Hypothesis-driven quantitative research with transparent methodology. Each entry shows its honest status; abstracts, repositories, and preprint links are published as work reaches the bar for reproducibility.
A constraint-informed neural network framework for fitting arbitrage-free implied volatility surfaces to sparse option price data.
Model-free no-arbitrage constraints on the implied volatility surface under stochastic volatility dynamics.
Identifying latent macroeconomic factors driving cross-sectional variation in equity returns using sparse PCA.
Decomposing transient versus permanent price impact using high-frequency limit order book data.
HAR-RV extensions with intraday microstructure noise correction and robust out-of-sample evaluation.
Markov regime-switching framework for dynamic hedge-ratio estimation in long/short equity pairs.
How trading venue fragmentation alters intraday liquidity patterns and best-execution outcomes.
Estimating the variance risk premium from the term structure of VIX futures and realised variance forecasts.
How unexpected central bank rate decisions propagate through the yield curve and drive cross-sectional bond market variation.