I work across finance, financial engineering, quantitative finance, and data science, with a focus on derivatives, risk management, and portfolio management. My research spans the pricing, hedging, and market design of derivatives and event-linked instruments; risk measurement, margining, and risk-premia dynamics across assets and regimes; the evolution of factor premia and market structure; and portfolio construction and dynamic allocation informed by modern data-science and machine-learning methods.
ORCID: 0009-0000-2439-0566
Do the seat-by-seat prices on the 2026 midterms agree with the chamber-control contracts? In the Senate yes, in the House no.
Markets & asset pricingAdvisers & investorsResearchers & quantsJournalists
What do the funding rate and margin of a prediction-market perpetual become when the index is a conditional or a basket?
Markets & asset pricingAdvisers & investorsResearchers & quantsJournalists
Where do direct-indexing, long-short, put-write and factor sleeves belong across taxable and retirement accounts, and how large should they be?
Markets & asset pricingTax-aware investingAdvisers & investorsResearchers & quantsJournalistsCPAs & tax professionals
A tariff pays only when the terms-of-trade gain beats the deadweight loss and the other entries; in two centuries it rarely did.
Markets & asset pricingPolicy & regulatorsAdvisers & investorsResearchers & quantsJournalists
How fast a direct-indexing account's harvestable losses decay, and when the model calls for a reset of basis.
Markets & asset pricingTax-aware investingAdvisers & investorsResearchers & quantsJournalistsCPAs & tax professionals
How much of each published asset-pricing factor is signal versus construction noise, and in which test-asset universes.
Markets & asset pricingTax-aware investingAdvisers & investorsResearchers & quantsJournalists
How much of a low-basis stock can go into a Section 351 ETF seed, and what is the deferral worth?
Markets & asset pricingTax-aware investingPolicy & regulatorsAdvisers & investorsResearchers & quantsJournalistsCPAs & tax professionals
If tax-loss harvesting pays a dividend that grows with volatility, how much more risk should a taxable mean-variance investor hold?
Language models & AI policyMarkets & asset pricingTax-aware investingAdvisers & investorsResearchers & quantsJournalistsCPAs & tax professionals
Can a language model be trusted to decide tax-lot questions, or should it only transcribe trades for a rules engine?
Language models & AI policyTax-aware investingAdvisers & investorsJournalistsCPAs & tax professionals
Can a written constitution be put inside a model's training reward, and who pays to make every lab do it?
Language models & AI policyPolicy & regulatorsAdvisers & investorsJournalistsCPAs & tax professionals
How much does tax-rate uncertainty cost an investor who defers a capital gain, and when does deferral stop paying?
Markets & asset pricingTax-aware investingPolicy & regulatorsAdvisers & investorsResearchers & quantsJournalistsCPAs & tax professionals
How deep should a loss be before a single lot is harvested, once the wash-sale blackout is priced as a cost?
Markets & asset pricingTax-aware investingPolicy & regulatorsAdvisers & investorsResearchers & quantsJournalistsCPAs & tax professionals
Does correlation between names change how many dollars of loss a harvested portfolio produces? No. It changes only the spread.
Markets & asset pricingTax-aware investingAdvisers & investorsResearchers & quantsJournalistsCPAs & tax professionals
Can one taxable household get a calibrated interval for its direct-indexing tax benefit, in milliseconds, in place of an average?
Markets & asset pricingTax-aware investingAdvisers & investorsResearchers & quantsJournalistsCPAs & tax professionals
Is the real exchange rate the present value of expected productivity differences, and is the dollar's privilege earned?
Markets & asset pricingAdvisers & investorsResearchers & quantsJournalists
How much of a published factor series is measurement noise, and how does that depend on the test panel?
Markets & asset pricingAdvisers & investorsResearchers & quantsJournalists
Does the rise of passive investing compress value and quality premia at the same rate? The paper argues no.
Markets & asset pricingTax-aware investingAdvisers & investorsResearchers & quants
How would futures and options work when the underlying is a traded event probability?
Markets & asset pricingAdvisers & investorsJournalists
How much pre-tax alpha must an outside manager add before allocating beats running tax-aware mandates in-house?
Markets & asset pricingTax-aware investingAdvisers & investorsResearchers & quantsJournalistsCPAs & tax professionals
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