Research Analysis
Research assessments for the ISM program — conducted on peer-reviewed articles, professional interviews, mentor interactions, and progression work for Original Works & Final Product.
Note: Some assessments are omitted as they contain confidential strategy information.
Research Assessments
Opening Order Imbalance as a Short-Term Return Predictor
Reviews a 2021 study showing order book imbalances in the first 30 minutes hold predictive power for 1–2 day returns, with implications for ES and NQ intraday trading.
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Queue Imbalance in Limit Order Books as a Tick-Level Price Predictor
Examines a 2015 Nasdaq study on queue imbalance (QI), providing evidence that bid/ask volume asymmetry predicts short-term price direction for orderflow entry models.
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Systematic Pattern Recognition as Proof of Predictable Market Edge
Analyzes a peer-reviewed bull-flag study in the Chinese stock market to build a framework for systematically testing discretionary trading ideas.
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End-of-Day Rebalancing Data Analysis: Leveraged ETF Pairs & SPY/TLT
Quantitative study examining rebalancing inefficiencies across 5 leveraged ETF pairs and SPY/TLT using binned regression analysis to uncover tradable edges.
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Modeling & Tracking Alpha Decay for Retail Trading Systems
Defines, visualizes, and tracks alpha decay using an original Excel simulation, showing how execution delay and edge erosion affect strategy performance.
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Interview Assessments
Corvin Codirla — Quant Trading, Institutional Edges & Monte Carlo Methods
Key insights from a former hedge fund quant at JP Morgan and Brevan Howard, covering position sizing, Monte Carlo simulation, HFT limits, and institutional flow-following.
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Blade Robertson — Discretionary Portfolio Management at a Private Bank
Conversation with a BofA Private Bank senior PM exploring wealth management, institutional tools like FactSet and Bloomberg, and aligning with large market players.
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Andreas Clenow — Trading as a Business, Alpha Decay & Institutional Perspective
Insights from a 30-year veteran CIO at ACIES Asset Management on scaling AUM, distinguishing drawdowns from alpha decay, and defining trading terms for retail audiences.
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