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 · 37 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…
Modern portfolio theory identifies diversification as the primary tool for risk reduction. However, under model uncertainty, this cornerstone may no longer remain optimal.
OUR BACKTEST · Sharpe -0.52 · Return -29.5% · Max DD -24.9%
Stablecoins, typically pegged to fiat currencies, cannot achieve true stability because they inherit fluctuations in the underlying unit of account.
PAPER REPORTS · USD evaluation, USD risk space: annualized return 0.117, annualized volatility 0.211, Sharpe 0.554, max drawdown… · USD evaluation, MLV risk space: annualized return 0.156, annualized volatility 0.223, Sharpe 0.699, max drawdown…
Loss-versus-Rebalancing (LVR) is the dominant adverse-selection cost borne by liquidity providers on automated market makers.
We propose a neural calibration method to construct a recombining binomial tree directly from a set of given option prices.
Portfolio risk assessment ordinarily relies on reliable estimates of cross-asset return covariances, which are difficult to obtain in short, high-dimensional panels.
PAPER REPORTS · In-sample standardized variance percentile of the news-only allocation: 0.69%-1.33% across four prespecified capped… · Standardized in-sample variance 0.357, 8.3% below the equal-risk (inverse-volatility) benchmark and 35.6% above the…
OUR BACKTEST · Sharpe 0.47 · Return +44.2% · Max DD -29.9%
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.
PAPER REPORTS · Optimized ESG portfolio: average conditional volatility 1.29% (2020) declining to 1.18% (2022) and 1.23% (2023-2024),… · Optimized ESG portfolio breach rates: 0.3526 volatility violations and 0.4261 drawdown violations on average 2020-2024…
PAPER REPORTS · US single-country equity portfolios, static risk-minimizing FX exposure (lambda=0), 1990s-2023, in-sample, no… · US single-country equity portfolios, unhedged (full exposure), same period: Sharpe 32.13% (CAD), 45.92% (INR), 31.62%…
This work complements our previous paper, which studies borrower-side strategies in decentralized lending markets, by focusing on lender-side capital allocation.
PAPER REPORTS · core-inspired strategy: 5.5% APY, $100k budget, Morpho USDC markets on Ethereum, Jan 1 2026 - Apr 1 2026, daily… · prime-inspired strategy: 3.3% APY, $100k budget, same period and cost assumption
We show that the key optimization results of the classical Markowitz portfolio selection theory, originally formulated for variance as the risk measure, remain available in explicit closed form under a broader class of strictly convex quadratic risk measures.
OUR BACKTEST · Sharpe 0.50 · Return +143.8% · Max DD -75.0%
Backtests of trading strategies are often selected after many parameter trials. A strong historical result can therefore reflect search luck rather than a persistent signal.
PAPER REPORTS · Genuine-edge discrimination AUROC 0.9890 in synthetic ground truth at headline difficulty (n = 2000, T = 1260 daily… · OOS-survival (Sharpe_OOS > 0) AUROC 0.863 and Spearman 0.611 vs realized OOS Sharpe, same synthetic headline cell
Option prices are prices of insurance, so the risk-neutral probabilities they imply overstate physical crash risk. A power utility pricing kernel undoes the premium.
The Marketron model of \cite{HalperinItkin2025Mark} and its option pricing extension in \cite{HalperinItkinMarketron2} suffer from structural non-identifiability: an eighteen-parameter space traps solvers in suboptimal local minima and renders economic…
We study continuous-time dynamic portfolio optimization under a Conditional Value-at-Risk (CVaR) constraint on the investor's terminal loss.
PAPER REPORTS · Complete market, binding c = -0.94, T = 1 simulated: E[W_T] = 1.0242, CVaR_0.95(-W_T) = -0.9406, average exposure… · Complete market, nonbinding c = -0.86, T = 1 simulated: E[W_T] = 1.0322, CVaR_0.95(-W_T) = -0.8671, average exposure…
OUR BACKTEST · Sharpe 0.75 · Return +55.2% · Max DD -26.8%
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 develop simulation-based policy iteration for continuous-time portfolio choice with predictable returns and convex constraints. Each outer step re-evaluates a fixed-latent OL-BPTT adjoint after deployment and solves the constrained update.
PAPER REPORTS · Tilted Monte Carlo log-certainty-equivalent gap to the reference on the three-factor, fifty-asset constrained…
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%
We develop a scalable adjoint-to-control framework for continuous-time portfolio choice under smooth pointwise constraints.
OUR BACKTEST · Sharpe 0.19 · Return +24.7% · Max DD -66.8%
We study optimal investment for insurers managing participating (profit-sharing) contracts under probability distortion and probability benchmark (aspiration) constraints.
