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
Cross-correlations between financial signals are neither scale-free nor amplitude-independent: they vary with the time scale over which they are measured and with the magnitude of the fluctuations that dominate the average.
PAPER REPORTS · Synthetic minimum-risk MMFC: 10-period 99% VaR 6.923... (stated as 5.923, sd 0.607) and 97.5% ES 6.048 (sd 0.594),… · In-sample empirical MMFC: lowest average monthly drawdown and lowest 10-day 97.5% ES among the five portfolios at every…
How deep and how long should the drawdowns of a systematic trading strategy run, given its Sharpe ratio and the statistical structure of its returns? Building on the drawdown framework of Rej, Seager and Bouchaud (2017), we develop the answer in three steps.
Finite multiplicative systems often cease to evolve when a lower continuation threshold is reached,whereas standard growth-optimal benchmarks assume uninterrupted continuation.
OUR BACKTEST · Sharpe 0.68 · Return +16.4% · Max DD -8.3%