Notes on markets,models and method.

Educational notes on the ideas that underpin quantitative trading. Each explains established research in plain terms and cites its sources; none reports Firth Quant trading results.

Library indexEducational

Notes: 04
Categories: 04
Citations: 17
Latest: 26 October 2026

Every note cites its sources

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Showing 04 of 04 notes

R.0009 min · 03 refs

Market Microstructure26 October 2026

Reading the Order Book: A Primer on Market Microstructure

Spread, depth, queue priority and order flow imbalance: the mechanics that shape short-horizon price formation, and why they matter for both prediction and trading cost.

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R.00010 min · 05 refs

Statistical Modeling26 October 2026

The Backtest Is Not the Strategy: Overfitting, Multiple Testing and the Deflated Sharpe Ratio

Why the best of many backtests is almost always too good, how large the bias can be, and the research practices that keep selection effects under control.

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R.0008 min · 04 refs

Trading Systems26 October 2026

Execution Cost and Market Impact: From the Square-Root Law to Optimal Scheduling

What it really costs to trade, why impact grows with the square root of size, and how optimal execution balances impact against risk.

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R.0008 min · 05 refs

Risk & Portfolio Research26 October 2026

Volatility Clusters: Why Risk Is Not Constant

Heavy tails, volatility clustering and the GARCH family: the stylised facts every risk model must respect, and what they imply for position sizing.

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