The authors present a rigorous empirical evaluation of three distinct optimization paradigms for institutional factor portfolio construction: an entropy-based photonic quantum annealer (Dirac-3, Quantum Computing Inc.), a commercial mixed-integer programming…
PAPER REPORTS · Dirac-3, best overall configuration (beta1=0, beta2=1): Sharpe 0.760, Sortino 0.841, Calmar 0.567, MDD -3.47%, CVaR5%… · Dirac-3 (beta1=0, beta2=0.5): Sharpe 0.721, Calmar 0.538, MDD -2.63% (lowest in both sweeps), CVaR5% -1.107%, annual…
OUR BACKTEST · Sharpe 0.25 · Return +11.4% · Max DD -18.7%
Thousands of SOFR derivatives are available in exchanges and OTC, but the market remains illiquid and incomplete.
Completely monotonic inverse marginal (CMIM) utilities, introduced in [MSZ24], constitute a tractable class of preferences that includes many of the most important utility functions used in mathematical finance, such as power and exponential utilities.
We develop a certified, scalable approximation for high-dimensional Wasserstein distributionally robust portfolio optimization. For expected-utility maximization under order-one Wasserstein ambiguity, standard duality yields a semi-infinite convex program.
PAPER REPORTS · ε=10^-2 (best DRO policy), 476-asset monthly rebalanced, 2021-2025, no transaction costs: cumulative return 3.64,… · ε=10^-4, 2021-2025, no costs: CR 4.77, σ 0.45, SR 0.93, MDD 0.38, Calmar 1.12
OUR BACKTEST · Sharpe 0.63 · Return +106.7% · Max DD -45.0%
Current portfolio construction methods are either agnostic to the effects of idiosyncratic shocks (standard factor models) or to the latent data structure driving systematic returns (recent graph-based approaches).
PAPER REPORTS · Contagion Cut (proposed): CAGR 21.0%, Sharpe 1.07, Calmar 0.611, Jan 2019-Mar 2026, 0 bps transaction costs · Contagion Cut: Sharpe 1.04 at 10 bps, 1.01 at 20 bps, 0.929 at 50 bps (CAGR 20.5%, 19.9%, 18.3%), Jan 2019-Mar 2026
OUR BACKTEST · Sharpe 0.75 · Return +143.1% · Max DD -40.3%
Neural and numerical policy solvers can produce feasible controls even when the optimal rule and its binding constraints are unavailable.
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 formulate an over-the-counter (OTC) market-making problem in which request-for-quote (RFQ) arrivals are modelled by general Hawkes kernels and fills are controlled thinnings of the exogenous request flow.
PAPER REPORTS · Exponential Hawkes benchmark objectives (Monte Carlo, 2x10^4 paths, T=1 day, no transaction costs modelled): benign —… · Near-critical regime objectives: exact HJB 48.80+/-0.24, Poisson 42.58+/-0.22, mean VR 48.37+/-0.25, noise-aware VR…
This paper builds Path Portfolio Optimization: portfolio theory on a path-first framework in which the signature is the universal coordinate of the price path, and asks whether it survives estimation.
PAPER REPORTS · Cross-area lead-lag portfolio, sign-carrying excitation 1→2 with q=0.85: mean P&L +0.000189, s.e. · Cross-area, sign-carrying excitation 2→1 with q=0.85: mean P&L −0.000227, s.e. 0.000012, t=−18.92, annualized Sharpe…
OUR BACKTEST · Sharpe 0.45 · Return +21.4% · Max DD -19.5%
We propose Adaptive Refinement Bayesian Optimization for Day-Ahead and Real-Time (ARBO-DART) markets, an algorithm for BESS intraday dispatch co-optimization in which day-ahead (DA) commitment profiles are optimized against value of real-time (RT) recourse…
PAPER REPORTS · Case Study 1 DART PnL $104.50/day (4 MWh / 1 MW battery, gamma=0.2, single representative CAISO SP-15 day averaged over… · Case Study 1 at gamma=0.1: $104.53; at gamma=0.4: $104.49
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…
Leveraged event positions combine a repayable loan with an outcome claim that may become non-tradable before oracle payout is final.
At the scale of seconds the observed mid carries a stationary, mean-reverting error around a latent efficient price.
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…
Finite multiplicative systems often cease to evolve when a lower continuation threshold is reached,whereas standard growth-optimal benchmarks assume uninterrupted continuation.
OUR BACKTEST · Sharpe 0.68 · Return +16.4% · Max DD -8.3%
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…
Building on the identity that expected regret equals the covariance between costs and decisions, this paper develops the complete derivative theory of the covariance regret functional.
OUR BACKTEST · Sharpe 0.57 · Return +131.1% · Max DD -35.8%