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 · 3 shown
Abstract This research seeks to delve deeper into the financial significance of the eigenvector associated with the second-largest eigenvalue of the correlation matrix of returns.
OUR BACKTEST · Sharpe -0.48 · Return -35.9% · Max DD -49.7%
In this paper we propose a new formulation of the Bayesian Filter as used in the discrete-time Markov-Switching-Multifractal (MSM) model of volatility based on existing permutation symmetry within the likelihood structure.
OUR BACKTEST · Sharpe 0.90 · Return +54.5% · Max DD -20.2%
Human capital is a central organizational input, but standard financial data reveal little about firm-specific disruptions to workforce availability, cost, skills, and continuity.
OUR BACKTEST · Sharpe 0.56 · Return +50.1% · Max DD -40.8%