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 · 3 shown
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%
This study focuses on developing an AI-supported prototype for multiperspective interest rate forecasting that combines classical econometric models with modern artificial intel-ligence methods.
We propose Adaptive Refinement Bayesian Optimization for Day-Ahead and Real-Time (ARBO-DART) markets, an algorithm for BESS intraday dispatch co-optimization in which day-ahead (DA) commitment profiles are optimized against value of real-time (RT) recourse…
PAPER REPORTS · Case Study 1 DART PnL $104.50/day (4 MWh / 1 MW battery, gamma=0.2, single representative CAISO SP-15 day averaged over… · Case Study 1 at gamma=0.1: $104.53; at gamma=0.4: $104.49