Research Notes
Write-ups on quantitative finance topics, paper replications, and technical deep dives. Coming soon — check back after LSE.
Understanding Implied Volatility: From Black-Scholes to the IV Surface
A deep dive into what implied volatility actually represents, how it's derived numerically from the Black-Scholes-Merton model, and how the resulting IV surface reveals the market's view of risk across strikes and maturities.
Market Microstructure 101: How a Limit Order Book Actually Works
An exploration of how modern exchanges implement price-time priority matching, why the bid-ask spread exists, and what that means for transaction costs in real trading strategies.
Statistical Arbitrage: From Cointegration Theory to Pairs Trading
A technical walkthrough of cointegration-based pairs trading — from the Engle-Granger test and Johansen procedure to z-score signal generation and the grim reality of transaction costs.
✍️ Articles in progress — follow on GitHub for updates.