E
Six disciplines,one research process.
The research and engineering capabilities at the core of Firth Quant. Together they form a single pipeline from raw market data to monitored, risk-controlled execution.
These pages describe areas of research focus and internal capability. They do not describe services offered to third parties.
01
Quantitative Research
Statistical modelling and hypothesis-driven analysis of market data.
Every idea starts as a falsifiable hypothesis about market behaviour. We formalise it, measure it against clean historical data, and keep only what survives out-of-sample scrutiny and honest accounting for the number of ideas tested.
Capabilities
- 01.1Time-series and cross-sectional modelling
- 01.2Feature research on price, volume and order flow
- 01.3Multiple-testing aware evaluation
02
Algorithmic Trading
Rule-based systems designed around measurable market behaviour.
Trading logic is expressed as explicit, versioned rules rather than discretionary judgement. Each rule has a stated rationale, a measurable expected behaviour and a defined condition under which it is switched off.
Capabilities
- 02.1Deterministic, auditable decision logic
- 02.2Cost-aware signal translation
- 02.3Explicit kill conditions per model
03
High-Frequency & Microstructure Research
Order book dynamics, liquidity and short-horizon market signals.
At short horizons, prices are shaped by the mechanics of the order book: queue position, spread, depth and the flow of aggressive orders. We study these mechanics directly, because they determine both short-horizon predictability and the true cost of trading.
Capabilities
- 03.1Limit order book reconstruction
- 03.2Order flow imbalance and price impact
- 03.3Latency-sensitive event analysis
04
Systematic Strategy Development
Research, backtesting, validation and disciplined portfolio construction.
A signal is not a strategy. We combine signals under explicit risk budgets, model transaction costs before rather than after, and validate the whole pipeline with walk-forward testing designed to resist overfitting.
Capabilities
- 04.1Walk-forward and purged cross-validation
- 04.2Transaction-cost and capacity modelling
- 04.3Portfolio construction under constraints
05
Risk Engineering
Exposure measurement, scenario analysis and systematic controls.
Risk is treated as an engineering problem with hard limits enforced in code, not as an afterthought in a report. Exposure, concentration and drawdown limits sit between every model and every order.
Capabilities
- 05.1Pre-trade limit checks
- 05.2Stress and scenario analysis
- 05.3Independent, real-time exposure monitoring
06
Data & Infrastructure
Market data pipelines, research tooling and execution infrastructure.
Research quality is bounded by data quality. We invest in point-in-time correct datasets, reproducible research environments and infrastructure that behaves the same in simulation as it does in production.
Capabilities
- 06.1Point-in-time, versioned datasets
- 06.2Reproducible research environments
- 06.3Observability across the full stack
How the disciplines connect.
Market Data
Venue feeds · reference data
Normalise
Sequencing · clock alignment
Research Store
Point-in-time · versioned
Models
Signals · forecasts · sizing
Risk Gate
Pre-trade limits
Execution
Scheduling · routing
Venues
Order entry · fills
- Monitoring & independent risk services observe every stage
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Building the future through quantitative thinking.
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