Hi, I'm Nicholas 👋
Quant researcher & engineer | Data, markets & code
I design and test systematic trading strategies — Always refining, always iterating.
Featured research
projects across systematic equities, volatility, rates, macro econometrics, machine learning and market-making systems. methodology, result, caveats, code and writeup.
Multi-Factor Equities on SGX
Real factor structure on Singapore stocks, removed by trading costs: the edge falls from 1.66% to 0.37% a month once spreads and borrow are paid.
Low-Latency Market-Making Engine
Over 21 real sessions of E-mini S&P 500 futures the quotes lose money under every fill rule, and most of the daily swing is market direction.
Volatility Risk Premia in CME FX Options
FX options cost more than the volatility that follows in 6 of 7 currencies. Sellers get paid most years and give it back in years like 2022.
Treasury Futures: Momentum vs Mean Reversion
The same hedged 2s10s trade earns a net Sharpe of +0.71 with mean reversion and −0.79 with momentum.
LSTM vs Classical ML for Equity Returns
Nothing materially beats predicting a zero return. The one real signal appears on stress days, where trading costs the most.
Macro VAR Research Lab
Across 1,000+ models and five estimator classes, nothing reliably beats a simple autoregression out of sample.