01Analysis
Market microstructure advisory
LOB diagnostics, adverse selection and informed-trading proxies, and price-impact modelling for trading and portfolio teams.
For desks that need a sharper read on how liquidity actually behaves, not just what the top-of-book snapshot suggests. This work focuses on queue dynamics, spread formation, order-book imbalance, trade classification, and the situations where displayed liquidity stops being trustworthy.
What this covers
- Microstructure diagnostic memo covering spread behavior, queue quality, impact signatures, and hidden-friction patterns.
- Desk-specific metric framework for monitoring adverse selection, fill quality, and order-book regime shifts.
- Decision notes on what is structural, what is transient, and which signals are safe to operationalize.
Best suited for
Trading desks, PM teams, execution leads, and research groups that want a better mechanism-level understanding of price formation and liquidity risk.
02Strategy
Optimal execution strategies
Schedule design and implementation notes grounded in Almgren–Chriss, Kyle-type information friction, and your real constraints.
This service is for teams that know execution matters but need a more disciplined way to design schedules, participation rules, urgency settings, and risk-aware trade slicing. The emphasis is always on executable policy, not abstract optimization divorced from desk reality.
What this covers
- Execution framework linking objective, urgency, risk tolerance, and market conditions to concrete schedule choices.
- Parameter interpretation note mapping model inputs to observables such as volatility, liquidity, order size, and timing constraints.
- Practical recommendations for parent-child order design, benchmark choice, and post-trade evaluation.
Best suited for
Buyside desks, treasury execution teams, allocators with recurring rebalance flows, and internal strategy groups reviewing how orders are worked.
03Models
Volatility surface calibration
SABR / eSSVI pipelines, arbitrage checks, and Greeks consistency for options and vol desks.
For options desks and model owners who need surfaces that are defensible, stable, and usable under pressure. The work covers parametrization, no-arbitrage checks, wing behavior, and diagnostics that catch unstable fits before they leak into quoting or risk.
What this covers
- Calibration and validation framework for SABR or eSSVI surfaces with explicit QA checks.
- Daily or batch-review rules for butterfly and calendar arbitrage, smile smoothness, and wing consistency.
- Documentation on interpretation, known failure modes, and escalation steps when the surface misbehaves.
Best suited for
Options traders, structuring teams, volatility quants, and risk or model-validation functions supporting listed or OTC books.
04Mentorship
Quantitative mentorship
Structured sessions for PhD applicants, charter candidates, and early-career quants building book-grounded intuition.
Designed for people who want to think like a quant rather than just collect formulas. Sessions are derivation-first, concept-heavy, and tailored to where the learner is getting stuck, whether that is probability, pricing intuition, market microstructure, or research method.
What this covers
- Structured mentorship plan with reading paths, derivation checkpoints, and discussion-led sessions.
- Feedback on research statements, technical preparation, and conceptual gaps in core quant topics.
- Custom problem sets or guided exercises where needed to move from recognition to real understanding.
Best suited for
PhD applicants, early-career quants, serious self-learners, and students preparing for research-oriented roles or programs.
05TCA
Execution Algorithms
Benchmark selection, slippage attribution, and venue- or algo-level reviews without vendor lock-in.
For teams evaluating whether their existing execution stack is doing what they think it is doing. The focus is on benchmark logic, implementation shortfall decomposition, broker or venue behavior, and how to judge algorithms without outsourcing the thinking to a vendor deck.
What this covers
- Benchmark and slippage-attribution review covering spread capture, impact, fees, timing, and missed liquidity.
- Algorithm or venue assessment note with constraints, blind spots, and realistic performance expectations.
- Operational recommendations for monitoring execution quality over time without vendor lock-in.
Best suited for
Trading teams, allocator platforms, family offices, and institutions comparing brokers, algos, or execution workflows.
Next stepNeed help choosing the right engagement?
If the boundaries between execution, market structure, and research overlap in your problem, that is usually a good sign. Most strong engagements start with a short conversation and a clearly written problem statement.