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 · 82 shown
Frequent market instability and the lack of rigorously validated forecasting frameworks pose significant challenges for predicting market stress in the Dhaka Stock Exchange (DSE).
PAPER REPORTS · Random Forest crash-gated risk-off strategy, pooled equal-weighted, 2019-2022 test period: total return 67.26% (15.01%… · Annualized volatility 16.39% (strategy) vs. 18.11% (buy-and-hold); maximum drawdown -32.21% vs.
OUR BACKTEST · Sharpe 0.47 · Return +25.2% · Max DD -21.6%
This paper examines whether the risk-adjusted performance of Environmental, Social, and Governance (ESG)-focused Exchange Traded Funds (ETFs) reflects distinct investment behavior or is primarily influenced by benchmark exposure, geography, and sector…
OUR BACKTEST · Sharpe 0.56 · Return +53.4% · Max DD -37.6%
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%
This article investigates the risk exposure of eight Central and Eastern European markets using monthly data.
Abstract This study examines the dynamic and quantile-dependent spillover connectedness among African stock markets, precious metals, and cryptocurrencies.
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.
We study deep hedging in the context of dynamics risk measures, where sequential decisions are time-consistent.
PAPER REPORTS · Terminal hedging loss CVaR95% at 1-year maturity, 10,000-path test set with initial state perturbation, 0.1%… · Mean terminal P&L, same setup (alpha=95%): log -1.1143 (std 1.7095), static +0.2161 (std 2.6423)
This paper develops uniform inference and certified capacity decisions for an estimated financial stability boundary. Conditional risk, temporary cross-impact, and effective risk-bearing capacity are jointly estimated from dependent observations.
PAPER REPORTS · Capacity/regret under the baseline loss convention (simulated 60-cell design, no market data): Projected safe - planned… · Under the high convention-loss calibration: projected-safe mean regret 0.107, below pointwise delta 0.120 and plug-in…
Abstract Sentiment indicators are widely used in digital asset markets, but their economic meaning remains ambiguous.
PAPER REPORTS · Expanding-window out-of-sample R-squared vs historical-mean benchmark, 2018-2026 sample, no transaction costs… · Out-of-sample directional hit rate of the ridge sentiment model: 49.8% (1d), 51.5% (7d), 48.1% (30d), no cost…
This paper examines asymmetric volatility spillovers and dynamic connectedness among BRICS exchange rates, the US Dollar Index (USDX), the Japanese Yen (JPY), Brent crude oil, and the Geopolitical Risk Index (GPRD), employing a Time-Varying Parameter Vector…
PAPER REPORTS · Minimum Variance Portfolio risk-reduction effectiveness (RE = 1 - var(rp)/var(ri)), Sept 2014 - Oct 2024, no… · Minimum Correlation Portfolio RE, same sample, no costs stated: RUB 0.98, BRL 0.96, ZAR 0.95, JPY 0.86, USDX 0.76,…
Abstract Existing studies of cryptocurrency contagion typically analyse either event-driven shock propagation or time-varying correlations in isolation and often focus on small asset panels.
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.
We study whether nuclear and energy-adjacent equity options exhibit a harvestable variance risk premium. Using CRSP and OptionMetrics data for 2000-2024, we construct a systematic cash-secured short-put strategy on a curated universe of nuclear-related firms.
PAPER REPORTS · EW put unconditional, 2000-2024 (300 months): 18.7% annualized return, 2.4% annualized volatility, Sharpe 7.81, MaxDD… · CAP-10 unconditional: 18.6% return, 2.4% vol, Sharpe 7.79, MaxDD 0.0%
The object of this research is the economic security policy controlling algorithmic trading strategies for prop traders based on Polynomial Moving Regression Bands (MRB).
PAPER REPORTS · Six-month live trading test, four cryptocurrencies: buy-and-hold outperformed the proposed PAR automated system on all…
Abstract Publicly listed companies are increasingly disclosing climate-related financial risks to their businesses since the promulgation of the Task Force on Climate-related Financial Disclosures (TCFD), and more recently under the climate-related…
This study comparatively examined the forecasting performance of machine learning and traditional volatility models in predicting daily exchange rate volatility across selected economies from 01 January 2015 to 08 May 2026.
Foundation models promise accurate forecasts with little or no task-specific training, but whether they can replace models designed specifically for electricity price forecasting remains unclear.
PAPER REPORTS · Total BESS arbitrage profit over 2021-2025 (1,826 days, 1 MWh battery, 25 EUR round-trip operating cost deducted per… · Total profit Poland: unlimited-bid best 106,685 EUR (TabPFN-3) vs Oracle 123,439 EUR, 86.4% of perfect foresight; Spain…
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…
Small-cap-inclusive equity universes contain recently listed and intermittently traded securities, so enforcing a common look-back discards a substantial fraction of the available information.
PAPER REPORTS · Annualized five-session volatility 11.17%, January 2000 - December 2025, net of all modeled execution costs… · Sharpe 0.814, same period, net of execution costs
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.
Quantitative trading is moving from isolated predictive models toward agentic workflows that combine reasoning, tool use, memory, and feedback.
