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 · 36 shown
Transaction costs can make or break a trading strategy, particularly in relative-value trading of commodity and macro markets, where edges are a few basis points. Price impact is a central component of transaction cost.
PAPER REPORTS · Net P&L, monthly average over 2004-2011 (96 months), in basis points of $1B gross limit, after simulated impact cost…
Although market participants generally have access to a common information set, they make decisions based on forecasts formed over heterogeneous horizons.
Transient impact models compose a nonlinearity with a memory kernel, and the order of composition determines the criterion for absence of price manipulation. We classify both orders.
This paper develops a mechanism through which costly changes in the representations used for portfolio choice can contribute to persistent signed order flow.
Trade durations in high-frequency foreign exchange data exhibit increased occurrence near integer values. To address this empirical phenomenon, we propose the granularity-adjusted autoregressive conditional duration (GA-ACD) model.
Loss-versus-Rebalancing (LVR) is the dominant adverse-selection cost borne by liquidity providers on automated market makers.
Market-order flow in financial markets exhibits long-range correlations. This is a widely known stylised fact of financial markets. A popular hypothesis for this stylised fact comes from the Lillo-Mike-Farmer (LMF) order-splitting theory.
We report a market in which a positive return is visible in prices yet cannot be realized by a fixed trading policy, and we measure why.
Coupled feedback networks are often monitored channel by channel even though cross-channel paths alter both stability margins and transmitted disturbances.
PAPER REPORTS · Detection power 1.00 with false-alarm rate 0.12 on zero-coupling entries under independent regime-switching gains (n =… · Detection power 1.00, false-alarm rate 0.22, off-diagonal RMSE 0.28 under correlated staircase gains (same design)
We study equilibria in a closed, fee-free constant-function market maker (CFMM) economy with two assets and two traders.
The stability of markets hosting leveraged exchange-traded products is governed not by any single product's loop gain but by the spectral radius of a loop-gain matrix, and scalar per-product monitoring underestimates system feedback by construction.
Tick-level trade-and-quote data for the Tokyo Stock Exchange is distributed through the Nikkei NEEDS service as thousands of zipped CSV archives spanning four data types with era-dependent schemas and Japanese-language layouts.
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);…
Automated market makers (AMMs) are a cornerstone of decentralised finance (DeFi). Constant product markets with concentrated liquidity, such as UniswapV3, are now a well-established design.
PAPER REPORTS · PPO_narrow, risk-neutral, sigma=0.01, g=2: mean PnL 49.91 +/- 0.38 USDC, 5% CVaR 9.15 +/- 0.65, over 1000 evaluation… · PPO, risk-neutral, sigma=0.01, g=2: mean PnL 42.31 +/- 0.97 USDC, 5% CVaR 6.08 +/- 0.97
We introduce a reinforcement learning framework for market making in a limit order book.
PAPER REPORTS · Normalized cash flow (20), noise market: LN mean 6.03, sd 2.81 (M=2); mean 4.66, sd 1.41 (M=20); 10,000 test episodes,… · Normalized cash flow, noise+tactical market: LN mean 9.11, sd 2.20 (M=2); mean 5.68, sd 1.03 (M=20)
This study examines the dynamic effects of monetary policy changes on derivatives pricing behavior, emphasizing applications in financial risk management for industrial commodities.
Generative models of limit orderbook (LOB) data have advanced rapidly, but their evaluation often focuses on stylised facts and selected market statistics.
Limit order book (LOB) simulators are most useful to practitioners when they combine realistic market dynamics, computationally efficient sampling, controllable scenario generation, and the ability to generalize beyond the instruments seen during…
Financial markets do not evolve uniformly through calendar time. Periods of intense information arrival accelerate market activity, while information-poor periods produce the familiar intraday lull in trading.
This study analyzes the microstructural mechanisms through which the rapidly expanding single-stock leveraged ETFs in the Korean capital market impede the price discovery function and amplify endogenous volatility.
Cryptocurrency exchange-traded products (ETPs) listed on European exchanges provide a regulated environment for studying intraday market anomalies.
PAPER REPORTS · AUC-ROC up to 0.823 for one-bar-ahead DPOT prediction (LR, cumulative features, VIRBTC.ST), out-of-sample last 20% of… · AUC-ROC 0.821 for DPOT, LR, cumulative, VBTC.XE; 0.812 session-based
We consider a market maker who can only obtain and dispose of inventory by responding to a sequence of sealed-bid enquiries, and whose customers arrive with imbalanced intent: sellers more often than buyers, or the reverse.
Hawkes-based microstructural foundations for rough volatility, leverage, and rough Heston-type limits were developed by El Euch et al.
Informed traders are supposed to need anonymity: they profit by hiding among the uninformed. A decentralized exchange now publishes the counterparty. Every committed order, cancellation, rejection, and fill carries a persistent pseudonymous wallet address.
PAPER REPORTS · One-second out-of-sample R2: 10.88% anonymous vs 12.31% with identity, +13.2% relative (t=9.2), ridge, evaluation July… · Gradient-boosted trees, one second: 19.48% -> 20.65%, +6.0% (t=5.0), same evaluation window, no costs
We study seven major crypto-perpetual liquidation cascades (2022-2025), and in the largest of them we can watch the mechanism directly.
We formulate an over-the-counter (OTC) market-making problem in which request-for-quote (RFQ) arrivals are modelled by general Hawkes kernels and fills are controlled thinnings of the exogenous request flow.
PAPER REPORTS · Exponential Hawkes benchmark objectives (Monte Carlo, 2x10^4 paths, T=1 day, no transaction costs modelled): benign —… · Near-critical regime objectives: exact HJB 48.80+/-0.24, Poisson 42.58+/-0.22, mean VR 48.37+/-0.25, noise-aware VR…
We develop an exactly solvable nonlinear time-series model by incorporating the square-root price-impact law into the Lillo--Mike--Farmer (LMF) model to resolve the diffusive price-dynamics paradox under predictable market-order flow.
We introduce data-driven measures of high-frequency trading (HFT) that distinguish between liquidity-supplying and liquidity-demanding strategies.
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.
This paper develops bootstrap inference for autoregressive conditional duration (ACD) models observed over a fixed calendar span, so that the number of durations is random.
We derive a mesoscopic model for optimal execution with limit orders that incorporates microstructural features of passive price impact.
PAPER REPORTS · Baseline simulation, η=0: mean P&L $320 (95% CI 301–339), mean implementation shortfall −$35 (CI −37 to −34), mean… · Simulation with η=0.005: mean P&L $71 (CI 49–93), shortfall −$19 (CI −21 to −17), final inventory 1,928 shares, trading…
Parent-order execution is a core problem in algorithmic trading, where the goal is to split a large order into smaller orders while reducing execution costs.
PAPER REPORTS · Aggressive setting, April 2026, DS-v4-f: value-weighted price performance -2.26 bps vs TWAP benchmark price, i.e. · Passive setting, April 2026, DS-v4-f: -3.92 bps wbp, +1.07 bps vs TWAP and +0.71 bps vs strongest baseline; 100%…
Production forecasting systems retrain models regularly, but a retrained candidate does not necessarily outperform a continuously maintained incumbent that has continued to learn.
PAPER REPORTS · Metric is negative log-likelihood of a 3-class 300s direction forecast, not trading P&L; no Sharpe, return, alpha or… · Pooled 48 weeks (4 Aug 2025 - 5 Jul 2026, Binance USD-M + COIN-M, 8 underlyings, 3 seeds): SBS relative NLL reduction…