Notes on market data, quantitative systems and tools that have to work in production. Longer notes on architecture, vendor trade-offs and operational reality.
10 active notes
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.
Aug 2026 Markets 12 min
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.
Jul 2026 Markets 8 min
A data engineer’s comparison of structured fundamentals, credit intelligence, document coverage and AI integration across Cognitive Credit, 9fin and Octus.
Jul 2026 Market Data 10 min
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.
May 2026 Markets 12 min
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.
Mar 2026 Markets 11 min
A practical guide to designing, simulating and rejecting goal-aware allocation rules using funding ratios, liability hedges, CPPI, gap risk and terminal shortfall.
Jan 2026 Markets 8 min
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.
Dec 2025 Markets 12 min
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.
Nov 2025 Markets 12 min
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.
Oct 2025 Systems 9 min
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.
Mar 2025 Markets 13 min