the quantitative research desk
an open window into the methods behind the portfolio — factor decomposition, market microstructure, volatility surfaces, and the risk framework that governs every allocation decision.
statistical arbitrage
mean-reversion & cointegration baskets
risk modelling
covariance shrinkage, EVT & stress scenarios
execution analytics
transaction-cost & market-impact models
regime detection
hidden-markov & volatility-state filters
decomposing realised carry into roll, convergence, and funding components across rates, fx, and commodities. we isolate the residual premium that survives a regime-conditioned beta hedge.
working paper · q1 2026
a VPIN-style estimator applied to lit-venue tape, mapping informed-flow probability to optimal participation rates and implementation shortfall.
research note · q1 2026
estimating the wedge between implied and realised variance, and sizing convex overlays so that carry is funded without compromising left-tail protection.
commentary · q4 2025
research published here is illustrative and for discussion purposes only. it does not constitute investment advice, a recommendation, or an offer. methodologies are simplified for exposition; deployed models incorporate additional controls.