Research
Selected work on market microstructure, quantitative methods, and commodity markets. Papers are available as PDF; where a translation is pending it is marked accordingly.
Fundamental Analysis of an Asymmetric Long-Short Spread Strategy
Fundamental analysis of the structural divergence between copper and palladium under the energy transition, with a rationale for an asymmetric Long Copper / Short 0.5x Palladium spread.
A Theoretical Investigation into Sharpe and Sortino Ratio Limitations
A theoretical investigation into why Sharpe and Sortino ratios systematically mislead in cryptocurrency markets — heavy tails, non-ergodicity, estimation instability, and Goodhart-style gaming.
An objective method for analysing dynamic systems through the geometry of extremes — a formalized, reproducible approach to market structure and forecasting.