101 trading formulas for short-term alpha strategies.
problem Developing and validating trading strategies with short holding periods.
method Explicit formulas and computer code for 101 alphas, empirical analysis of correlations and volatilities.
result Alphas have low pairwise correlation and strong volatility dependence, turnover has little explanatory power.
The study reveals distinct patterns in retail investors' holding periods affecting stock returns.
problem Understanding the impact of retail investors' investment horizons on stock returns.
method Using self-reported holding periods from StockTwits, the study categorizes retail investors into long-horizon and short-horizon groups and analyzes their return patterns.
result Long-horizon retail investors exhibit underreaction to earnings announcements, while short-horizon investors show overreaction.
This paper reexamines the profitability of loser, winner and contrarian portfolios in the Chinese stock market using monthly data of all stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange covering the period from January 1997 to December 2012. We find evidence of short-term and long-term contraria…
Chinese stock market shows time series momentum and contrarian effects over different periods.
problem Analyzing momentum and contrarian effects in Chinese stock market performance.
method Examined time series momentum and contrarian strategies applied to major indices in China.
result Time series momentum effect in short run, contrarian effect in long run, performance dependent on look-back and holding periods.
Study detects endogenous bubbles in meme stocks using CI.
problem Detecting endogenous bubbles in meme stocks.
method Used Log-Periodic Power Law (LPPL) Confidence Indicator (CI).
result CI detected numerous bubbles in meme stocks but struggled with predicting exogenous rallies.
Study optimal portfolio strategies with periodic evaluation under short-selling prohibition.
problem Optimal portfolio strategies with periodic evaluation under short-selling prohibition.
method Reformulate the original problem into an auxiliary one-period optimization problem and introduce dual control problem.
result Derive and verify the value function and optimal constrained portfolio for the original problem.
Optimizes trading strategies over multiple periods using convex optimization.
problem Evaluating and optimizing trading strategies over multiple periods.
method Single-period optimization using convex problems, extended to multi-period planning.
result A framework for multi-period trading that can exploit predictions of future quantities.
This thesis examines the accuracy of scaling VaR estimates for longer holding periods.
problem The accuracy of VaR estimates for longer holding periods using the square root of time rule.
method Examined VaR scaling for longer holding periods using empirical analysis.
result Scaling can provide good estimates of VaR but may lead to significant losses over time.
The study addresses overlooked data-generating processes in time-series asset pricing.
problem The literature on time-series asset pricing overlooks the data-generating processes for factors expressed in return differences.
method The study proposes a new definition of returns and compound returns for factors, and uses OLS with net returns for single-index models.
result OLS with net returns for single-index models leads to inflated alphas, exaggerated t-values, and overestimated Sharpe ratios.
Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the most aggressive such practices, and arrive at figures that are surprisingly modest. By "aggressive" we mean any trading …
This paper studies the empirical tracking performance of leveraged ETFs on gold, and their price relationships with gold spot and futures. For tracking the gold spot, we find that our optimized portfolios with short-term gold futures are highly effective in replicating prices. The market-traded gold ETF (GLD) also exhi…
The study analyzes trading imbalances from SEC Form 13F-HR filings to identify profitable trading opportunities.
problem Identifying profitable trading opportunities based on SEC Form 13F-HR filings.
method Statistical analysis of holdings variations and imbalances between consecutive reporting periods.
result A profitable trading strategy can be implemented by betting against the sign of imbalances with a 1-2 month time horizon.
Model predicts spending behavior of average consumer over short period.
problem Understanding consumer spending dynamics during economic crises.
method Simple hydrodynamical model to describe spending behavior over brief period.
result Model predicts spending behavior of average consumer over short period.
AI models failed to profitably predict cryptocurrency extrema on Binance Spot.
problem Tackling the profitability of candle-based machine learning models for short-term cryptocurrency trading.
method Scripted fixed-seed model runs and deterministic simulators with human supervision.
result Strongest evidence found negative, with models underperforming buy-and-hold strategies.
A new perspective on portfolio selection using realized returns.
problem Choosing between two investments with the same expected return.
method Modeling realized returns as random variables and applying the CAPM formula.
result The CAPM formula applies to realized returns, not just their expectations.
Simplified proof of K3 surface period map surjectivity.
problem Surjectivity of period map on K3 surfaces.
method Utilizes hyperkähler geometry and collapsing techniques.
result Simple proof of Todorov's result on K3 surfaces.
