"Chronologically Consistent Large Language Models" support strategy backtesting, for example with "ChronoBERT and ChronoGPT, which incorporate only the text data that would have been available at each point in time." papers.ssrn.com/sol3/papers.cf…

Paper "Understanding Asset Pricing Factors" explores "the economic drivers behind the widely used asset pricing factors... suggested by Fama and French." papers.ssrn.com/sol3/papers.cf…

"Python Volatility Surface Modeling: Data Fetching, IV Calculation, SVI Fitting, and Visualization" tradingtechai.medium.com/python-volatil…

Post and Python code "Equity trend-following with market and macro data" implement robust trend following for equity futures markets and show that the inclusion of macroeconomic information systematically enhances trading value. macrosynergy.com/research/equit…

Short presentation: "Synthetic Forward FX Replication & Collateralized Discount Factors" shows that "when pricing cross currency swaps, discount factors adjusted for the collateral being posted are required." papers.ssrn.com/sol3/papers.cf…

Nice summary: "10 of BEST AI-Powered Quantitative Trading Strategies Deployable (with GitHub Links)" ztraderai.medium.com/10-of-best-ai-…

"We propose a new measure, the expected reduction in currency option implied variance (EVR), capturing exposure to monetary policy uncertainty. Currencies with higher EVR earn significantly higher returns on announcement days. A long-short strategy based on EVR yields substantial

"Momentum Meets Volatility: A Data-Driven Approach to Strategy Optimisation" uses the Chande Momentum Oscillator and Mass Index with rolling training windows and signal fusion for robust results. medium.com/@kridtapon/mom…

"Enhanced volatility surface analysis system represents a significant improvement in applying machine learning to options markets [using] LSTM/GRU networks, differential learning, and adaptive sensitivity frameworks." medium.com/@navnoorbawa/a…

"Sample Splitting Choices Matter: Evidence from Machine Learning in Empirical Asset Pricing": “The double recursive scheme outperforms conventional methods by evenly distributing data across training and validation sets while maintaining temporal order.” papers.ssrn.com/sol3/papers.cf…

"Cross-Bond Momentum Spillovers": "Bond peer momentum based on shared analyst linkage significantly and positively predicts next month's bond return... A corresponding long-short strategy realizes significant profits." papers.ssrn.com/sol3/papers.cf…

"International Financial Markets Through 150 Years: Evaluating Stylized Facts" arxiv.org/pdf/2504.08611

Macro-aware risk parity Risk parity is an investment strategy that allocates risk exposure equally across asset types through volatility-based calibration and leverage. Macro-aware risk-parity strategies have materially outperformed simple volatility-targeted positions over the

Paper "Stock-Bond Return Correlation": "considers the time-varying nature of the stock-bond correlation for G7 markets, including its economic drivers... using monthly data over a period spanning 1980 to 2023 evidence." papers.ssrn.com/sol3/papers.cf…

Another article on "Rethinking the Stock-Bond Correlation" examines "the stock-bond [return] correlation from both a theoretical and an empirical perspective." papers.ssrn.com/sol3/papers.cf… based on papers.ssrn.com/sol3/papers.cf…

"Dynamic Asset Allocation with Reinforcement Learning" considers "an asset allocation problem where funds must be allocated to 6 broad classes of assets: equity, corporate bonds, government bonds, real estate, gold, and other commodities." papers.ssrn.com/sol3/papers.cf…

"R&D-Agent-Quant [is] a revolutionary AI multi-agent framework automating quantitative finance. It optimizes data-centric factors and models for higher returns and robust strategies, transforming financial research and development." medium.com/towards-explai…

"The Effect of Fiscal Policy Shocks on Asset Prices": "constructs [fiscal] shocks... by tracking innovations in forward-looking deficit targets... fiscal policy shocks impact yields across the term structure." papers.ssrn.com/sol3/papers.cf…

Paper "Media Coverage, Volatility Overreaction, and Option Returns": "documents [a] strong media coverage effect in option market. Firms with higher media coverage tend to have lower straddle returns in the next month, which is not explained by other option predictors"

"Contrary to the widespread fear of 'buying the top' entering markets near their highs—particularly through simple, trend-following strategies—can lead to superior risk-adjusted returns and reduced drawdowns across equities, real estate, and commodities." papers.ssrn.com/sol3/papers.cf…