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 · 42 shown
In its traditional form, the smart order router only cares about price when deciding where to send a trade; send the order to the exchange currently showing the tightest spread.
PAPER REPORTS · Mean effective execution cost 6.561 bp (latency-aware router) vs 6.548 bp (price-only baseline). · Hit rate vs baseline: 2.2% of 14,400 held-out rows (latency-aware cheaper than price-only).
A conditional normalizing flow can produce extreme scenarios even when its point forecasts appear reasonable. We compare two fitted models for daily Treasury yield changes at eleven maturities reconstructed from Federal Reserve curve parameters.
PAPER REPORTS · Stabilized flow, development windows (5×60 dates, 2002–2026; forecast metrics only, no trading strategy or costs):… · Stabilized flow, subsequent window April 13–July 8, 2026 (frozen checkpoints): scenario-mean MSE 0.3351, 90% coverage…
OUR BACKTEST · Sharpe 0.03 · Return +0.2% · Max DD -5.6%
Bank treasury portfolios must balance yield, liquidity, and interest-rate risk across bonds of different maturities.
PAPER REPORTS · DP mean terminal wealth over 6 months, starting from 1 (simulated DNS-VAR chain, unconditional-mean initial curve):… · DP mean terminal wealth over 12 months: 1.1801 at c=0; 1.1166 at c=0.01.
Macroeconomic crises are rare, yet they can have large effects on asset prices. Because the probability of entering a crisis from normal times is small relative to the probability of recovery, the dynamics are nearly reducible: setting the crisis-entry…
We examine the conditional volatility dynamics of the USD 1Yx10Y forward swap rate using GARCH(1,1), GJR-GARCH(1,1), and a two-regime Markov-switching GARCH (MSGARCH) model.
PAPER REPORTS · 95% one-day-ahead interval coverage, 1500 test days (34.36% of sample): GJR 94.00%, GARCH 93.80%, MSGARCH 93.8% · 1300 test days: GJR 93.62%, GARCH 93.23%, MSGARCH 93.154%
Abstract This paper studies how pre-trade transparency is associated with market quality in corporate bond markets.
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…
Catastrophe (cat) bonds overcome some lack of reinsurance by sourcing capacity from the wider capital markets. We present a new type of cat bond addressing the known trade-off between moral hazard and basis risk.
PAPER REPORTS · Cat bond tranche A (attachment 7.861e9 = modeled 100-yr, exhaustion 11.008e9 = modeled 200-yr), extremal-t Cauchy… · Tranche B (attachment 9.593e9 = modeled 150-yr, same exhaustion), same parameters: price 100.69 EUR; par-implied spread…
We study robust bond valuation with endogenous short-rate feedback under volatility uncertainty.
Modern economic and financial data are increasingly organized as multiway arrays, with observations indexed simultaneously by geographic regions, industrial sectors, asset categories, and other economic characteristics.
PAPER REPORTS · TF-BEKK constrained global minimum-variance portfolio, 250-day out-of-sample period 2024-04-09 to 2025-04-18, Chinese… · TF-BEKK has the highest cumulative return at the end of the 250-day out-of-sample window (Figure 4) and the highest AV…
In this note, we propose a general structural approach to model a default time $τ$ as the first-passage time (FPT) of a (``firm-value'') process $S$ below a (``debt'') barrier $K$ that comply with a pre-specified survival probability curve $G(t)=\Pr(τ>t)$.
Abstract We analyze the niche market for social bonds and empirically investigate the existence of a negative social bond premium.
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+…
This article investigates the risk exposure of eight Central and Eastern European markets using monthly data.
Abstract Value-at-Risk (VaR), the most widely used measure of market risk, is typically evaluated through backtesting of point forecasts. Such procedures, however, say little about the uncertainty of the estimated quantile.
Similar to banks, DeFi protocols expose depositors to operational risk (USD 9.45 billion across 1,075 events since 2020). Unlike banks, they are not required to hold capital against it. A protocol may maintain a buffer voluntarily.
This study investigates the time-varying interactions between financial stress and selected financial assets within the Diebold–Yilmaz connectedness framework.
This paper provides robust empirical evidence that shocks to aggregate Research and Development (R&D) have persistent effects on macroeconomic dynamics and represent a significant risk for investors, as predicted by the ‘long-run risk’ literature.
PAPER REPORTS · Risk premium associated with effective R&D structural shocks: approximately 2% per year, estimated via Giglio and Xiu… · 4-year rolling-sum shock, 14 factors: premium 0.48, t = 3.28 (baseline specification)
We introduce ISCOS, a cross-entropy importance-sampling calibration method for rare credit-portfolio losses. We derive Gaussian and Gaussian--inverse-Gamma proposals and analyse the propagation of finite-COS approximation errors to the fitted parameters.
