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 · 1 shown
PAPER REPORTS · Decile long-short, intraday momentum (even lags, last 5 days): 0.23% per half-day (t=19.85); CAPM alpha 0.23 (t=19.87);… · Decile long-short, overnight momentum (even lags, last 5 days): 0.42% per half-day (t=19.34); TW alpha 0.37 (t=18.90);…