IOC · 03
Research
Microstructure · Execution · Volatility · Econometrics
Case studies
MARKET MICROSTRUCTURE
Multi-Scale Lead–Lag
Stable Binance-to-Kraken BTC price discovery from ~50 ms to ~1.95 s.
EXECUTION RESEARCH
Real-Time Market Making
5 quote modes with FIFO queue-aware paper fills and 1s/5s/10s markouts.
SYSTEMATIC TRADING
IMC Prosperity 4
Round 1: #77 worldwide, #1 France · Final: #514 worldwide, #17 France · ~20,000 teams.
VOLATILITY RESEARCH
Volatility Timing for Short-Volatility Carry
UKF timing improved total return from 3.81% to 4.51% on SPY and from 18.66% to 26.01% on AAPL.
FINANCIAL MACHINE LEARNING
QRT Allocation Performance Prediction
527,073 observations · 278 allocations · 52.39% LightGBM validation accuracy under a chronological split.
DELTA-NEUTRAL CARRY
Funding-Rate Carry Framework
5 Bybit spot/perpetual pairs · 1 year of second-level L1/L2 data · sold and operated live.
ECONOMETRICS
GDP Forecasting with MIDAS
47-series mixed-frequency US GDP forecasting with 8 recent out-of-sample quarters.