Meta-learning improves event prediction from short sequences.
problem Predicting events from short sequences is challenging.
method Meta-learning approach using recurrent neural networks and monotonic neural networks.
result Meta-learning enhances long-term prediction performance.
We consider the question of existence of embedded doubly periodic minimal surfaces in Euclidean 3-space with Scherk-type ends, surfaces that topologically are Scherk's doubly periodic surface with handles added in various ways. We extend the existence results of H. Karcher and F. Wei to more cases, and we find other ca…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a framework based on the spectral representation of variance decompositions. In an e…
Theory explains market crashes due to deleveraging and short sale constraints.
problem Market crashes caused by deleveraging and short sale restrictions.
method Developed a theoretical model of market dynamics involving two investor types.
result Short sellers can stabilize markets by providing supply or catching price drops.
In this paper, we use Floer theory to study the Hofer length functional for paths of Hamiltonian diffeomorphisms which are sufficiently short. In particular, the length minimizing properties of a short Hamiltonian path are related to the properties and number of its periodic orbits.
This paper uses DRL for long-short portfolio optimization, improving risk-adjusted returns.
problem Traditional portfolio optimization limits diversification by excluding short-selling.
method Developed a DRL framework with a short-selling mechanism for continuous trading.
result DRL model with short-selling achieves superior risk-adjusted returns.
Geometric flow on curves in S^3 generates YO equations solutions.
problem Modeling short wave-long wave interaction.
method Simple geometric flow on curves in S3. result Constructs transverse curves for YO equations periodic solutions.
Analyzed Bitcoin market index volatility changes over two distinct periods using anomalous diffusion and multifractal analysis.
problem Characterizing volatility changes in Bitcoin market index over two distinct periods.
method Analyzed high-frequency Bitcoin data from 2019 to 2022, using anomalous diffusion and multifractal analysis.
result Volatility changes from subdiffusion to weak superdiffusion over time, with multifractal and self-similar properties.
This study evaluates common trading models and finds moving averages crossovers outperforming others.
problem Evaluating the effectiveness of common technical trading models.
method Created original versions of popular models and tested their performance on popular stocks and indexes.
result Moving averages crossovers outperformed other models, but machine learning models did not.
Paper uses SciPhyRL for optimizing large institutional portfolios.
problem Optimizing large institutional portfolios with cumulative costs and practical short horizons.
method Formulates a continuous-time optimization problem, reduces it to solving an HJB equation, and uses PINN for direct solution.
result Learned Gibbs policy yields substantial out-of-sample Sharpe ratio improvements.
Two new triply periodic minimal surfaces of genus 4 discovered.
problem Finding new triply periodic minimal surfaces of genus 4.
method Combination of asymptotic analysis and geometric methods to solve the period problem.
result Two new 1-parameter families of embedded triply periodic minimal surfaces of genus 4.
Maps minimize periodic points for high periods, but not for low periods.
problem Understanding periodic points of maps on infinite type surfaces.
method Analysis of isotopic maps, spun pseudo-Anosov maps, and Handel-Miller maps.
result Spun pseudo-Anosov maps minimize periodic points for sufficiently high periods.
Improved financial performance through better regime prediction.
problem Predicting financial market regimes for profitable trading.
method A novel method combining contrarian trading and frequent short positions.
result Significant performance improvements over four years across three asset classes.
Novel OTT method for cryptocurrency trading offers high annualized profit.
problem Quantifying and exploiting trading opportunities in cryptocurrency markets.
method Bi-objective convex optimization for balancing profit and risk.
result Annualized profit of 15.49% in cryptocurrency market from 2020 to 2022.
This study optimizes trading strategy parameters using walk-forward techniques and finds robust performance.
problem Optimizing trading strategy performance through parameter optimization.
method Walk-forward optimization with varying window lengths, tested on Bitcoin, Binance Coin, and Ethereum.
result The strategy outperforms Buy-and-Hold with lower drawdown and higher Information Ratio.
