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 · 16 shown
Transaction costs can make or break a trading strategy, particularly in relative-value trading of commodity and macro markets, where edges are a few basis points. Price impact is a central component of transaction cost.
PAPER REPORTS · Net P&L, monthly average over 2004-2011 (96 months), in basis points of $1B gross limit, after simulated impact cost…
This paper investigates the dynamic response of Shanghai crude oil futures (INE) to international benchmark price shocks and evaluates the evolution of market maturity from its inception to early 2025.
Basket options are difficult to value under correlated lognormal dynamics because weighted sums and differences of lognormal variables have no tractable distribution.
We introduce Deep-MKV-TS, a path-dependent McKean-Vlasov framework for financial scenario generation. The stochastic dynamics are chosen by matching selected path and volatility features of generated scenarios to those observed in the data.
PAPER REPORTS · Frozen ES drawdown-risk decision, 123 held-out sessions (January-June 2026): Deep-MKV-TS average exposure 1.99 +/- 0.06… · Conditional-forecast CRPS (x1000, lower better) on the 123-session chronological held-out test, four-seed mean +/- sd:…
We present in this article a non-parametric value-at-risk (VaR+CVaR) algorithm that remains accurate for an arbitrarily large number of underlying positions. The algorithm solves the two inherent problems of VaR estimation.
PAPER REPORTS · Median 99% daily VaR breach rate 1.0 +/- 0.1% across 9 parameter settings, 500 random portfolios, no transaction costs… · Per-configuration medians (no added delay): 0.97%, 1.06%, 1.09% (1260-day window, 14/30/45-day vol); 0.90%, 0.99%,…
OUR BACKTEST · Sharpe 1.58 · Return +17.6% · Max DD -3.4%
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.
Against the background of increasing volatility and complex risk factors in global markets, options and futures have become important instruments for risk hedging and uncertainty management.
PAPER REPORTS · Futures hedged portfolio, 2019-2024: annualized return 7.95%, annualized volatility 10.28%, hedging efficiency 46.87%,… · Option hedged portfolio, 2019-2024: annualized return 8.31%, annualized volatility 8.76%, hedging efficiency 54.73%,…
OUR BACKTEST · Sharpe 0.74 · Return +83.0% · Max DD -47.8%
Thousands of SOFR derivatives are available in exchanges and OTC, but the market remains illiquid and incomplete.
Crypto-listed equity perpetuals trade while the primary cash market is closed, yet still need a mark for margin, funding, and liquidation.
We study seven major crypto-perpetual liquidation cascades (2022-2025), and in the largest of them we can watch the mechanism directly.
We propose the VIX-derived volatility (VDV) model, a VIX-first framework for joint SPXVIX modeling.
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.
Pay-as-produced power purchase agreements (PPAs) expose buyers and sellers to the joint risk of power prices and renewable production.
PAPER REPORTS · Wind PPA, held-out simulated test paths, Jan–Dec 2025 delivery: multi-month dynamic futures hedge reduces payoff… · Wind PPA semi-static (dynamic futures + static claims): 87.3% reduction in both std (45.6 kEUR) and 95% CVaR (101.4…
Production forecasting systems retrain models regularly, but a retrained candidate does not necessarily outperform a continuously maintained incumbent that has continued to learn.
PAPER REPORTS · Metric is negative log-likelihood of a 3-class 300s direction forecast, not trading P&L; no Sharpe, return, alpha or… · Pooled 48 weeks (4 Aug 2025 - 5 Jul 2026, Binance USD-M + COIN-M, 8 underlyings, 3 seeds): SBS relative NLL reduction…
We present a unified approach to designing trend-following (TF) systems and classify them into European, American, and Time Series Momentum categories.
PAPER REPORTS · European TF system: annualized Sharpe 0.47, monthly returns net of transaction costs and net of 2%/20%… · American TF system: annualized Sharpe 0.50, net of transaction costs and 2%/20% fees, 31 December 1999 to 30 June 2026…
OUR BACKTEST · Sharpe 0.10 · Return +8.4% · Max DD -30.4%
The Gasoil options market is illiquid, making it difficult to construct its implied volatility surface directly. However, it is closely linked to the highly liquid Brent options market.