ALPHA RESEARCH FOUNDATIONS
Our algorithms are not black magic. They are engineered implementations of peer-reviewed quantitative research.
Bochek Finance Quantitative Framework
Our core trading methodology, detailing our approach to market microstructure exploitation and risk management.
Foundational Research
Our strategy is engineered upon the foundational principles established in the following academic research. We have synthesized these concepts to build our proprietary execution engine.
The Price Impact of Order Book Events
Rama Cont, Arseniy Kukanov, Sasha F. Stoikov (2010)
Modeling the price impact of order book events and L2 imbalances.
Flow Toxicity and Liquidity in a High Frequency World
David Easley, Marcos M. Lopez de Prado, Maureen O’Hara (2012)
Seminal work on flow toxicity and liquidity in high-frequency markets.
From PIN to VPIN: An introduction to order flow toxicity
David Abad, José Yagüe
An introduction to order flow toxicity and the VPIN metric.
Cross-impact of order flow imbalance in equity markets
Rama Cont, Mihai Cucuringu, Chao Zhang (2023)
Analysis of cross-impact of order flow imbalance in equity markets.
Optimizing Stock Price Prediction with LightGBM
Zillay Huma, Atika Nishat (2024)
Advanced feature engineering techniques for LightGBM-based prediction models.
Assets Forecasting with Feature Engineering for LightGBM
Konstantinos-Leonidas Bisdoulis (2024)
Feature engineering and transformation methods for LightGBM forecasting.