The factor HJM stochastic volatility model introduced by Sepp and Rakhmonov (2025) obtains tractable swaption pricing by freezing the nonlinear swap-rate loading along a deterministic expected-state path.
This paper develops a unified framework for assessing systemic risk and identifying contagion channels in the global banking system using a Temporal Heterogeneous Multiplex Graph Neural Network.
PAPER REPORTS · MSE 0.0309 on one-quarter-ahead change in log(1+CDS), out-of-sample, N=336 bank-quarter forecasts (sample 1998-2025,… · MAE 0.1342, out-of-sample
KellyBoost is a single multi-output XGBoost model whose softmax output is the portfolio: with y the vector of per-asset holding-period returns, the training loss is - log(1 + w y), the negative log growth rate, so the fitted model is the growth-optimal…
PAPER REPORTS · KellyBoost (searched, gross of costs), 2013-01 to 2026-07, 163 monthly decisions: mean log growth 0.47 (x100 per 20-day… · KellyBoost hand-built feature pipeline, same period: logG 0.39, annualized return 5.7%, vol 22.9%, Sharpe 0.28, max DD…
A companion paper \cite{ItkinDF2026} introduced the Diagonal Frog (DF) positivity-preserving schemes for anisotropic Fokker--Planck equations, advancing each directional substep by a Krylov-computed matrix exponential, which dominates the cost.
PAPER REPORTS · Minimum Variance Portfolio (MVP), 2019-2025 daily, no transaction costs stated: mean daily return 0.0005519, daily… · Minimum Correlation Portfolio (MCP): mean daily return 0.0007516, std dev 0.0014739, Sharpe (std dev) 0.5099, Sharpe…
OUR BACKTEST · Sharpe 0.21 · Return +11.2% · Max DD -24.8%
We develop parametric Entropic Value-at-Risk (EVaR) portfolio optimization for tempered stable Lévy returns.
PAPER REPORTS · ICA+NTS minimum-EVaR (EVaR_95): gross annualized Sharpe 0.616, CAGR 8.60%, annualized vol 15.28%, cumulative return… · ICA+NTS minimum-EVaR net Sharpe: 0.608 at 5bp, 0.599 at 10bp, 0.573 at 25bp; net cumulative return 630.95% at 25bp
OUR BACKTEST · Sharpe 0.24 · Return +20.5% · Max DD -37.6%
Introduction In the context of global climate governance, corporate environmental performance is becoming critical for market competitiveness.
We propose a novel valuation framework for contingent convertible (CoCo) bonds based on the issuing bank's Common Equity Tier 1 (CET1) ratio, which is widely acknowledged as an indicator of a bank's solvency.
PAPER REPORTS · Pricing RMSE 5.04% (LYG, CoCo prices 01/04/2021–12/29/2023, in-sample calibration, no transaction cost assumption… · Pricing RMSE 7.95% (LYG, 11/23/2009–12/30/2011) vs best benchmark RMSE 11.32% in Wilkens and Bethke (2014)
We measure volatility roughness across asset classes using a common data infrastructure and pipeline. Our data covers 3,926 United States equities, 34 CME futures roots, rates, FX, and commodities, and options on 44 underlyings over 2010-2025.
This study focuses on developing an AI-supported prototype for multiperspective interest rate forecasting that combines classical econometric models with modern artificial intel-ligence methods.
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%
We calibrate credit default swaps and index tranches with elastically stopped Lévy processes: each firm defaults when the running supremum of a latent, spectrally positive distress process crosses an independent exponential barrier.
Thousands of SOFR derivatives are available in exchanges and OTC, but the market remains illiquid and incomplete.
This paper studies the investment and insurance strategies of defined-contribution (DC) pension plans under the mean-variance framework. We consider a stochastic environment with time-varying interest rates, contributions, and mortality risk.
We propose the VIX-derived volatility (VDV) model, a VIX-first framework for joint SPXVIX modeling.
For a trading desk, residual climate hedging valuation adjustment (HVA) is the climate cost left after its inherited hedge and any admissible overlay have been taken into account; it therefore cannot be inferred from a stand-alone stress loss.
PAPER REPORTS · Residual climate HVA (own method): entropic climate charge reduced to 0.831 from a 0.906 post-inherited-hedge residual,… · Residual Dyna mean exact regret 0.00757 after 30 updates (6,000 gradient trajectories), vs 0.10863 for observed replay…