This study investigates the time-varying interactions between financial stress and selected financial assets within the Diebold–Yilmaz connectedness framework.
The standard Fama-French three-factor model assumes constant factor loadings for the market, size, and value factors.
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%
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
Abstract The emergence of cryptocurrencies has presented investors with novel portfolio diversification opportunities.
PAPER REPORTS · Unconstrained mean-CVaR with crypto: mean monthly return 2.63%, mean monthly CVaR 1.15%, mean monthly risk-return ratio… · Unconstrained without crypto: mean monthly return 0.46%, CVaR 0.42%, risk-return ratio 1.09%
Coupled feedback networks are often monitored channel by channel even though cross-channel paths alter both stability margins and transmitted disturbances.
PAPER REPORTS · Detection power 1.00 with false-alarm rate 0.12 on zero-coupling entries under independent regime-switching gains (n =… · Detection power 1.00, false-alarm rate 0.22, off-diagonal RMSE 0.28 under correlated staircase gains (same design)
PAPER REPORTS · Out-of-sample RMSE (70-30 split, 2021–2024, no transaction costs): LLF BTC 0.541, ETH 0.256, USDT 0.244, BNB 0.676, BCH… · Out-of-sample MAE: LLF BTC 0.377, ETH 0.199, BNB 0.446, BCH 0.567, LTC 0.458, ICP 0.519, MATIC 0.612, USDT 0.137 (RF…
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%…
PAPER REPORTS · GMV portfolio realised variance (own model AL-MGARCH): 1.261 at h=1, 1.334 at h=5, 1.402 at h=22, vs MGARCH 1.382 /… · MV portfolio realised variance (own model AL-MGARCH): 2.241 at h=1, 2.352 at h=5, 2.437 at h=22, vs MGARCH 2.452 /…
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%
Abstract High-dimensional multivariate normal (MVN) integration is a computational bottleneck in many statistical applications, particularly in finance and econometrics.
We develop a PDE-based methodology for pricing and hedging European contingent claims in general one-dimensional diffusion markets characterized solely by their scale function and speed measure, possibly without a classical SDE representation, and with…
PAPER REPORTS · Bachelier (premium 2.0), N_MC=2000, N^space_FD=4000, T=10, no transaction costs: MTE* −0.002 ± 0.008 and StDTE* 0.192 ±… · Skew-Sticky 1 (premium 0.271, κ₋₁=0.3, κ₁=0.7, ρ=1, r=0.2, ELMM exists): MTE* 0.058 ± 0.022 and StDTE* 0.506 ± 0.024 at…
The stability of markets hosting leveraged exchange-traded products is governed not by any single product's loop gain but by the spectral radius of a loop-gain matrix, and scalar per-product monitoring underestimates system feedback by construction.
Abstract A key puzzle in finance is why algorithmic traders with advanced neural models sometimes fail to beat simple traditional strategies, while in other cases they clearly outperform them.
PAPER REPORTS · Cluster 0 (most efficient), test 2025-2026, net of 0.1% one-way costs: DDPG annualised return 34.72%, cumulative… · Cluster 0 best classical: HRP Sharpe 1.591, Calmar 2.3562, max drawdown -13.07%, annualised return 30.80%
OUR BACKTEST · Sharpe 0.78 · Return +25.3% · Max DD -11.7%
Deep hedging is a data-driven approach to learn hedging strategies. It relies on synthetic price paths generator, as real market data is often limited for training.
OUR BACKTEST · Sharpe 1.78 · Return +5.9% · Max DD -0.6%
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%
Automated market makers (AMMs) are a cornerstone of decentralised finance (DeFi). Constant product markets with concentrated liquidity, such as UniswapV3, are now a well-established design.
PAPER REPORTS · PPO_narrow, risk-neutral, sigma=0.01, g=2: mean PnL 49.91 +/- 0.38 USDC, 5% CVaR 9.15 +/- 0.65, over 1000 evaluation… · PPO, risk-neutral, sigma=0.01, g=2: mean PnL 42.31 +/- 0.97 USDC, 5% CVaR 6.08 +/- 0.97
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:…
Abstract We study the distributional and tail-risk properties of Bitcoin and the major cryptocurrencies using daily returns from June 2014 to May 2026.
This study evaluates the return performance and risk characteristics of selected companies suitable for mutual-fund and equity investment analysis over the period 2021–22 to 2025–26.
We introduce a reinforcement learning framework for market making in a limit order book.
PAPER REPORTS · Normalized cash flow (20), noise market: LN mean 6.03, sd 2.81 (M=2); mean 4.66, sd 1.41 (M=20); 10,000 test episodes,… · Normalized cash flow, noise+tactical market: LN mean 9.11, sd 2.20 (M=2); mean 5.68, sd 1.03 (M=20)
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 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 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 study optimal investment for insurers managing participating (profit-sharing) contracts under probability distortion and probability benchmark (aspiration) constraints.
Investors interpret social disclosures from a risk perspective, yet relevant information can reach them through channels that differ sharply in regulatory enforcement and materiality: SEC filings, sustainability reports, or financial reports.
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%