Hi, I'm Nicholas 👋
Quant researcher & engineer | Data, markets & code
I design and test systematic trading strategies — Always refining, always iterating.
Featured research
Six projects across systematic equities, volatility, rates, macro econometrics, machine learning and market-making systems. Each page gives the question, the method, the strongest result and its caveats, with code and papers.
Multi-Factor Equity Strategy — SGX
Real, correctly signed factor structure on SGX; spreads and borrow remove it before it becomes a strategy.
Volatility Risk Premia in CME G10 FX Options
The FX volatility premium is real, left-skewed and insurance-like; a leak-free high-IV selection rule roughly doubles the payoff proxy.
Treasury Futures Curve: Momentum and Mean Reversion
The same DV01-neutral 2s10s book earns a net Sharpe of −0.79 under a momentum signal and +0.71 under mean-reversion.
Macro VAR Research Lab
Across 1,000+ specifications and five estimator classes, no model is distinguishable from a univariate AR; shocks and identification add nothing out of sample.
LSTM vs Classical ML for Equity Returns
Nothing beats zero on levels; cross-sectionally there is a real stress-regime signal that does not survive transaction costs.
Low-Latency Market-Making Engine
A deterministic single-queue event loop with explicit latency and fill models, built so that a naive quoting strategy loses money for the right reasons.