Research
Essays, analyses and notes on econometrics, machine learning, and decision systems — curated by value to the reader, not by chronology.
Featured writings
02
Research Library
Articles, syntheses and analytical essays — density over imagery.
Research Library
2025-11-03
Analysis
Models as Mechanisms, Not Oracles
Reconstructing generative structure instead of optimizing predictive scores in isolation.
2025-09-17
Systems
Simulation Before Deployment
Using agent-based and dynamical systems tools to stress-test policies before operational rollout.
2025-07-22
Machine Learning
Feature Stability in Financial Machine Learning
Monitoring distributional drift and structural breaks in production modeling environments.
2025-04-02
Econometrics
Identification Challenges in Panel VARs
Comparing Cholesky, sign restrictions and penalty-based approaches under small-T panels.
03
Reading Notes
Insights from books, papers and reports.
Reading Notes
The Quants
History of quantitative trading cultures — useful for understanding how model risk compounds with organizational incentives.
2026-01
Forecasting: Principles and Practice
Practical hierarchy for forecast evaluation; strong reference for calibration-first workflows.
2025-10
All of Statistics
Concise bridge between classical inference and modern learning — revisited for teaching notation consistency.
2025-06
Stabilizing an Unstable Economy
Financial instability hypothesis as a lens for macro-financial regime thinking.
2024-11
04
Technical Notes
Personal knowledge artifacts — maximum utility, minimal emphasis.
Technical Notes
SQL
PostgreSQL Window Functions
Patterns for rolling metrics, ranks and lag features in panel pipelines.
Data Engineering
TimescaleDB Hypertables
Chunking, retention policies and continuous aggregates for tick data.
Econometrics
Bayesian VAR Priors
Minnesota, NiW and dummy-observation priors — when each remains identifiable.
Machine Learning
Calibration Diagnostics
Reliability diagrams, Brier score decomposition and threshold selection.
Simulation
Agent-Based Simulation Loops
Scheduler design, seed control and reproducibility checkpoints.
Econometrics
Panel Data Missingness
Selection models vs. pattern-mixture specs in credit longitudinal data.
05
Research Ideas
Hypotheses, seeds and speculative directions — curiosity in progress.
Research Ideas
Regime-aware feature stores
Should feature definitions be versioned by detected macro regime?
Counterfactual execution policies
Simulate order routing under alternative liquidity scenarios before live deployment.
Graph priors for factor models
Encode sector topology as soft constraints in high-dimensional factor estimation.
Human-in-the-loop hypothesis graphs
Visual DAG editor linking economic theory to estimable empirical specifications.
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