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 · 1 shown
Two old market sayings hold that news is already priced in by the time it is published, and that the rumor is bought while the news is sold. Both place the price move associated with a piece of news before and at publication rather than after it.
PAPER REPORTS · Fade small-cap launch/partnership news (short after positive, buy after negative; enter close of day +5, exit close of… · Short any covered small cap (sentiment-ignoring benchmark, 260,472 events, same windows, 2023-2026): 15.9% annualized,…
OUR BACKTEST · Sharpe -0.23 · Return -18.9% · Max DD -51.9%