Macro Regime Classification: The 4-Quadrant Growth & Inflation Matrix
Constructing institutional cross-asset regime models: second derivatives of real growth and inflation, asset class Sharpe ratios, and factor transition matrices.
13 Quant Primers
Showing 13 Primers
Quant Models & Microstructure: Execution, Order Flow & Market Depth
Mathematical market microstructure: PCA yield curve decomposition, dynamic factor nowcasting, Volume Profile (VAH/VAL/POC), VWAP execution, Value-at-Risk (VaR), and trend following.
Principal Component Analysis (PCA) on the Yield Curve: Level, Slope & Curvature
Decomposing the term structure of interest rates into three orthogonal factors: Level (PC1), Slope (PC2), and Curvature/Butterfly (PC3) for rates modeling.
Economic Nowcasting & Dynamic Factor Models: Atlanta Fed GDPNow
How Kalman filters and mixed-frequency dynamic factor models track real-time GDP growth before official Bureau of Economic Analysis (BEA) revisions.
Quantitative Backtesting Pitfalls: Look-Ahead Bias, Point-in-Time Data & P-Hacking
Critical methodological hazards in quantitative macro research: revised vs. point-in-time data vintages, look-ahead bias, and surviving multiple testing overfits.
The Kelly Criterion: Mathematical Position Sizing & Compounding
Calculating optimal risk fractions ($f^*$), avoiding the risk of ruin, and implementing Fractional Kelly in institutional trading.
Factor Investing: Momentum, Value, Quality & Size Frameworks
Fama-French multifactor models, quantitative factor definitions, and macroeconomic cycle factor rotation.
Market Breadth: Advance/Decline, 200-DMA & Breadth Thrusts
How the A/D line, 52-week new highs/lows, and the Zweig Breadth Thrust signal powerful market inflection points.
Relative Strength & Sector Performance Ratio Analysis
Tracking sector leadership pairs (XLK/SPY, XLF/SPY, IWM/SPY) and identifying emerging market momentum trends.
Open Interest vs. Volume: Derivatives Market Positioning
Interpreting contract creation vs. turnover, short squeezes, long liquidations, and trend validation.
Bid-Ask Spread & Market Depth: Order Book Liquidity
Central Limit Order Books (CLOB), inside quotes, market maker spreads, and institutional slippage dynamics.
Order Flow & Level 2 Microstructure: Limit vs. Market Orders
Cumulative Volume Delta (CVD), aggressive vs. passive order flow, and institutional iceberg absorption.
Volume Profile & Value Area: POC, VAH & VAL Explained
How Volume Profile maps fair value distribution, Points of Control (POC), and high vs. low volume nodes.
VWAP & Price Discovery: Institutional Execution Models
Volume-Weighted Average Price formula, institutional execution benchmarking, and Anchored VWAP (AVWAP) setups.