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 · 49 shown
We compare the Heston model with $ρ=-1$ to the one-dimensional local-volatility model calibrated to the same European option prices.
Modern portfolio theory identifies diversification as the primary tool for risk reduction. However, under model uncertainty, this cornerstone may no longer remain optimal.
OUR BACKTEST · Sharpe -0.52 · Return -29.5% · Max DD -24.9%
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.
Loss-versus-Rebalancing (LVR) is the dominant adverse-selection cost borne by liquidity providers on automated market makers.
We investigate arbitrage in a discrete-time financial market model where, in addition to finitely many dynamically traded assets, there are also static options to choose from.
OUR BACKTEST · Sharpe 0.35 · Return +21.4% · Max DD -34.1%
We study the quadratic tracking problem of a general stochastic target process with absolutely continuous controls, with and without terminal constraint. We derive explicit, non-asymptotic upper bounds in terms of a Besov-type modulus of the target.
Haug and Haug extend the Margrabe exchange option by adding knock-in and knock-out provisions written on the ratio of two asset prices. This paper applies and develops their framework for stock-for-stock takeover bids with collars.
In this paper, we study causal non-causal state space models to model time series characterised by a local explosive increase followed by a sharp decrease such as stock prices.
We develop a PDE-based methodology for pricing and hedging European contingent claims in general one-dimensional diffusion markets characterized solely by their scale function and speed measure, possibly without a classical SDE representation, and with…
PAPER REPORTS · Bachelier (premium 2.0), N_MC=2000, N^space_FD=4000, T=10, no transaction costs: MTE* −0.002 ± 0.008 and StDTE* 0.192 ±… · Skew-Sticky 1 (premium 0.271, κ₋₁=0.3, κ₁=0.7, ρ=1, r=0.2, ELMM exists): MTE* 0.058 ± 0.022 and StDTE* 0.506 ± 0.024 at…
We show that the key optimization results of the classical Markowitz portfolio selection theory, originally formulated for variance as the risk measure, remain available in explicit closed form under a broader class of strictly convex quadratic risk measures.
OUR BACKTEST · Sharpe 0.50 · Return +143.8% · Max DD -75.0%
We study equilibria in a closed, fee-free constant-function market maker (CFMM) economy with two assets and two traders.
W-shaped smiles appear in near-expiry options around binary events such as earnings, and have been associated with bimodal risk-neutral densities. The three-parameter eSSVI slice cannot produce them.
We study discrete-time asset pricing with bid-ask spreads and model uncertainty. The family of probability measures enters the no-arbitrage condition through the union of its supports.
We study continuous-time dynamic portfolio optimization under a Conditional Value-at-Risk (CVaR) constraint on the investor's terminal loss.
PAPER REPORTS · Complete market, binding c = -0.94, T = 1 simulated: E[W_T] = 1.0242, CVaR_0.95(-W_T) = -0.9406, average exposure… · Complete market, nonbinding c = -0.86, T = 1 simulated: E[W_T] = 1.0322, CVaR_0.95(-W_T) = -0.8671, average exposure…
OUR BACKTEST · Sharpe 0.75 · Return +55.2% · Max DD -26.8%
We consider the question of the optimal timing of the sale of an asset with stochastic dynamics. Our analysis is based on the method of the distribution builder introduced by Sharpe, Goldstein and Blythe [SGB00] for the purpose of optimal portfolio selection.
OUR BACKTEST · Sharpe 0.59 · Return +60.8% · Max DD -39.2%
Asset-pricing models typically condition on a fixed information set. This paper endogenises the market's conditioning architecture by allowing portfolios to choose representations whose induced exposures affect prices.
We study optimal investment for insurers managing participating (profit-sharing) contracts under probability distortion and probability benchmark (aspiration) constraints.
Using the local time-space calculus of Peskir (2005) and the method developed in Mijatovic (2010), we derive a new integral representation for the distribution of the first-passage time (FPT) of a diffusion process through a time-dependent barrier.
OUR BACKTEST · Sharpe 0.66 · Return +35.3% · Max DD -18.7%
Narrow Uniswap v3 liquidity ranges resemble short dated options, and Panoptic's streaming premium echoes the short maturity concentration of Black-Scholes theta near the strike.
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.
Crypto-listed equity perpetuals trade while the primary cash market is closed, yet still need a mark for margin, funding, and liquidation.
