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Folder: Papers
58 items under this folder.
May 22, 2026
Abbade and Reali Costa 2026
academic-paper
transaction-costs
reinforcement-learning
markov-decision-process
backtest
May 22, 2026
Optimal Execution of Portfolio Transactions
academic-paper
optimal-execution
transaction-costs
markov-decision-process
May 22, 2026
Direct Estimation of Equity Market Impact
academic-paper
transaction-costs
optimal-execution
equities
May 22, 2026
...and the Cross-Section of Expected Returns
overfitting-risk
backtest
academic-paper
equities
profitability-claim
May 22, 2026
Regime Changes and Financial Markets
academic-paper
regime-switching
markov
equities
forex
May 22, 2026
Stock market analysis with a Markovian approach: Properties and prediction of OMXS30
academic-paper
markov-chain
equities
out-of-sample
backtest
profitability-claim
May 22, 2026
High-frequency trading in a limit order book
academic-paper
market-making
markov-decision-process
optimal-execution
May 22, 2026
Identifying patterns in financial markets: extending the statistical jump model for regime identification
academic-paper
regime-switching
hidden-markov-model
replication
May 22, 2026
Simplicity versus Complexity: A Comparative Analysis of HMM and HSMM for Regime-Based Asset Allocation
academic-paper
hidden-markov-model
regime-switching
out-of-sample
overfitting-risk
equities
May 22, 2026
Risk-Aware Deep Reinforcement Learning for Crypto and Equity Trading Under Transaction Costs
academic-paper
reinforcement-learning
markov-decision-process
crypto
equities
transaction-costs
out-of-sample
backtest
May 22, 2026
Time-Varying Transition Probabilities for Markov Regime Switching Models
academic-paper
regime-switching
markov-chain
non-stationarity
May 22, 2026
Reinforcement Learning for Systematic FX Trading
academic-paper
reinforcement-learning
trading-strategy
forex
out-of-sample
transaction-costs
replication
May 22, 2026
Bosancic Nie Mulvey 2024
academic-paper
regime-switching
hidden-markov-model
equities
profitability-claim
May 22, 2026
Regime-Based Strategic Asset Allocation
academic-paper
regime-switching
out-of-sample
May 22, 2026
Carry Trades and Currency Crashes
academic-paper
forex
regime-switching
May 22, 2026
Markov-switching Asset Allocation: Do Profitable Strategies Exist?
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
profitability-claim
equities
May 22, 2026
Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models
academic-paper
regime-switching
hidden-markov-model
crypto
May 22, 2026
Open Source Cross-Sectional Asset Pricing
academic-paper
replication
out-of-sample
profitability-claim
equities
backtest
May 22, 2026
What drives cryptocurrency returns? A sparse statistical jump model approach
academic-paper
regime-switching
crypto
replication
May 22, 2026
Why Do Regime-Switching Models Forecast So Badly?
academic-paper
regime-switching
hidden-markov-model
out-of-sample
forex
overfitting-risk
May 22, 2026
A Long Memory Property of Stock Market Returns and a New Model
academic-paper
equities
model-risk
May 22, 2026
Modeling Stock Markets Through the Reconstruction of Market Processes
academic-paper
markov-chain
equities
replication
May 22, 2026
Frazzini Israel and Moskowitz 2018
academic-paper
transaction-costs
equities
out-of-sample
profitability-claim
May 22, 2026
A Markov Model for Switching Regressions
academic-paper
regime-switching
markov-chain
May 22, 2026
Deep Reinforcement Learning for Cryptocurrency Trading: Practical Approach to Address Backtest Overfitting
academic-paper
reinforcement-learning
markov-decision-process
overfitting-risk
crypto
backtest
out-of-sample
transaction-costs
replication
May 22, 2026
Recent Advances in Reinforcement Learning in Finance
academic-paper
markov-decision-process
reinforcement-learning
trading-research
May 22, 2026
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
academic-paper
regime-switching
markov-chain
hidden-markov-model
May 22, 2026
Regime Shifts: Implications for Dynamic Strategies (corrected)
academic-paper
regime-switching
out-of-sample
trading-strategy
May 22, 2026
Skulls, Financial Turbulence, and Risk Management
academic-paper
regime-switching
transaction-costs
equities
forex
May 22, 2026
Deep Reinforcement Learning in Non-Markov Market-Making
academic-paper
markov-decision-process
reinforcement-learning
market-making
backtest
out-of-sample
overfitting-risk
May 22, 2026
Deep Reinforcement Learning for Optimal Trading with Partial Information
academic-paper
reinforcement-learning
regime-switching
markov-decision-process
transaction-costs
equities
May 22, 2026
Macroeconomic Regimes and Regime Shifts
academic-paper
regime-switching
markov-chain
overfitting-risk
May 22, 2026
Does Academic Research Destroy Stock Return Predictability?
