Blog & Articles

Deep dives, technical tutorials, and personal reflections on software engineering, architecture, and photography.

#Quant Research#State-Space#Kalman Filter#Time-Series

Tracking Time-Varying Beta & Latent States with Kalman Filters

Why static linear regressions fail in non-stationary macroeconomic environments, and how recursive Bayesian state-space models adapt to structural shifts.

October 18, 20247 min read

#Systematic Trading#Backtesting#Factor Research#Statistics

Mitigating Backtest Overfitting: Multiple Testing & Walk-Forward Validation

A quantitative framework for preventing data snooping, adjusting for False Discovery Rates (FDR), and building robust execution simulators.

September 24, 20248 min read

#Data Engineering#DuckDB#Spark#Python#High Performance

Scaling Financial Panel Data: DuckDB, Apache Spark, and Out-of-Core Processing

Engineering data pipelines that process 20+ years of panel data across 50M+ facilities without exhausting memory limits.

August 12, 20246 min read