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 · 131 shown
We propose a market-making game played among $N \ge 2$ strategic market makers and a single non-strategic representative trader.
This article studies a finite-horizon American put option with up to $m$ exercise rights under the risk-neutral Black--Scholes model, where consecutive exercises must be separated by a prescribed refractory period $δ>0$ and unused rights may expire.
Worst-case risk evaluation is central to finance and operations research, yet existing analytical results remain fragmented and largely confined to ambiguity sets with specific structures.
OUR BACKTEST · Sharpe 0.67 · Return +44.6% · Max DD -28.9%
Logistic stock-price dynamics have been proposed as a way of representing assets whose growth is bounded by competition, saturation or finite market capacity, but the derivations available in the literature retain a logistic drift while invoking a…
This paper studies continuous-time portfolio selection under Range Value-at-Risk (RVaR), with both portfolio performance and risk evaluated in terms of logarithmic returns.
OUR BACKTEST · Sharpe 0.18 · Return +15.4% · Max DD -38.2%
The value of a forecast depends on its accuracy, but also on its actionability. In trading, an investor must translate return forecasts into positions while accounting for trading costs and the lingering impact of earlier trades.
OUR BACKTEST · Sharpe 0.07 · Return +8.8% · Max DD -55.7%
Value-at-Risk (VaR) is a widely adopted quantile-based risk measure in practice, yet incorporating VaR objectives into Markov decision processes (VaR MDPs) remains a longstanding challenge.
PAPER REPORTS · Simulated alpha-VaR of total execution revenue, dynamic vs. optimal static strategy (Regime 2, Almgren-Chriss…
In this paper, we provide a comprehensive study of how the classical Black--Scholes-type market framework behaves in an infinite-dimensional setting. The asset prices are modeled by stochastic evolution equations in a separable Hilbert space.
The short-term blow up behaviour of the ATM-IV skew is commonly modelled by either a rough volatility process with small Hurst index or an infinite variation Lévy process in the log-price dynamics.
Classical execution models assume linear impact, diffusive prices, and an exogenous horizon. We study execution under concave power-law impact and Hurst-scaled price fluctuations, and make two contributions.
OUR BACKTEST · Sharpe -0.29 · Return -9.4% · Max DD -22.3%
Crypto venues increasingly list perpetual futures on equities and other real-world assets (RWAs), which trade continuously yet reference dividend-paying stocks: a long equity perpetual marked to the ex-dividend cash price bears the ex-dividend drop without…
We study long-term investment in an Ornstein-Uhlenbeck diffusion model with exponential utility. We solve the finite-horizon problem explicitly and show that information delay qualitatively alters long-horizon behavior.
OUR BACKTEST · Sharpe -0.06 · Return -0.6% · Max DD -3.9%
This paper studies decision functionals under ambiguity when pure-risk evaluation is determined by a general, possibly non-affine statistic.
OUR BACKTEST · Sharpe 0.54 · Return +30.9% · Max DD -25.2%
The end-of-month option allows the short in a futures contract to choose when to deliver during a window in which the delivery price is fixed. We characterize optimal delivery through a universal index obtained from the Bank--El Karoui representation theorem.
This project investigates the valuation of American commodity options using the Schwartz two-factor model.
We study liquidity provision in automated market makers when trading in the external market incurs proportional transaction costs. We consider both separately collected fees and fees retained in reserves.
Regime-switching multi-factor models are widely used in quantitative finance, but filtering does not by itself determine when an agent should act on inferred regime changes.
OUR BACKTEST · Sharpe 0.63 · Return +57.2% · Max DD -14.2%
We study finite-maturity American puts in the Heston model without the Feller condition. At positive variance, the exercise boundary is smooth and strictly decreasing in remaining maturity and variance.
We study how retained ownership supports the value of an asset that pays no dividends and is held only for resale.
We study a local stochastic volatility (LSV) model in which the variance factor follows a generalized Langevin equation (GLE) with colored noise, and past returns act on variance through a memory kernel with state-dependent amplitudes.
In stochastic control problems involving optimal portfolio choice, one often seeks an optimizer of some local criterion (dynamic programming value function) generated by some global criterion (e.g., expected utility).
OUR BACKTEST · Sharpe 0.80 · Return +34.1% · Max DD -15.2%
Portfolio decisions are often made under uncertainty about expected returns, and investors revise their beliefs as new information arrives.
OUR BACKTEST · Sharpe 1.07 · Return +152.8% · Max DD -57.4%
We study a two-sided singular stochastic control problem in which changes in consumption carry utility costs and the risk premium follows the mean-reverting Kim-Omberg model.
This paper studies semi-static variance-optimal hedging of variance swaps in the rough Heston model under a risk-neutral measure.
PAPER REPORTS · In-model (simulated, risk-neutral, frictionless) hedging error reduction of the paper's semi-static hedge vs purely… · Same setting with m=12 options: 97.13% (H=0.1), 99.32% (H=0.3), 99.96% (H=0.5).
