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 · 94 shown
We model the dynamics of the liquidity profile in Uniswap~V3 and other concentrated-liquidity automated market makers with a stochastic partial integro-differential equation (SPIDE).
We propose a regime-aware tactical asset allocation (TAA) framework integrating market regime detection with Nested Clustered Optimization (NCO) for multi-asset portfolio construction.
PAPER REPORTS · Regime-NCO (proposed), OOS Jan 2021 to Aug 2025, monthly, 10bp proportional costs, rf 0.479%/month: cumulative return… · Regime-NCO, same period and settings: Sharpe -0.9522, Sortino -1.2271.
PAPER REPORTS · DCC-ePOET-1, out-of-sample global MVP on 331 S&P 500 stocks: Var 0.445, Annual-SD 10.840, mean Sharpe ratio 2.281,… · DCC-ePOET-2 (latent factors only, no observable factors), same setup: Var 0.464, Annual-SD 11.049, mean Sharpe ratio…
As renewable energy integration accelerates, intraday continuous (IDC) electricity markets have become essential for short-term balancing.
Abstract This study examines the association between derivatives trading and the spot return volatility of cryptocurrencies, focusing specifically on Bitcoin (BTC) and Ethereum (ETH).
Although advances in artificial intelligence (AI) and machine learning (ML) have transformed financial risk assessment, many early-warning frameworks for systematic risk still rely on isolated macro-financial indicators with limited integration of established…
Abstract Evaluating systemic risk transmission across financial and commodity markets is vital for maintaining macroeconomic stability in hydrocarbon-dependent economies.
Pergerakan harga emas yang dipengaruhi oleh volatilitas pasar dan ketidakpastian ekonomi memerlukan metode peramalan serta analisis risiko yang akurat.
PAPER REPORTS · ARIMA(1,1,1) price forecast: MAPE 9.15%, MAE USD 396.14, RMSE USD 454.31, directional accuracy 100%. · MC GBM Geopolitik scenario: MAPE 10.37%, MAE USD 426.43, RMSE USD 465.29, directional accuracy 100%.
OUR BACKTEST · Sharpe 0.01 · Return +0.6% · Max DD -35.1%
Abstract Climate change increasingly affects real estate markets because property assets are location-specific and directly exposed to environmental conditions.
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 propose a structured continuous-time stochastic volatility model for one-day-ahead integrated-variance forecasting.
PAPER REPORTS · SPX out-of-sample (second half of 2004–2022, raw RV proxy): QLIKE 0.0709, MSE_var 2.6538, MAE_var 0.4285 · Best-loss counts across 17 indices: QLIKE 15/17, MSE_var 12/17, MAE_var 17/17; retained in 90% MCS on 15/17 (QLIKE),…
We study dynamic portfolio decarbonization under incomplete information about firms' carbon intensities and the underlying transition state.
Expected Shortfall (ES) measures the average size of tail losses. Its sequential backtests typically also require a Value-at-Risk (VaR) forecast.
Temporal point processes are used both to measure market mechanisms, for example how fast prices absorb news and how much of the reaction is the market responding to itself, and to predict the next event.
This study examined the volatility effects of climate policy uncertainty on renewable energy stock returns in Nigeria using the Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model.
A realized tail-risk conditional autoregressive expectile (RTCARE) model is proposed for joint forecasting of value-at-risk (VaR) and expected shortfall (ES).
PAPER REPORTS · RTCARE out-of-sample mean FZ0 loss (IBM, 3513 rolling one-day forecasts within 2005-2024): 1.100 (5%), 1.379 (2.5%),… · RTCARE NO INT out-of-sample mean FZ0 loss: 1.097 (5%), 1.372 (2.5%), 1.769 (1%), 2.057 (0.5%)
OUR BACKTEST · Sharpe 1.82 · Return +9.2% · Max DD -6.2%
Abstract The energy and digital transitions are increasing demand for metals used in renewable energy, electrification, storage, and digital infrastructure.
The growing importance of intraday trading in Europe, driven by the increasing penetration of renewable energy sources, has led to higher volatility and periods of market stress.
