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Research and insights
Research sits at the base of every solution we offer. We study market microstructure, the relationships between prices and risk models, and turn the results into our own mathematical models and intellectual property.
Research areas
Market microstructure
Order book dynamics, price formation, and the measurement of liquidity and transaction costs.
Arbitrage and relative value
Modelling cash–futures, ETF–basket and derivative–underlying relationships, and assessing them after costs.
Volatility and derivatives
Volatility surfaces, pricing models, and inventory and hedging problems in market making.
Insights
Writing on algorithmic trading, HFT and quantitative finance.
The mathematics of market making: inventory risk and quoting
Why does a market maker not quote around the mid price? Reservation price, optimal spread and inventory penalty in the Avellaneda–Stoikov framework.
Basis in cash–futures arbitrage: fair value, cost of carry and real-world frictions
Why is the theoretical futures price not the market price? The no-arbitrage band once carry, dividends, margin and transaction costs are counted.