Research
Technical investigations into market data, quantitative systems and production decision tools. Longer notes on architecture, vendor trade-offs and operational reality.
Index of notes
10 active notes
Markets
A practical research design for testing whether changes in corporate risk disclosures become more consequential when a stock sits inside a crowded institutional ownership network.
Markets
A practical guide to designing, simulating and rejecting goal-aware allocation rules using funding ratios, liability hedges, CPPI, gap risk and terminal shortfall.
Markets
A practical guide to bootstrapping CDS hazard rates, pricing fixed-rate bonds, validating the numerical machinery, and knowing when linear credit P&L has stopped being reliable.
Markets
A practical guide to using OLS, ridge, LASSO and elastic net in factor research while preserving chronology, measuring selection stability and testing whether forecasts survive portfolio costs.
Markets
A mechanics-first study of CDX versus its single-name CDS constituents, showing where distress creates a real index skew, where naive averages manufacture one, and what survives execution costs.
Markets
A practical explanation of how an equity portfolio moves from adjusted prices and risk-adjusted stock selection to covariance-aware allocation, rebalancing and transaction-cost control.
Systems
An interactive guide to single-server queues, workload processes and renewal arrivals, with a quant-focused explanation of capacity, burstiness, tail latency and model validation.
Markets
A three-year, 16-issuer study of whether broad idiosyncratic equity shocks precede credit stress, with next-close execution, randomization tests, block-bootstrap Monte Carlo and an honest account of the data still required for issuer CDS and bond trading.
Markets
A literature-led, reproducible investigation of when cash bonds detach from CDS—and why waiting for funding stress to stabilise matters more than the headline basis.
Market Data
A data engineer’s comparison of structured fundamentals, credit intelligence, document coverage and AI integration across Cognitive Credit, 9fin and Octus.