Queue position as a priced option in fragmented order books
We value resting queue priority as an American option on adverse selection and show how routing decisions change when it is priced explicitly.
Quantitative Research
Evidence before conviction.
Our researchers publish internally to the same standard as a journal: stated hypotheses, pinned datasets, walk-forward validation and independent review.
01Recent Publications
Working Paper · 2026
Decay-aware ensembles for non-stationary alpha signals
Ensemble weights that adapt to each signal's measured half-life outperform static stacking in walk-forward tests across 38 venues.
Tax-lot geometry in high-dimensional convex rebalancing
Treating tax lots as a polytope constraint keeps rebalancing convex and cuts realized gains without increasing tracking error.
Tail latency under contention: lessons from 10¹² messages
What actually moves p99.9 in a kernel-bypass stack: cache-line false sharing, NIC interrupt coalescing and clock discipline.
02Research Areas
Market Microstructure
Order book dynamics, queue models, venue toxicity and optimal execution.
Statistical Learning
Representation learning, signal decay, capacity and robust validation.
Portfolio Construction
Convex optimization, risk budgeting, tax-aware and multi-period problems.
Low-Latency Systems
Hardware acceleration, deterministic runtimes and measurement science.