Alexander Vogt | Searcharxiv

arXiv2026

xDECAF: An Extensible Data Flow Diagram Analysis Framework for Information Security

xDECAF is an extensible tool for architecture-based data flow analysis with a focus on information security. It combines an extended data flow diagram metamodel of labeled flows and nodes, a domain-specific constraint language with different flow operations, and a browser-based editor backed by an analysis engine. In this paper, we present the xDECAF tool library and a curated catalog of over 20 example models with documented constraints and expected violations, intended as a reusable dataset for the community. The tool has already been adopted by several research lines, providing concrete evidence of its utility. The tool, dataset, and a hosted online editor are publicly available.

cs.SE↗

arXiv2020

Timing Excess Returns A cross-universe approach to alpha

We present a simple model that uses time series momentum in order to construct strategies that systematically outperform their benchmark. The simplicity of our model is elegant: We only require a benchmark time series and several related investable indizes, not requiring regression or other models to estimate our parameters. We find that our one size fits all approach delivers significant outperformance in both equity and bond markets while meeting the ex-ante risk requirements, nearly doubling yearly returns vs. the MSCI World and Bloomberg Barclays Euro Aggregate Corporate Bond benchmarks in a long-only backtest. We then combine both approaches into an absolute return strategy by benchmarking vs. the Eonia Total Return Index and find significant outperformance at a sharpe ratio of 1.8. Furthermore, we demonstrate that our model delivers a benefit versus a static portfolio with fixed mean weights, showing that timing of excess return momentum has a sizeable benefit vs. static allocations. This also applies to the passively investable equity factors, where we outperform a static factor exposure portfolio with statistical significance. Also, we show that our model delivers an alpha after deducting transaction costs.

q-fin.PM↗