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 · 16 shown
We develop a framework to identify and quantify arbitrage across logically related prediction-market contracts.
PAPER REPORTS · Accumulated take, settled windows, 23 Jun-3 Aug 2026, net of spreads and taker fees at displayed depth, held to… · First take, settled windows, same period and costs: guaranteed return 2.7% ($1.10M on $40.6M); at resolution 3.2%…
Weak-form efficiency implies symmetry restrictions on the Markov chain governing movement across the cryptocurrency capitalisation distribution.
PAPER REPORTS · Equal-weighted bottom-decile, survivors only, market-adjusted, gross: 27.49%/wk (t=3.69) frontier 2013:04-2017:11;… · Bottom decile with delisting at -100%, gross, market-adjusted: 20.41%/wk (t=2.84) frontier; 6.91%/wk (t=8.06)…
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),…
Abstract Using Gate.io hourly spot-order-book archives from January 2022 through June 2023, this paper reconstructs a long-horizon five-second panel for comparing the direct Ether/Tether (ETH/USDT) quote with the synthetic Ether/Bitcoin (ETH/BTC) $$\times $$…
Return predictability in financial markets is self-erasing: once an anomaly is discovered and capital flows toward it, its excess return decays.
PAPER REPORTS · Detector-conditioned strategy (Monte Carlo, synthetic data only): per-period Sharpe 0.224 at β=0.4, window n=100,… · Same strategy, window sweep (synthetic): peak per-period Sharpe 0.217 near n=100 at β=0.4.
OUR BACKTEST · Sharpe 0.33 · Return +13.5% · Max DD -10.2%
In this paper we study whether a trading signal can accumulate enough statistical evidence for reliable deployment before its economic value decays.
PAPER REPORTS · Funding-rate lifetime-score signal, top quintile (109 events): 100/109 events with positive next-seven-day…
OUR BACKTEST · Sharpe -0.03 · Return -1.8% · Max DD -19.0%
Intraday electricity markets enable participants to adjust energy positions close to delivery, with price forecasts necessary to support trading and the scheduling of flexible electricity resources as well as increasingly responsive consumers.
PAPER REPORTS · Test AQL 10.62 €/MWh, MAE 28.04, RMSE 101.76, R² 0.39, AQCE 2.29%, AQCR 0.00% — averaged over forecast origins…
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…
The favorite--longshot bias (FLB) is one of the most persistent return patterns in betting markets, but its prevalence in modern prediction markets and its relation to recurrent longshot demand remain unclear.
Abstract We analyze the niche market for social bonds and empirically investigate the existence of a negative social bond premium.
Asset-pricing models typically condition on a fixed information set. This paper endogenises the market's conditioning architecture by allowing portfolios to choose representations whose induced exposures affect prices.
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%
We develop an exactly solvable nonlinear time-series model by incorporating the square-root price-impact law into the Lillo--Mike--Farmer (LMF) model to resolve the diffusive price-dynamics paradox under predictable market-order flow.
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.
When do outcome records carry enough signal to support reliable inferences about skill? When they do not, what should evaluators substitute? The framework answering the first question characterizes any decision domain with two parameters: the noise reflected…