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 · 7 shown
Clean energy equities play a pivotal role in sustainable finance and the global energy transition, yet their performance remains highly sensitive to global fossil energy price fluctuations and climate policy uncertainty.
OUR BACKTEST · Sharpe 0.07 · Return +5.2% · Max DD -40.7%
Abstract This study develops a robust framework for modeling dynamic volatility, asymmetry, and tail dependence in financial returns, focusing on the daily returns of Natural Resource Index () and the Oil and Gas Index ().
OUR BACKTEST · Sharpe 0.47 · Return +42.5% · Max DD -27.9%
We develop a geometric theory of arbitrage-free implied variance surface dynamics.
PAPER REPORTS · Out-of-sample RMSE(delta a2) improvement of full (beta,eta,psi) model over SSR-only: 17-21% at 3M-6M (215.7 vs 272.8 at… · Out-of-sample RMSE(delta a1) improvement of adding eta: 1-4% versus SSR-only at 1M-6M, essentially flat at 12M
OUR BACKTEST · Sharpe -0.84 · Return -0.1% · Max DD -0.1%
This article presents with DYSANOS the first generative market model for smooth SANOS option surfaces for all strikes and expiries which are free of static arbitrage.
OUR BACKTEST · Sharpe -0.19 · Return -0.0% · Max DD -0.1%
Volatility is a fundamental characteristic of financial markets and plays a crucial role in investment decision-making, portfolio management, and financial risk assessment.
PAPER REPORTS · Out-of-sample RMSE 0.009552 (GARCH(1,1)) vs 0.009670 (EGARCH(1,1)), 230 one-step-ahead rolling forecasts, 30 May… · Out-of-sample MAE 0.007521 (GARCH) vs 0.007406 (EGARCH)
OUR BACKTEST · Sharpe 0.83 · Return +37.3% · Max DD -11.4%
Specialist training beats generalist scale when forecasting financial statements. To our knowledge, no prior work jointly forecasts complete financial statements beyond one year, yet in a discounted-cash-flow valuation most firm value sits past that window.
PAPER REPORTS · Forma change-space R^2 0.289 on full test sample, test period 2010-2024, no transaction costs applicable (forecasting… · Forma per-horizon R^2: 39.0% at h=1 falling to 22.5% at h=20 (full sample); 38.0% at h=1 to 23.7% at h=20 (LLM sample)
OUR BACKTEST · Sharpe 0.57 · Return +17.5% · Max DD -10.5%
We present a unified approach to designing trend-following (TF) systems and classify them into European, American, and Time Series Momentum categories.
PAPER REPORTS · European TF system: annualized Sharpe 0.47, monthly returns net of transaction costs and net of 2%/20%… · American TF system: annualized Sharpe 0.50, net of transaction costs and 2%/20% fees, 31 December 1999 to 30 June 2026…
OUR BACKTEST · Sharpe 0.10 · Return +8.4% · Max DD -30.4%