Finding which variables cause which others in multivariate time series, and at what lags, is central to science and policy, yet existing methods force a choice between flexible confounder adjustment, data-driven lag selection, and inference that controls the…
PAPER REPORTS · ACLE-VAR (the paper's adaptive-lag procedure, no confounders): weighted long-short, SPY dollar-hedged, open-to-close. · ACLE-VAR by strategy (Ann. Return % / Sharpe), 2004–2020, no costs: Naive 4.64/1.15; Top 50% 8.54/1.31; Top 25%…
OUR BACKTEST · Sharpe -0.33 · Return -2.2% · Max DD -4.6%
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%
Abstract Estimating value-at-risk on time series data with potentially heteroskedastic dynamics is a highly challenging task.
PAPER REPORTS · LSTM VaR estimator, Fama-French 25 BM/OP portfolios, VaR 1%, n=250, test period ending 08.03.2019 (~500 backtest days):… · LSTM VaR estimator, Fama-French 25 portfolios, VaR 1%, n=250, test period ending 28.02.2022 incl.
The increasing volatility of electricity prices driven by renewable energy integration, market shocks, and regulatory changes has reinforced the need for forecasting methods that go beyond point predictions and accurately describe the full conditional price…
PAPER REPORTS · JSU(4), the paper's preferred specification: average MAE 19.39 (SD 0.12) over the 24 hourly series. · JSU(4) average pinball loss: tau=0.99 1.29, tau=0.95 3.41, tau=0.05 3.53, tau=0.01 1.13. Same evaluation setup.
We study the joint dynamics of the best bid and ask prices with a spread-gated Hawkes-flocking model.
This paper examines whether a cointegration-based pairs trading strategy between PepsiCo and The Coca-Cola Company is statistically robust and economically exploitable.
PAPER REPORTS · In-sample 2018–2023, θ*=(2.15, 0.50): annualised net Sharpe 0.67, net P&L $16,941 on $100,000, 9 round-trips. · In-sample 2018–2023 excluding the COVID window: annualised net Sharpe 0.28, net P&L $5,759, 8 trades (0.20% costs).
OUR BACKTEST · Sharpe 0.11 · Return +0.2% · Max DD -1.4%
Abstract The Probability of Informed Trading (PIN) treats informational events as independent across trading days, leaving it silent on how long informational regimes last.
We develop a model-agnostic framework for noise reduction in high-dimensional time series that explicitly targets optimal recovery of a low-dimensional latent dynamic component contaminated by observational white noise.
PAPER REPORTS · Macro panel one-step-ahead forecast (not a trading strategy): average MSE 23.47 (standard error 10.87) for VAR(2) on…
OUR BACKTEST · Sharpe -0.50 · Return -21.3% · Max DD -34.9%
Commodity option surfaces contain information beyond the at-the-money volatility level.
The equal-weighted portfolio is a passive, rule-based strategy that has historically been difficult to outperform, delivering higher returns than the capitalization-weighted "market" benchmark across many markets and periods.
PAPER REPORTS · Mean-reverting frictional λ*,mr, 1995–2024 monthly, net of 15bp proportional costs: - cumulative net return 44.92 -… · Trending frictional λ*,trend, 1995–2024, net of 15bp costs: - cumulative net return 31.41 - return 0.13, volatility…
OUR BACKTEST · Sharpe 0.24 · Return +0.0% · Max DD -0.0%
We examine the conditional volatility dynamics of the USD 1Yx10Y forward swap rate using GARCH(1,1), GJR-GARCH(1,1), and a two-regime Markov-switching GARCH (MSGARCH) model.
PAPER REPORTS · 95% one-day-ahead interval coverage, 1500 test days (34.36% of sample): GJR 94.00%, GARCH 93.80%, MSGARCH 93.8% · 1300 test days: GJR 93.62%, GARCH 93.23%, MSGARCH 93.154%
Day-ahead electricity price forecasts support trading and storage decisions, but for battery arbitrage predicting intraday price spreads is more relevant than predicting individual hourly prices.
PAPER REPORTS · Germany, 01.01.2021-31.12.2025, 1 MWh BESS, eta=1, 25 EUR round-trip cost: best Spread THieF total profit 154,265 EUR… · Spain, same period and setup, eta=1: best Spread THieF total profit 81,859 EUR (NARX) vs Oracle 95,336 EUR; relative…
This paper proposes discrete-time approximations to rough continuous-time models of realized variance (RV). The leading rough models can be viewed as autoregressive processes driven by fractional Gaussian noise.
