Research
Academic & independent work.
Selected research projects at the intersection of market microstructure, derivative pricing, and statistical learning.
Market Microstructure · Publication pending
Quantifying lit market liquidity loss due to dark pools
Independent research analysing L3 orderbook data to extract microstructure signals and assess how dark-pool activity impacts lit-market liquidity. Co-authored with Laurence Daures.
L3 OrderbookMicrostructureStatistical Inference
Fixed Income · Completed
Modelling and pricing of inflation-indexed derivatives
Research project in collaboration with Exiom Partners on the pricing and risk management of inflation-linked products.
Stochastic CalculusFixed Income
Machine Learning · Challenge entry
Predicting end-of-session returns
Collège de France Challenge Data CFM - predicting end-of-session returns of the U.S. equity market via machine-learning models.
Machine LearningTime Series