Too Big to Co-Move
Concentrated sectors co-move less with the rest of the market: a one-point rise in top-three share lowers monthly R² by 0.75 points (permutation p = 0.04), though concentration does not explain why markets disconnected.
Research
Research
Five papers across market structure, rates, factor investing, volatility, and risk overlays. Each links its full PDF and its code. Status words are exact: SSRN preprints and working papers are not peer reviewed.
RateWalk: Forecasting Fed Decisions
Naive inflation-regime conditioning overfits; empirical-Bayes shrinkage fixes it in the US, UK and Germany, and a blend with a market proxy reaches log-loss 1.056 and a 72.7% hit rate.
Calm Months, Crash Months
Built with only past data, capped leverage and trading costs, volatility management lifts momentum's Sharpe ratio from 0.43 to 0.94 and helps none of the other five factors. A closed-form formula for momentum's market beta explains why.
VolEdge: The Variance Risk Premium
A full-stack platform that extracts risk-neutral moments from live option chains without a pricing model; a GARCH vol-targeted sleeve beat SPY on risk (Sharpe 0.85 vs 0.68) while naive short-variance harvesting lost money.
Multi-Scale Regime Detection
Four independent stress signals that must agree before de-risking: maximum drawdown -6.2% vs -41.7% for SPY, and the same calibration transfers to factor and international portfolios.
In progress
The U.S. Sovereign Debt Doom Loop: A Point-in-Time Framework for Identification, Market Pricing, and Policy Response
MS thesis, New York University. Advisor: Prof. David Shimko. In progress, expected May 2027.