Understanding
before execution.
Our research connects observations about markets with decisions that can be implemented. Data, models and execution are examined as parts of the same problem.
Data & measurement
What does the
market data capture?
A record of a market is shaped by how that market operates and how its events are observed.
Trading venues differ in their rules, order types and data feeds. The order of events matters, as does the distinction between when something happened and when that information became available.
Research begins with those details. We examine the meaning of the observations, the consistency of the records and the assumptions involved in comparing activity across instruments and venues.
A model can only use information that was available at the time of its decision.
Models & evidence
A relationship
is a hypothesis.
Statistical evidence needs to be interpreted in the context of how a market works.
We use quantitative methods to investigate pricing relationships and market dynamics. The assessment considers whether an effect persists across different observations, how sensitive it is to assumptions and what remains after the costs of trading.
Historical results are one part of that evaluation. The limitations of the data and the possibility of changing market behaviour remain part of the research question.
Execution & systems
The market is part
of the model.
The price a model observes and the price at which an order executes are not necessarily the same.
Information arrives over time. Orders interact with other participants, available liquidity and the rules of a venue. Those conditions influence what an implementation can achieve.
Our engineering work connects market data, pricing and execution. The behaviour of the system matters alongside its speed: how events are processed, how decisions can be examined and how changing conditions are handled.