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 · 9 shown
The object of this research is the economic security policy controlling algorithmic trading strategies for prop traders based on Polynomial Moving Regression Bands (MRB).
PAPER REPORTS · Six-month live trading test, four cryptocurrencies: buy-and-hold outperformed the proposed PAR automated system on all…
In financial markets, a sequential policy that reacts systematically to price movements may become predictable to other market participants.
PAPER REPORTS · Exposure-matched within-stock timing alpha, principal 10-minute Qwen3.5 price text: -45.7 bps per stock-day, 95% CI… · Chart-only 10m: -29.9 bps, CI [-33.7,-26.2], 14,937 stock-days; multimodal 10m: -48.9 bps, CI [-52.7,-45.0], 14,438…
At 15-minute horizons, directional mean reversion is far stronger and more pervasive in cryptocurrency markets than in US equities: scored under one matched, strictly out-of-sample protocol, 90% of 183 Binance pairs carry significant directional reversal…
PAPER REPORTS · Gross edge per trade peaks near 1.3 bp of notional (BTC/ETH, 15m, 2025-01 to 2026-02) against a 5 bp cheapest maker… · Directional accuracy rises monotonically with confidence threshold, clearing 56% on the most confident bars (BTC/ETH);…
Predicting financial asset returns remains one of the most difficult challenges in empirical finance, driven by the low signal-to-noise ratio and the semi-strong form of market efficiency.
PAPER REPORTS · Sector LSTM (main 3-layer, k=10, 1995-2024): mean daily long-short return 0.100% before costs, Newey-West t = 7.81,… · Sector LSTM appendix figures (after 2bp per half turn): mean daily return 0.053%, t-statistic 4.106, annualized return…
OUR BACKTEST · Sharpe -0.03 · Return -9.6% · Max DD -140.3%
At the scale of seconds the observed mid carries a stationary, mean-reverting error around a latent efficient price.
Recently, it has been proposed to model the microstructure noise in prices by a continuous-time process with continuous sample paths that are rougher than those of a standard Brownian motion.
We audit whether candle-based machine-learning models can turn predictions of cryptocurrency extrema or short-horizon outcomes into positive Binance Spot paper policies after assumed costs.
PAPER REPORTS · Frozen mandatory-daily selector: -6.72% compounded, 2026-07-01 to 07-19, 19 cycles, 3 wins/16 losses, 31 bps… · Frozen mandatory-daily selector cost stress, same period: -4.74% at 20 bps, -6.72% at 31 bps, -10.21% at 51 bps…
OUR BACKTEST · Sharpe 0.00 · Return +0.0% · Max DD 0.0%
Building on the identity that expected regret equals the covariance between costs and decisions, this paper develops the complete derivative theory of the covariance regret functional.
OUR BACKTEST · Sharpe 0.57 · Return +131.1% · Max DD -35.8%
Gaussian Boson Sampling (GBS) provides a native photonic quantum heuristic for sampling dense subgraphs from adjacency matrices, offering a scalable physical approach to combinatorial graph search problems.
PAPER REPORTS · {"costs": "zero transaction costs and zero price impact assumed", "period": "2020 (trading effectively April 2020… · {"costs": "zero transaction costs and zero price impact assumed", "period": "2020", "sharpe": "2.050 ± 0.190",…
OUR BACKTEST · Sharpe -1.00 · Return -5.8% · Max DD -6.2%