My research focus is cross-asset macro strategy: rates, FX, commodities, equity indices, volatility, and the macro transmission channels that connect them. The objective is to translate economic structure into tradeable hypotheses, test them with enough discipline to reject weak ideas, and write the result clearly.
Flagship Note
A Johansen-based mean-reversion study of Italian and German 2Y yields. The note covers the motivation, cointegration screen, ECM trading rule, backtest results, regime stability, and remaining limitations.
A cross-asset macro note on how a Hormuz-driven oil shock transmits into India’s current account, INR risk, and crude-sensitive downstream sectors.
Code
Short public Python samples are available on the Code page. They mirror the style of the private research stack without exposing private data or broker integrations.
Research Themes
Rates and inflation
Cointegration, error-correction models, Kalman hedge ratios, PCA common-factor residuals, and curve relationships across G3 government bond markets.
FX and external balances
Macro factor signals, walk-forward validation, dollar cycles, INR-linked transmission, and external-balance pressure.
Commodities and inflation transmission
Energy benchmarks, oil and gas supply chains, terms-of-trade shocks, and their pass-through into inflation and policy.
Equity indices and volatility
Index-options signals, volatility-regime filters, dealer gamma exposure, and expiry-pinning behaviour.
Method
The work is empirical, but not model-for-model’s-sake. A useful note should make the hypothesis clear, show what would falsify it, include transaction-cost and regime considerations where relevant, and separate live evidence from research evidence.