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q-fin.TR2025
Hidden Order in Trades Predicts the Size of Price Moves
Mainak Singha
Financial markets exhibit an apparent paradox: while directional price movements remain largely unpredictable--consistent with weak-form efficiency--the magnitude of price changes…
q-fin.TR2025
Discovery of a 13-Sharpe OOS Factor: Drift Regimes Unlock Hidden Cross-Sectional Predictability
Mainak Singha
We document a high-performing cross-sectional equity factor that achieves out-of-sample Sharpe ratios above 13 through regime-conditional signal activation. The strategy combines v…
q-fin.TR2025
Forecast-to-Fill: Benchmark-Neutral Alpha and Billion-Dollar Capacity in Gold Futures (2015-2025)
Mainak Singha, Jose Aguilera-Toste, Vinayak Lahiri
We test whether simple, interpretable state variables-trend and momentum-can generate durable out-of-sample alpha in one of the world's most liquid assets, gold. Using a rolling 10…