We represent (weighted-)selection-elliptical distributions as an affine combination of the $q$ selection variables plus an elliptical term whose direction alone is independent.
OUR BACKTEST · Sharpe 0.75 · Return +27.1% · Max DD -21.2%
Structural price diffusivity explains many empirical regularities of market impact including the ``square-root law'' and its crossover to a linear regime for low trading rates \citep{bonart2026diffusive}.
The square-root impact law (SRIL), $I = Yσ\sqrt{Q/V}$, bundles two facts that a single mechanism must explain at once: a shape (impact proportional to square-root of traded volume $Q$) and an amplitude ($Y=O(1)$, independent of the participation rate…
We develop a framework for an investor who trades until she either reaches a financial goal or an exogenous deadline arrives. Analogous to utility functions over wealth, we measure satisfaction with the timing of reaching a goal by a discount function.
OUR BACKTEST · Sharpe 0.63 · Return +44.3% · Max DD -26.3%
Risk evaluation under distributional ambiguity is central to decision making in finance, economics, and operations research. Wasserstein balls provide a natural way to describe uncertainty around a reference distribution.
OUR BACKTEST · Sharpe 0.58 · Return +43.5% · Max DD -29.9%
We investigate a continuous-time financial market where the asset price exhibits weak (sublinear) mean reversion and has a nonzero drift.
OUR BACKTEST · Sharpe 0.09 · Return +0.0% · Max DD -0.1%
We give a unified analytic account of a finite bid--ask spread in a two-field reaction--diffusion order book. The model retains separate bid and ask densities in operational time, with diffusion, cancellation, reaction and external order creation.
This article studies a retirement planning problem from a new perspective in which a retiree delegates an initial lump sum to a professional fund manager.
We develop a posteriori primal-dual bounds for numerical approximations of European option prices in the Uncertain Volatility Model.
Entropic risk optimisation is a general framework for pricing and hedging financial derivatives in incomplete markets that can be used to decompose P&L into market and model risk contributions.
We study when to buy a share that will later be sold optimally, when the price follows a geometric multi-skew Brownian motion whose skew levels model support and resistance.
OUR BACKTEST · Sharpe 0.21 · Return +40.7% · Max DD -78.0%
We determine the leading logarithmic asymptotics of the fixed-maturity right tail of the SABR model with $β\in(0,1)$ and absorption at zero, for every correlation $ρ\in(-1,1)$.
A cross-sectional signal is a forecast vector over $d$ assets at each date; demeaned and normalized, it is a point on a sphere. Its city is the direction of its time-averaged vector in a common target-aligned frame, a compressed summary.
OUR BACKTEST · Sharpe 0.68 · Return +75.9% · Max DD -48.2%
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%
We propose an interactive robo-advising framework that learns personalized risk preferences from scores provided by clients.
Abstract We investigate statistical tests for multivariate realized volatility models which are estimated using realized covariance matrices computed from intraperiod (high-frequency) financial data.
OUR BACKTEST · Sharpe 0.54 · Return +24.3% · Max DD -22.3%
In this work, we study the pricing of American options under stochastic local volatility (SLV) models extended by including stochastic correlation driven by an additional stochastic process.
We study finite-horizon portfolio optimization with proportional transaction costs and trading opportunities arriving at the jump times of a Cox process.
OUR BACKTEST · Sharpe 0.52 · Return +0.0% · Max DD -0.0%
On April 20, 2020, the May front-month WTI oil futures contract, one day before its expiration date, opened near $\$17/$barrel and dropped far below zero in a single trading day, reaching an intraday low of $-\$40.32$ and settling at $-\$37.63$.
We derive a short-maturity expansion for up-and-out put barrier option prices under continuous stochastic volatility when the strike and the barrier approach the spot at the diffusive scale.
Abstract This paper addresses the issue of time inconsistency in recursive stochastic control problems, in which the forward state process evolves under the influence of an additional recursive utility system.
We study the short-maturity implied volatility and the skew stickiness ratio for baskets of assets with continuous, possibly rough, stochastic volatility.
Global shocks - ranging from climate-related disasters and geopolitical conáicts to pandemics - transmit rapidly across borders and shape Önancial market co-movements.
We model market impact as the response to submitted order flow net of counterflow from latent traders, activated when price displacements from the level that would prevail without the order exceed individual thresholds.
Hedging a derivative by trading the underlying asset changes the payoff that the hedging intended to replicate. We study this phenomenon when trading generates price impact and execution costs.
We solve the perpetual liquidation problem for a geometric multi-skew Brownian motion carrying local-time pushes upward at a support level and downward at a resistance level, a model of technical analysis that is Markov in the price alone.
OUR BACKTEST · Sharpe -0.21 · Return -3.5% · Max DD -10.3%