design, no market data): Projected safe - planned… · Under the high convention-loss calibration: projected-safe mean regret 0.107, below pointwise delta 0.120 and plug-in…
Market-order flow in financial markets exhibits long-range correlations. This is a widely known stylised fact of financial markets. A popular hypothesis for this stylised fact comes from the Lillo-Mike-Farmer (LMF) order-splitting theory.
Quantitative trading is moving from isolated predictive models toward agentic workflows that combine reasoning, tool use, memory, and feedback.
We study the quadratic tracking problem of a general stochastic target process with absolutely continuous controls, with and without terminal constraint. We derive explicit, non-asymptotic upper bounds in terms of a Besov-type modulus of the target.
We report a market in which a positive return is visible in prices yet cannot be realized by a fixed trading policy, and we measure why.
Financial markets do not evolve uniformly through calendar time. Periods of intense information arrival accelerate market activity, while information-poor periods produce the familiar intraday lull in trading.
We derive a mesoscopic model for optimal execution with limit orders that incorporates microstructural features of passive price impact.
PAPER REPORTS · Baseline simulation, η=0: mean P&L $320 (95% CI 301–339), mean implementation shortfall −$35 (CI −37 to −34), mean… · Simulation with η=0.005: mean P&L $71 (CI 49–93), shortfall −$19 (CI −21 to −17), final inventory 1,928 shares, trading…
Parent-order execution is a core problem in algorithmic trading, where the goal is to split a large order into smaller orders while reducing execution costs.
PAPER REPORTS · Aggressive setting, April 2026, DS-v4-f: value-weighted price performance -2.26 bps vs TWAP benchmark price, i.e. · Passive setting, April 2026, DS-v4-f: -3.92 bps wbp, +1.07 bps vs TWAP and +0.71 bps vs strongest baseline; 100%…