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Deep dives into quantitative finance, mathematics, and algorithmic trading.

01Featured
Trend Following Isn't Dead. It Just Moved.
Quantitative FinanceJul 9, 20269 min read

Trend Following Isn't Dead. It Just Moved.

Trend following made money for two centuries, then died around 2009. A new paper from Bouchaud and his CFM colleagues shows it only died in half the futures universe, and one microstructure variable tells you which half.

Antonije MirkovicRead entry
02The Index
024Quantitative FinanceOct 5, 202613 minFour Free Datasets Worth a Real Project: Poker, Primes, Polymarket and the Mempool21.6 million poker hands, two million zeta zeros, 727 million rows of Polymarket against Binance, and Ethereum's public mempool. I ran the first real measurement on each and laid out the projects worth building on top.023MathematicsSep 22, 20267 minFive Free Interactive Sites That Teach the Maths Behind Quant FinanceFive free websites that let you move the maths behind quant finance with your mouse: probability, PCA, gradient descent, MCMC and Gaussian processes. The links, the one experiment to run on each, and two of those experiments redone on real data.022Quantitative FinanceSep 21, 202633 min1Where the Walls Are: The Convex Geometry of Polymarket ArbitrageTwo Polymarket contracts can cost less together than the dollar they are guaranteed to pay. The full mathematics: the coherence polytope, separating hyperplanes as trade tickets, an order-book LP on live Fed markets, and the market maker's side of the same geometry.021MathematicsSep 9, 20268 min4How to Get an A in Math If You're Not a Math PersonGetting an A in math is a study system, not a personality. Four methods I run before every exam: the frequency method, the cover method, label first, and the one-notebook rule, explained the way I actually use them.020Career AdviceSep 8, 202614 minThe Free Quant Math Shelf: Five Books, One Order, and What Makes Them StickFive free textbooks cover the maths a quant career runs on: linear algebra, probability, statistics, optimization. Here they are in the order to read them, how much of each you need on a first pass, what ships free around each one, and the practice that stops the theory evaporating.019Market AnalysisAug 31, 202610 minThe Hedge Fund Paper Trail: Four Free Datasets That Show the PositionsHedge funds file their positions with regulators every week, and almost nobody reads the files. Four free datasets covering the futures book, the named shorts, the activist theses and the prime broker map, with the links, the true latency and the blind spots.018Quantitative FinanceAug 30, 202614 minFive Repos, One Engine: Wiring the Open-Source Quant StackFive open-source repos cover pricing, risk, sizing, execution and display, and none of them knows the others exist. I installed all five in one Python environment, built every wire, ran the engine, and kept the two places it broke in the story.017Quantitative FinanceAug 20, 202611 minThe Market Making Machine: How Desks Earn the Spread, and How One Firm Lost 15 Billion AnywayOne losing day in 1,238. Then a 15 billion USD July. The full machine behind institutional market making: the adverse-selection math, the inventory control, the nanosecond infrastructure, and what actually broke.016Career AdviceAug 17, 20269 minThe Free Quant Syllabus: Five Courses From MIT and Stanford, and What to Build After EachFive free courses from MIT and Stanford cover the whole quant stack: pricing, portfolio theory, optimization, statistics, machine learning. Here they are in order, with what is actually inside each one and the project to build after it.015Quantitative FinanceAug 11, 202611 min2The Open-Source Hedge Fund Stack: Four Repos, Four DesksKronos forecasts, skfolio allocates, NautilusTrader executes, and an LLM keeps the journal. What each of the four biggest open-source quant repos does in a complete trading system, where exactly they connect, and what a laptop stack will never make you.014Career AdviceJul 11, 20269 min1The Four GitHub Repos That Teach You Quant Finance for FreeA 575-entry index, a 14-lecture graduate course, and 141 notebooks: a complete quant education sits on GitHub for free. The material was never your problem, the order is.013Quantitative FinanceFeaturedJul 9, 20269 min2Trend Following Isn't Dead. It Just Moved.Trend following made money for two centuries, then died around 2009. A new paper from Bouchaud and his CFM colleagues shows it only died in half the futures universe, and one microstructure variable tells you which half.012CodingMay 25, 202614 min5 Python libraries that do the math quant finance actually runs onQuant finance reduces to four hard math problems: differential equations, optimization, Bayesian inference, and derivatives pricing. These are the five Python libraries that actually solve them, with the code.011Market AnalysisMar 29, 202612 minReal-Time Market Microstructure DashboardMost retail traders stare at candlestick charts. Institutional desks monitor order flow, VPIN, LOB imbalance, and market resilience in real-time. Here's how to build that same dashboard for free.010Quantitative FinanceMar 14, 20268 minAI Trading Bots Are Forming CartelsWharton researchers found AI trading bots spontaneously collude without communication. They call it "artificial stupidity." The DOJ is already investigating.009Quantitative FinanceMar 9, 202618 min2Pairs Trading with Kalman Filters: The Adaptive EdgeMost traders use static hedge ratios that decay over time. The Kalman filter adapts in real-time, tracking the evolving relationship between assets. Learn how to build an adaptive pairs trading strategy from scratch.008Quantitative FinanceFeb 22, 20267 min6How Chinese Quants Returned 57% in 2025Chinese quant funds returned 57% in 2025, more than double their Western counterparts. I dug into the research coming out of Shanghai and found MASTER, a stock transformer that adapts to market regimes in real-time.007Quantitative FinanceFeb 9, 202617 min3Backtesting Lies: How to Stop Fooling YourselfYour backtest is lying to you. Learn the seven deadly sins of backtesting - overfitting, look-ahead bias, survivorship bias, and more - plus the validation techniques professional quants use to separate real edge from statistical noise.006Quantitative FinanceFeb 6, 202610 min2Ergodicity Economics: Why Expected Value Is Lying to YouA bet with positive expected value that bankrupts you with 100% certainty. Sounds impossible? It's not. And you're probably making this mistake right now.005Quantitative FinanceFeb 1, 202611 min4How Quant Funds Detect Regime ChangesThe market has moods. Top quant funds don't just trade - they constantly ask what regime we're in. Here's how they do it.004Quantitative FinanceJan 26, 20266 min2Monte Carlo Simulations: When Randomness Beats MathSome problems are too complex for elegant formulas. Learn how Monte Carlo simulation uses randomness to price options, model risk, and solve problems that calculus can't touch.003Quantitative FinanceJan 19, 202616 min1Expected Value: The One Concept That Changes How You TradeWin rate is overrated. Learn the single number that actually determines whether your trading makes money—and why a 40% win rate can crush an 80% win rate.002Quantitative FinanceJan 12, 202614 min1Understanding the Black-Scholes Model: From Theory to PracticeThe Black-Scholes model revolutionized quantitative finance in 1973. Learn the intuition, mathematics, and practical applications of this groundbreaking options pricing model.001MathematicsJan 5, 20266 min5Introduction to Stochastic Calculus for QuantsStochastic calculus is essential for quantitative finance. Master Brownian motion, Itô's Lemma, and the intuition behind pricing models with this practical guide.
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