Blog - Notes on quantitative finance
Articles on methodology, analysis best practices and concepts that often cause confusion when financial data meets programming.
July 23, 2026
Market Microstructure Data Engineering: Building Reliable Order-Book Datasets for Quantitative Research
How provenance, event sequencing and reconstruction controls make order-book research more reliable and auditable.
Henry Sobrino
June 27, 2026
Reproducible Quantitative Research Pipelines: Data Lineage, Testing and Deployment Controls
A practical framework for making quantitative research auditable, point-in-time aware and ready for controlled deployment.
Henry Sobrino
May 9, 2026
Volatility Targeting and Drawdown Control: A Practical Framework for Systematic Portfolio Risk
A rigorous framework for combining volatility targeting, drawdown constraints and implementation-aware portfolio governance.
Said Farah
March 14, 2026
From Order Flow to Research Signal: Microstructure Evidence, Execution Constraints and Statistical Discipline
A disciplined framework for transforming order-flow observations into testable, execution-aware intraday research signals.
Said Farah
January 22, 2026
Temporal Cross-Validation in Financial Machine Learning: Preventing Leakage in Dependent Market Data
A rigorous framework for preventing information leakage when machine learning models are evaluated on dependent and non-stationary market data.
Said Farah