Tag
Market Microstructure
Market microstructure is the study of how prices form from the mechanics of trading: order flow, liquidity, adverse selection, and information asymmetry. My engineering work on Polybius applies Kyle's lambda as a real-time adverse-selection estimator, and my lead-lag study measures sub-millisecond price discovery between Bitcoin and Ethereum on Binance spot.
Blog
March 29, 2026
Accounting in Quantitative Finance and Algorithmic Trading
A graduate-level bridge from double-entry bookkeeping to P&L attribution, the Greeks, risk measures, and tax lot accounting for algorithmic trading.
March 27, 2026
Performance Measurement Under Uncertainty
A measure-theoretic construction of risk-adjusted return: Sharpe, Sortino, Calmar, Omega, and Rachev as functionals on the space of return distributions, with four novel theorems and empirical verification on live backtest data.
March 17, 2026
Price as Geometry: Resolution, Coarse-Graining, and the Structure of Market Noise
A rigorous tour through stationary and non-stationary models of price evolution, with geometric analysis at the forefront. From the random walk null and Black-Scholes as flat geometry, through mean reversion as curved Riemannian diffusion, wavelets, geometric harmonics, and information geometry, anchored throughout by empirical evidence from BTC/ETH millisecond data.
March 9, 2026
BTC/ETH Lead-Lag: Resolution-Dependent Direction Reversal on Binance Spot
Resolution-dependent direction reversal in BTC/ETH lead-lag on Binance spot: ETH leads at 1ms, BTC leads at 100ms, crossover at 15–20ms. January and full year 2025.