PAPER REPORTS · 1-day-ahead MSE relative to HAR benchmark, average over 10 ETFs, 2010-01-04 to 2024-12-31 rolling 500-day window, no… · 1-day-ahead QLIKE relative to HAR, same sample: log-RAR 0.7942, log-RHAR 0.7925
This study examines the financial interaction between stock returns and fan tokens of the four major football clubs competing in the Türkiye Super League and publicly traded.
Modern economic and financial data are increasingly organized as multiway arrays, with observations indexed simultaneously by geographic regions, industrial sectors, asset categories, and other economic characteristics.
PAPER REPORTS · TF-BEKK constrained global minimum-variance portfolio, 250-day out-of-sample period 2024-04-09 to 2025-04-18, Chinese… · TF-BEKK has the highest cumulative return at the end of the 250-day out-of-sample window (Figure 4) and the highest AV…
Bu çalışma, Türkiye’de kamu ve özel kesime ait kısa ve uzun vadeli dış borcun BIST Banka Endeksi üzerindeki asimetrik etkilerini 1996–2024 dönemi için incelemektedir.
An Oracle result is not yet a protocol payout, a redeemable position is not yet collateral in a holder's account, and a redemption event is not a complete measure of economic entitlement.
Managing drawdown, the peak-to-trough decline in an investment portfolio's value, is a precondition for long-term survival in practical investment management.
PAPER REPORTS · NASDAQ 2010.01-2025.04, zero transaction costs and zero slippage: CAST annualized Sharpe 0.523, MDD 0.114, Calmar… · CSI300 2010.01-2025.04, frictionless: CAST ASR 0.269, MDD 0.158, CR 0.104, SoR 0.257, FV $1272
We consider two canonical market-microstructure regularities: the long-memory of trade signs and the square-root law of meta-order impact. The point is not to propose new empirical laws, but to separate the clocks on which existing laws are defined.
In this note, we propose a general structural approach to model a default time $τ$ as the first-passage time (FPT) of a (``firm-value'') process $S$ below a (``debt'') barrier $K$ that comply with a pre-specified survival probability curve $G(t)=\Pr(τ>t)$.
Abstract This paper examines the effect of US-China tensions on stock market volatility across developed and emerging economies using a newly developed US-China Tension (UCT) index.
Abstract This paper introduces a Coupled realised real-time EGARCH model with Filtered Historical Simulation (FHS), referred to as the “CouRTES” model, as an extension of the Realised EGARCH-type models for multi-horizon volatility and distributional…
PAPER REPORTS · QLIKE loss (realised measure target, 250 rolling origins, 30 May 2018 - 29 May 2019): lowest in 11/14 horizons within… · sMAPE (total log-return target): best in 9/14 horizons; mean improvement 0.84% vs Coupled GARCH(1,1) and 1.75% vs…
Modeling the joint distribution of extreme values in high-dimensional financial time series is challenging because extremes are sparse and locally extreme observations are not necessarily extreme relative to their full marginal distribution.
PAPER REPORTS · Out-of-sample average log score (lower better), healthcare 2021–2024: HR JEAM p75 w5 = 2.878 lower tail, 3.189 upper… · Out-of-sample average log score, finance: HR JEAM p75 w5 = 3.023 lower tail, 3.367 upper tail vs baseline 3.478 / 3.812
The Log S-fBM model, introduced by Wu et al., is a stochastic volatility model whose log volatility is a stationary fractional Brownian motion (S-fBM): a stationary Gaussian process with power-decaying autocovariance driven by the Hurst exponent $H$, and…
We define the variance swap delta as the sensitivity of the price of variance to a change in underlying price. We use Carr-Madan spanning formulas to analyze this sensitivity when the implied volatility smile curve may depend on the underlying price.
We build and evaluate a pre-game win-probability forecaster for individual maps (``games'') in professional \emph{League of Legends} (LoL).
PAPER REPORTS · Global time-based 0.2 holdout, n_te = 912, 2024-2026 corpus: proposed one-stage model RPS/Brier 0.2230, log-loss… · Per-game walk-forward, 4,605 scored games (min 500 prior games): proposed model RPS 0.2207; calibration intercept…
Financial markets alternate between periods of relative stability and instability, with structural breaks marking the transitions between these regimes.
Clean energy equities play a pivotal role in sustainable finance and the global energy transition, yet their performance remains highly sensitive to global fossil energy price fluctuations and climate policy uncertainty.
OUR BACKTEST · Sharpe 0.07 · Return +5.2% · Max DD -40.7%