Welcome!

This website describes my research and professional work in systematic investment strategies and quantitative modeling. It includes selected publications and archived research code. 

My work focuses on the design of systematic and statistical arbitrage strategies based on relative pricing models at short- to medium-term trading horizons. I develop models to estimate fair values, generate predictive alpha signals, and identify cross-asset inconsistencies. I translate these into implementable trading decisions that account for signal decay, transaction costs, and portfolio interactions using machine learning and large-scale datasets. I lead research teams building scalable systematic strategies for institutional investors across equities, futures/macro, event-driven, and multi-strategy portfolios. These strategies operate in regimes where execution and portfolio construction are integral to alpha realization, rather than downstream implementation steps.

Thank you,

Ludger