Research
Market structure and options, studied to a standard.
Two areas, one method. The interesting question in this field is almost never “does this pattern exist” — it is whether it survives costs, a fair null, and the fact that you had to choose it out of many.
Market Structure
Market microstructure — how orders, queues and the mechanics of a book turn intention into price, the continuous double auction that produces it, and what the observable record of a session can honestly be asked about liquidity, cost and information.
Read the area →Options Theory
The theory of contracts written on that price: what a premium decomposes into, where the standard models break, and how implied volatility relates — and fails to relate — to what actually happens next.
Read the area →Method
How a study is run
- The question is written down first, in a form that can come back “no”. A question that cannot fail is not a question.
- The null model is fixed before the result is seen. Most apparent structure in market data is what randomness looks like when you go looking; the null is what tells the difference, and choosing it afterwards is choosing your answer.
- Costs are modelled honestly — spread, impact, the fills you would not have got. A result that survives frictionless arithmetic and nothing else has not survived.
- Multiplicity is counted. If forty variants were tried, the best of forty is reported as the best of forty.
- Nulls are written up. A field where only the confirmations are published is a field where nothing can be trusted.
Policy
What is published, and what is not
Published openly
The subject of the work. The method and the standard of evidence. Educational material on mechanism — how a book works, what a premium is made of — written so that someone can learn it rather than buy it. Monographs and long-form guides. Studies that came back null.
Deliberately not published
The specific techniques currently in use, their parameters, the datasets, venues, instruments and horizons in scope, and any roster of live projects. Not because the results are secret in principle, but because a research practice that publishes its working edge does not have one for long.
Not coyness. If a technique is described here at all, it is described properly.
Education and research only. Nothing on this site is investment advice or a recommendation to buy or sell anything. Trading carries a real risk of loss and most short-term retail traders lose money. Every figure and instrument in the published writing is illustrative. Speak to a licensed professional before you risk capital.