Time-Series Analysis & Volatility Modelling
Focusing on non-stationary properties, fractal integration, and rough volatility paradigms for robust forecasting.
Research & Academic Focus
Working papers, research notes and technical investigations in mathematics, statistics, quantitative finance, machine learning and computing.
Primary Research Areas
Deep Learning in Financial Markets
Applying sequence models (LSTM, Transformers) to noisy, high-dimensional market data for signal extraction.
Market Microstructure & Order Flow
Modeling limit order book dynamics, liquidity provision, and short-term price impact functions.
Stochastic Calculus & Derivatives Pricing
Developing numerical methods and closed-form approximations for exotic options under complex jump-diffusion models.
Selected Publications
High-Frequency Microstructure Analysis in Fragmented Equity Markets
(2023).
White Paper.
[PDF Preprint]
High-Frequency Microstructure Analysis in Fragmented Equity Markets
(2023).
White Paper.
[PDF Preprint]
Working Paper
High-Frequency Microstructure Analysis in Fragmented Equity Markets
Research draft focused on liquidity provision, spread dynamics and market fragmentation across trading venues.