These are some of the areas in quantitative finance, machine learning, and portfolio optimization that I'm currently researching or thinking about.
- š¦ Systematic Trading & Statistical Arbitrage - Exploring mean-reversion, momentum, and market inefficiencies.
- š Alpha Discovery & Feature Engineering - Finding new predictive signals and alpha factors.
- š§ Machine Learning in Trading - Evaluating LLMs for market prediction, reinforcement learning for execution.
- š Portfolio Optimization - Implementing risk-aware allocation methods (conic programming, Kelly Criterion).
- ā³ Time-Series Forecasting - Studying non-stationary market dynamics, volatility modeling.
- š Market Microstructure & Execution Strategies - Analyzing slippage, impact models, order flow dynamics.
š Reading List
These are some of the papers, books, and articles Iām reading (or planning to write about).
š Research Papers
- The time-series relations among expected return, risk, and book-to-market - Jonathan Lewellen
- The Statistics of Statistical Arbitrage - Fernholz & Maguire
š Books
- Options, Futures, and Other Derivatives - John Hull
- All of Statistics - Larry Wasserman
- Market Microstructure in Practice - Charles-Albert Lehalle, Sophie Lauruelle
š Blog Posts / Articles
- The Evolution of Statistical Arbitrage: Rise of Alternative Data and Shorter Holding Periods - Henry Booth
- Automate Strategy Finding with LLM in Quant investment - Recent work on applying language models to market prediction
āļø Future Writing
Here are some ideas for papers or blog posts I want to write based on my research:
- š¦ Does Alpha Decay Differ in High-Frequency vs. Low-Frequency Trading?
- š Comparing Market Impact Models in Different Market Regimes
- š How to Build a Better Pair Trading Model Using Machine Learning
- š Backtesting: Hidden Pitfalls in Quant Research
- šÆ What Really Works in Feature Selection for Quant Trading?
š Want to Discuss?
If any of these topics interest you, feel free to reach out! Always happy to discuss quant research, finance, and trading strategies.