Alexander Walter | Searcharxiv

arXiv2026

Cross-Market Alpha: Testing Short-Term Trading Factors in the U.S. Market via Double-Selection LASSO

While traditional equity factor investing relies heavily on slow-moving fundamental accounting metrics, these models frequently suffer from factor crowding and miss real-time, sentiment-driven market dislocations. This study explores how institutional investors can leverage a high-dimensional library of 191 short-term, trading-based signals, originally developed for the retail-heavy Chinese A-share market, to enhance alpha generation within the highly institutionalized U.S. S&P 500 universe from 2002 to 2022. Utilizing a robust double-selection LASSO framework to control for 151 established fundamental factors, we isolate 17 distinct price-volume and microstructural signals that capture significant, non-redundant risk premiums. Our empirical evidence demonstrates that these fast trading signals capture universal behavioral dynamics that do not dilute over a monthly rebalancing horizon. Integrating these short-term behavioral footprints with slow fundamental data offers a powerful dual-horizon framework to mitigate model misspecification risk and enhance large-cap portfolio diversification.

q-fin.ST↗

arXiv2023

Rate-limiting recovery processes in neurotransmission under sustained stimulation

At chemical synapses, an arriving electric signal induces the fusion of vesicles with the presynaptic membrane, thereby releasing neurotransmitters into the synaptic cleft. After a fusion event, both the release site and the vesicle undergo a recovery process before becoming available for reuse again. Of central interest is the question which of the two restoration steps acts as the limiting factor during neurotransmission under high-frequency sustained stimulation. In order to investigate this question, we introduce a novel non-linear reaction network which involves explicit recovery steps for both the vesicles and the release sites, and includes the induced time-dependent output current. The associated reaction dynamics are formulated by means of ordinary differential equations (ODEs), as well as via the associated stochastic jump process. While the stochastic jump model describes a single release site, the average over many release sites is close to the ODE solution and shares its periodic structure. The reason for this can be traced back to the insight that recovery dynamics of vesicles and release sites are statistically almost independent. A sensitivity analysis on the recovery rates based on the ODE formulation reveals that neither the vesicle nor the release site recovery step can be identified as the essential rate-limiting step but that the rate-limiting feature changes over the course of stimulation. Under sustained stimulation the dynamics given by the ODEs exhibit transient changes leading from an initial depression of the postsynaptic response to an asymptotic periodic orbit, while the individual trajectories of the stochastic jump model lack the oscillatory behavior and asymptotic periodicity of the ODE-solution.

math.DS↗