research.morphiqlabs.com
Working papers and engineering write-ups from the teams behind the Ferro suite, MorphIQ Quant, and Anvil. Market microstructure, volatility modeling, regime detection, and the runtime underneath.
Most trading systems are tested the way most software is tested: feed an input, assert an output, hope the parts you did not assert on behaved. That works until the part you did not assert on is wall-clock time, or it…
An implied-volatility surface is a deceptively small object: a function from log-moneyness and maturity to a single number. The trouble is that not every such function corresponds to a market. A surface that prices a …
"The market changed" is the kind of statement that is obviously true and almost useless. Changed how fast? Changed in the minute-scale chop, or in the multi-day trend? A single rolling volatility number cannot tell yo…