WORKING PAPER · JEL C14, G12
Dynamic Convexity Traps & Regime-Switching Volatility in High-Rate Environments
A working framework for identifying regime transitions where implied liquidity diverges from realized liquidity, and why standard convexity hedges break precisely when they are needed most.
dS_t = μS_t dt + σ(R_t)S_t dW_t
Liquidity Fragmentation Across Sovereign Curve Arbitrage
5 min readSystematic Macro Strategy & Empirical Alpha Telemetry
Cumulative Simulated Alpha
Hover cursor across timeline for session-level basis point telemetry.
Figure 1.0: Realized vs. Synthetic Alpha spread across trailing rolling regimes. Hover crosshair for basis-point resolution.
VN-Index Alpha Spread+420 bpsvs. VN-Index benchmark
Max Drawdown Target< 3.8%rolling 12m cap
Sharpe Ratio2.41xVN-Index Beta: 0.38
OPINION & DISPATCHES
The Unlevered Life: Why Sourdough and Mechanical Watches Beat Financial Options
Astarter culture costs almost nothing to maintain and carries almost unbounded optionality in outcome. A loaf can be mediocre or transcendent, and the downside is a few dollars of flour.
ARCHITECTURE LOG (ADR-04)
Why Regime-Switching Volatility Was Chosen Over GARCH-Copula
Chosen Rationale: Tail-risk survival depends on regime boundaries, not interiors.Accepted Trade-off: Calibration is computationally heavier and sensitive to state-count hyperparameter specification.