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  1. Cross-Asset-Macro-Volatility Cross-Asset-Macro-Volatility Public

    A cross-asset relative value strategy harvesting the Volatility Risk Premium (VRP) across equities, commodities, and FX.

    Jupyter Notebook

  2. Financial-Ratio-Equity-Quantiles Financial-Ratio-Equity-Quantiles Public

    Optimizing factor-based equity portfolios through quantile ranking and dynamic cost-of-capital modeling.

    Jupyter Notebook

  3. FX-Carry-Strategy FX-Carry-Strategy Public

    Analyzing the resilience of EM FX carry trades against idiosyncratic shocks using synthetic sovereign bonds and GBP SONIA funding.

    Jupyter Notebook

  4. CDS-Predictive-Regression CDS-Predictive-Regression Public

    CDS spread predictive modeling via idiosyncratic equity returns: A comparison of rolling and exponential filters.

    Jupyter Notebook

  5. Volume-Driven-Price-Impact Volume-Driven-Price-Impact Public

    Crypto market impact models: volume-driven price impact for institutional block trading.

    Jupyter Notebook

  6. Crypto-Order-Flow-Imbalance Crypto-Order-Flow-Imbalance Public

    Stress-testing a Bitcoin HFT strategy to quantify the impact of latency, slippage, and adverse selection on OFI signals.

    Jupyter Notebook