Which papers deserve a closer look—and which are useful tools rather than trading strategies? This edition examines seven studies, separates the authors’ findings from our assessment, and explains what we would test next.
A free research digest. These seven selections are paper assessments and proposed research, not seven completed house replications or trading recommendations.
Inside this edition
- Why signal correlation can differ from profit-and-loss correlation
- Models of joint extremes in one-minute returns
- Short-selling bans, trading spreads and drawdowns
- Cross-impact and trading costs around commodity index rolls
- How an investor persona changes an AI model’s financial analysis
- What neural networks learn about price impact
- Filtering market data to measure volatility at short intervals
Read the complete free Mill Run on Substack →
For measured house results, explore our house tests. Read how we evaluate the evidence.
Curated by a 30-year hedge fund veteran. AI assists curation and research preparation; human judgment selects the papers.