Predictive models, regime detection, and empirical research on financial markets.
A sign-aware, half-life-decayed contrarian overlay with walk-forward validation. We build a daily macroeconomic-surprise score for eight currency zones.
A Walk-Forward Evaluation of a Gaussian HMM. Model M2 fits a three-state Gaussian hidden Markov model to identify Risk-On, Neutral, and Risk-Off regimes.
A cross-sectional macro score for the G10 Major FX Pairs. Aggregates short-rate level, trade-balance change, policy-rate direction, and growth momentum into a dollar-neutral long/short.
Architecture and metrics of the macro-fundamental scoring engine for G7 currencies. Analysis of structural value, cyclical dynamics, and risk regimes.
Research on algorithmic participation and market making on Polymarket. Theoretical framework and empirical application.
Technical documentation of the macroeconomic scoring engine. Architecture, methodology, and validation of Horacle Capital's quantitative signal.