academic-paper
out-of-sample
profitability-claim
equities
replication
backtest
May 22, 2026
Analysis of Investment Returns as Markov Chain Random Walk
academic-paper
markov-chain
equities
regime-switching
May 22, 2026
Deep Reinforcement Learning for Trading—A Critical Survey
academic-paper
reinforcement-learning
replication
overfitting-risk
backtest
profitability-claim
May 22, 2026
Performance Functions and Reinforcement Learning for Trading Systems and Portfolios
academic-paper
reinforcement-learning
trading-strategy
out-of-sample
transaction-costs
equities
May 22, 2026
Learning to Trade via Direct Reinforcement
academic-paper
reinforcement-learning
trading-strategy
markov-decision-process
out-of-sample
transaction-costs
equities
forex
May 22, 2026
Regimes
academic-paper
regime-switching
profitability-claim
equities
May 22, 2026
A Markov Decision Process Model for Optimal Trade of Options Using Statistical Data
academic-paper
markov-decision-process
options
trading-strategy
May 22, 2026
Feature selection in jump models
academic-paper
regime-switching
hidden-markov-model
replication
May 22, 2026
Learning hidden Markov models with persistent states by penalizing jumps
academic-paper
regime-switching
hidden-markov-model
transaction-costs
replication
May 22, 2026
Tactical Asset Allocation with Macroeconomic Regime Detection
academic-paper
regime-switching
out-of-sample
equities
profitability-claim
May 22, 2026
Patton and Weller 2017
academic-paper
transaction-costs
equities
profitability-claim
May 22, 2026
Reinforcement Learning-Based Cryptocurrency Portfolio Management Using Soft Actor-Critic and Deep Deterministic Policy Gradient Algorithms
academic-paper
reinforcement-learning
markov-decision-process
crypto
backtest
profitability-claim
transaction-costs
May 22, 2026
Revisiting Optimal Execution of Portfolio Transactions: A Dynamic Programming and Reinforcement Learning Approach
academic-paper
markov-decision-process
optimal-execution
reinforcement-learning
transaction-costs
May 22, 2026
The Probability of Backtest Overfitting
overfitting-risk
backtest
out-of-sample
academic-paper
May 22, 2026
Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance
overfitting-risk
backtest
out-of-sample
academic-paper
profitability-claim
May 22, 2026
Quandt's switching-regression papers: 'The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes' (1958) and 'A New Approach to Estimating Switching Regressions' (1972)
academic-paper
regime-switching
markov-chain
May 22, 2026
Dynamic Asset Allocation with Asset-Specific Regime Forecasts
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
profitability-claim
equities
commodities
May 22, 2026
Downside Risk Reduction Using Regime-Switching Signals: A Statistical Jump Model Approach
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
equities
May 22, 2026
Dynamic Factor Allocation Leveraging Regime-Switching Signals
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
equities
profitability-claim
May 22, 2026
Stop-loss strategies with serial correlation, regime switching, and transaction costs
academic-paper
regime-switching
transaction-costs
backtest
equities
May 22, 2026
Reinforcement Learning for Quantitative Trading
academic-paper
reinforcement-learning
markov-decision-process
trading-strategy
backtest
profitability-claim
May 22, 2026
The 10 Reasons Most Machine Learning Funds Fail
academic-paper
overfitting-risk
backtest
out-of-sample
profitability-claim
reinforcement-learning
replication
2/9/10
May 22, 2026
Regime-Switching Factor Investing with Hidden Markov Models
academic-paper
hidden-markov-model
regime-switching
out-of-sample
overfitting-risk
equities
May 22, 2026
Time series modeling and forecasting based on a Markov chain with changing transition matrices
academic-paper
markov-chain
forex
equities
profitability-claim
overfitting-risk
backtest
May 22, 2026
Revisiting the Profitability of Market Timing with Moving Averages
academic-paper
regime-switching
backtest
out-of-sample
overfitting-risk
replication
equities
May 22, 2026
Deep Reinforcement Learning for Trading
academic-paper
reinforcement-learning
markov-decision-process
backtest
out-of-sample
transaction-costs
commodities
forex
equities