Publication archive
Browse research papers, working papers, methodology documents, technical notes and research briefs on quantitative markets and systematic strategy development.
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A structured research programme covering 14 systematic-equity alpha families under one common validation framework. The roadmap defines the hypotheses, parameter spaces, portfolio constructions, failure conditions and validation requirements for strategies ranging from momentum and mean reversion to statistical arbitrage, volatility, seasonality and regime-switching models.
A mass-experiment framework for investigating whether short-horizon equity-price dislocations produce robust and investable reversal alpha. The study covers 20 signal families, 232 causal signal specifications and 13,920 configurations under consistent execution, portfolio construction, transaction-cost and walk-forward validation rules.
An investigation of whether long-horizon equity losers become investable only after objective stabilization. The research evaluates 1,500 pre-specified experiments using next-open execution, walk-forward out-of-sample testing, parameter-neighbour analysis, cost stress, multiple-testing correction and an explicit audit of the strategy’s 2022 all-cash behaviour.
A portfolio-construction study combining Momentum Alpha and the CTR0166 contrarian-turnaround strategy in a governed 10/90 allocation. The research uses a momentum risk ceiling, true next-open execution, transaction-cost stress, event-driven account simulation and block-bootstrap analysis to examine whether two distinct alpha engines can produce a more balanced portfolio.
Quant Research Desk