Research desk
Market Microstructure & Trading
How orders, executions and trading rules shape what a trader actually earns.
The desk studies how markets actually trade: limit order book dynamics and price impact, the statistics of high-frequency trade arrivals, Hawkes and queue-reactive models of order flow, market making under inventory risk and adverse selection, and insider trading in Kyle–Back models. It also tests the rules traders live by — stops, time stops, win rates, backtests — and turns the results into free tools, such as the prop-firm challenge and day-trading calculators, that show what a rule costs before it is traded.
Will You Pass the Prop-Firm Challenge?
A free calculator for prop-firm challenges: put in your win rate, reward-to-risk, trades a day, risk per trade and costs, and the challenge's own rules and prices, and see your chance of passing an attempt, how attempts end, how long they take, the real total…
Goal or Blow-Up: The Odds for a Day-Trading Account
A free calculator for day traders: set your win rate, reward-to-risk, size, costs, a goal and a blow-up level, and see the chance of reaching the goal first or blowing up first, and when, within your horizon and if you trade this way forever.
Day-Trading P&L Calculator: One Day to One Year
A free calculator for day traders: put in your win rate, reward-to-risk, size, stop and costs, and see what a day, a month or a year of trading makes on average, on a typical path and in a bad year, with your breakeven win rate…
What a Stop-Loss Costs
In a random walk every stop-loss lowers what you can expect to end with. On the S&P 500 since 1990 a 5% trailing stop cost a quarter of the money, while a 10% one roughly broke even and cut the worst fall from 55% to…
The Bold Play That Passes the Funded Challenge
A runnable notebook. A $50K futures evaluation asks for $3,000 of profit before a $2,000 trailing loss limit. For a trader with no edge, the maths caps the pass rate and says the bold beat the busy: replayed on three years of Nasdaq futures under…
Queue-Reactive Dynamics on the Full Order-Book Profile
Queue-reactive models of the limit order book make order arrival and cancellation rates functions of the current queue size, and reproduce the mean reversion of depth that constant-rate models miss. They are, however, formulated at the best bid and best ask only: they carry no…
Making a Market: the HJB a Naive Quoter Is Ignoring
A market maker who posts a fixed spread around the mid earns that spread on every fill and carries whatever inventory the fills leave behind. We treat the two halves of that sentence as two problems. The naive symmetric quoter is solved in closed form:…
The Best of 490 Backtests Is Noise
Search a few hundred strategy variants on one year of data and the best one scores a Sharpe near three — with no edge in any of them. The arithmetic, the figure, and what survives it.
Where the Force Vanishes Is Not Where It Rests
Set the arrivals equal to the cancellations, solve for the queue size, and you have found the point where the force on the book vanishes. You have not found where the book sits. The two answers differ by a term nobody writes down, worth 14.2%…
When Sampling Faster Makes You Wrong
Realized variance should converge to an SDE's quadratic variation as you sample faster — market microstructure noise makes it diverge instead. The volatility signature plot, and the two-scale fix.
The Derived Time Stop
A swing trade is a hypothesis with a deadline. The trader enters a setup believing it may carry an edge, the price then either drifts the way the setup promised or it does not, and the setup expires at a known date. We model the…
The Win Rate That Means Nothing
Put the stop nine times further from the entry than the target and you win 90% of your trades on any stock, and make nothing. The optional stopping theorem shows why a win rate is a setting, not a skill, and what costs and exits…
Bridging Technical Analysis and Order-Flow Microstructure: A Quantitative Framework
Technical analysis (TA) and order-flow microstructure are two cultures that rarely converse. TA operates on bar-level price and volume aggregates and enjoys near-universal use among retail and discretionary traders; microstructure operates on tick-level limit-order-book (LOB) events and forms the standard quantitative vocabulary at sell-side desks…
Five-Type Queue-Reactive Hawkes Simulation for Futures Price Discovery
We present a simulation framework for limit order book (LOB) dynamics based on the Five-Type Queue-Reactive (FTQR) model coupled with multivariate Hawkes processes. The five event types — limit bid arrivals (λb), limit ask arrivals (λa), bid cancellations (θb),…
Market Making Under Inventory Risk with Adverse Selection
We study optimal market making in a limit order book where the dealer faces inventory risk and adverse selection from informed traders, following the Avellaneda–Stoikov (2008) framework extended to include asymmetric information costs. The dealer controls bid and ask quote depths to maximise expected terminal…
Order Book Dynamics and Price Impact in Limit Order Markets
We study the dynamics of a continuous-time limit order book model in which market orders arrive as Poisson processes and the mid-price evolves as a diffusion driven by order-flow imbalance. Price impact is decomposed into a temporary component and a permanent component that shifts the…
Hawkes Process Models for High-Frequency Trade Arrivals
We study multivariate Hawkes processes as models for high-frequency trade arrivals, capturing the self-exciting and cross-exciting structure of order flow across asset classes. The intensity of each arrival stream depends on the full history of all streams via a matrix of exponential kernels, whose parameters…
Insider Trading with Random Signal Arrival: A Kyle–Back Model with Poisson Revelation
We study a continuous-time Kyle–Back insider trading model in which the informed agent receives the asset's true value V at a random Poisson time τ ∼ Exp(μ), rather than at inception. The model decomposes into two phases: before signal arrival, the price is uninformative and the…