The period map for 4-manifolds is dense and surjective under certain conditions.
problem Understanding the space of metrics on 4-manifolds and their harmonic forms.
method Constructing families of metrics by stretching along hypersurfaces.
result The period map is dense and surjective for 4-manifolds with b+=1. We analyze empirical data for 4,000 real-life trading portfolios (U.S. equities) with holding periods of about 0.7-19 trading days. We find a simple scaling C ~ 1/T, where C is cents-per-share, and T is the portfolio turnover. Thus, the portfolio return R has no statistically significant dependence on the turnover T. W…
We examine the possibility of incorporating information or views of market movements during the holding period of a portfolio, in the hedging of European options with respect to the underlying. Given a fixed holding period interval, we explore whether it is possible to adjust the number of shares needed to effectively …
We show that for any n real periodic functions f_1,..., f_n with the same period, such that f_i>0 for i<n, and a real number e >0, there is a closed curve in R^{n+1} with curvatures k_1, ..., k_n such that |k_i(t)-f_i(t)| < e for all i and t. This neither holds for closed curves in the hyperbolic space H^{n+1}, nor for…
Kulkarni showed that, if g is greater than 3, a periodic map on an oriented surface S_g of genus g with order more than or equal to 4g is uniquely determined by its order, up to conjugation and power. In this paper, we show that, if g is greater than 30, the same phenomenon happens for periodic maps on the surfaces wit…
A financial market model with general semimartingale asset-price processes and where agents can only trade using no-short-sales strategies is considered. We show that wealth processes using continuous trading can be approximated very closely by wealth processes using simple combinations of buy-and-hold trading. This ap…
Investigates multi-period portfolio optimization for DC plans using buffered Probability of Exceedance.
problem Optimizing long-term Defined Contribution plans with realistic constraints and dynamic dynamics.
method Formulates and solves bilevel optimization problems for pre-commitment and time-consistent Mean-bPoE and Mean-CVaR portfolio optimization.
result Time-consistent Mean-bPoE strategies maintain investor preferences for minimum terminal wealth, unlike Mean-CVaR.
New proof classifies orbit closures in Hodge bundle.
problem Classifying mGL+(2,R)-orbit closures in Hodge bundle. method Using deformations of flat pairs of pants.
result Short proof of absolute period foliation classification.
Fukaya-Yamaguchi conjecture holds in 4D manifolds with nonnegative curvature.
problem Fundamental group of nonnegative curvature manifolds.
method Observation in dimension 4.
result Fukaya-Yamaguchi conjecture holds in 4D.
Minimal number of caps covering an n-sphere is n+2.
problem Covering an n-sphere with minimal number of caps.
method Analyzing short closed sets and caps, proving theorems about their intersections and coverings.
result The minimal number of short closed sets (caps) covering an n-sphere is n+2.
In financial time series there are periods in which the value increases or decreases monotonically. We call those periods elemental trends and study the probability distribution of their duration for the indices DJIA, NASDAQ and IPC. It is found that the trend duration distribution often differs from the one expected u…
Predicts short-term futures contract direction using neural networks and order flow data.
problem Challenges in predicting short-term directional movement of futures contracts.
method Engineering features from technical analysis, order flow, and order-book data; training a Tabnet neural network.
result Achieved an accuracy of 0.601 in predicting directional change on the Silver Futures Contract.
Model combines long-term and short-term memory using conceptors.
problem Transfer between long-term and short-term memory.
method Recurrent neural network with gated reservoir for short-term memory and conceptors for long-term memory.
result Standard operations on conceptors allow combining long-term memories and describing their effect on short-term memory.
The period of orbits in the restricted three-body problem depends on the enclosed region.
problem Understanding the period of orbits in the restricted three-body problem.
method Analyzing the relationship between the period and the enclosed region using the Jacobian integral.
result The period of a closed orbit is determined by the enclosed region and a function of the Jacobian integral.
We consider the optimal trade execution strategies for a large portfolio of single stocks proposed by Almgren (2003). This framework accounts for a nonlinear impact of trades on average market prices. The results of Almgren (2003) are based on the assumption that no shares of assets per unit of time are trade at the be…
We give a dynamical characterisation of odd-dimensional balls within the class of all contact manifolds whose boundary is a standard even-dimensional sphere. The characterisation is in terms of the non-existence of short periodic Reeb orbits.
Empirical study shows carriers ignore past shippers' behavior, focusing only on current actions.
problem Opportunistic behavior by shippers and carriers in dynamic freight markets.
method Empirical analysis of carrier reciprocity in US truckload transportation sector.
result Carriers do not remember shippers' past behaviors but respond to current actions.