Completely monotonic inverse marginal (CMIM) utilities, introduced in [MSZ24], constitute a tractable class of preferences that includes many of the most important utility functions used in mathematical finance, such as power and exponential utilities.
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.
We study Lambda-quantiles, a generalisation of classical quantiles in which the constant probability level $λ\in [0,1]$ is replaced by a functional parameter $Λ\colon \mathbb{R} \to [0,1]$.
OUR BACKTEST · Sharpe 0.68 · Return +249.4% · Max DD -84.8%
Neural and numerical policy solvers can produce feasible controls even when the optimal rule and its binding constraints are unavailable.
The enormous growth in datasets, both in number and size, has prompted investors to adapt to new ways for assimilating information.
OUR BACKTEST · Sharpe 0.11 · Return +31.6% · Max DD -96.3%
We study exponential-utility maximization for high-frequency trading in a discretized fractional Brownian motion model. Using spectral methods for stationary Gaussian sequences, we derive the asymptotic growth rate of the optimal certainty equivalent.
This paper studies the investment and insurance strategies of defined-contribution (DC) pension plans under the mean-variance framework. We consider a stochastic environment with time-varying interest rates, contributions, and mortality risk.
This paper develops a unified mathematical theory of implied, local, and learned volatility surfaces.
We introduce a framework for preference-robust decision making when preferences over risk are modelled through generalised distortion risk measures. Unlike distributional robustness, our approach addresses ambiguity in the risk functional itself.
OUR BACKTEST · Sharpe 0.27 · Return +30.1% · Max DD -23.4%
We develop a unified modeling framework that connects two distinct types of bubbles defined in the literature: the rational bubbles (aka P-bubbles), and the local martingale bubbles (aka Q-bubbles).
OUR BACKTEST · Sharpe 0.47 · Return +220.6% · Max DD -131.6%
This paper builds Path Portfolio Optimization: portfolio theory on a path-first framework in which the signature is the universal coordinate of the price path, and asks whether it survives estimation.
PAPER REPORTS · Cross-area lead-lag portfolio, sign-carrying excitation 1→2 with q=0.85: mean P&L +0.000189, s.e. · Cross-area, sign-carrying excitation 2→1 with q=0.85: mean P&L −0.000227, s.e. 0.000012, t=−18.92, annualized Sharpe…
OUR BACKTEST · Sharpe 0.45 · Return +21.4% · Max DD -19.5%
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.
Leveraged event positions combine a repayable loan with an outcome claim that may become non-tradable before oracle payout is final.
At the scale of seconds the observed mid carries a stationary, mean-reverting error around a latent efficient price.
When do outcome records carry enough signal to support reliable inferences about skill? When they do not, what should evaluators substitute? The framework answering the first question characterizes any decision domain with two parameters: the noise reflected…
This note studies the conditional-density equation and its pathwise transformation in local stochastic rough volatility models, with rough Heston (rHeston) as the main explicit example.
OUR BACKTEST · Sharpe -0.45 · Return -4.2% · Max DD -7.5%
Gerhold and Gülüm derived necessary calendar-vertical-basket conditions for finite call bid-ask quotes when the cash-settlement reference price lies inside a dynamically traded stock spread of bounded absolute width.
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%
We study a monopolist facing a buyer whose valuation is determined by pre-trade investment. Before setting price, the seller observes a signal about the buyer's private investment cost (buyer profiling).
Firms in non-contractual commerce face the challenge of knowing how many customers they actually have because customers can stop buying without ever saying they have left.
The theory of portfolios, and its allied notions and fundamental results concerning growth optimality, the numéraire property, and ``market viability'' -- which rules out the possibility of financing nontrivial future liability streams starting with…
OUR BACKTEST · Sharpe 0.51 · Return +48.5% · Max DD -23.8%
I develop a model of learning-by-doing and curriculum design, and use it to study the impact of artificial intelligence (AI). A myopic student faces a sequence of tasks that he can work on or delegate to AI.
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%
Persistent whistleblowing failure in hierarchical healthcare organisations is typically attributed to insufficient legal protection for reporters or inadequate managerial incentives to investigate. This diagnosis is argued to be structurally incomplete.
This paper studies how much public information is needed to implement efficient trade in dynamic markets with privately informed sellers and buyers.