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 · 15 shown
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%
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 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 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%
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%
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%
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 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%
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%
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%
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%
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%