I am an independent trader and quantitative researcher with four decades of market experience spanning futures, commodities, and derivatives. That includes 25 years trading natural-gas futures and options, from the NYMEX floor through the move to electronic markets.
I construct each trading system end to end — from raw market data through feature engineering and modeling to execution design — on the premise that price changes are a stochastic process at every step.
Areas of focus
- Futures and commodities — energy markets, term structure, and the relationship between physical and financial markets.
- Derivatives — equity-index and single-stock options, implied volatility, skew, cost of carry and implied financing rates.
- Market microstructure and execution — limit-order-book state, liquidity, adverse selection, markouts, and the measurement required to design execution around those conditions.
- Quantitative research and modeling — causal feature engineering, sequence-based models, and reproducible out-of-sample evaluation.
Selected work
- Energy Security Dashboards — Oil and LNG Physical-Balance Measurement — source-governed dashboards tracking the Strait of Hormuz disruptions through crude oil, refined products and European gas/LNG, keeping observed and assumed values separate and letting unverifiable components abstain rather than guess.
- QIP — Adverse-Selection Markouts and Execution-State Measurement — an empirical study of short-horizon midpoint markouts following displacements of a limit-order-book fair-price estimator, and what they imply for execution risk.