Informed trading: replicating the Information Factor
Rebuilding the INFO factor's insider leg from SEC EDGAR — no CRSP, no Compustat.
Next replication (placeholder)
Example of a gated entry — future replications may require a password or subscription.
Predicting Market Microstructure Signals Using Machine Learning
LSTM and gradient-boosting models applied to order-flow analysis and Transaction Cost Analysis.
Second working paper
In progress — placeholder for now.
First market note
In progress — placeholder for now.
Second market note
In progress — placeholder for now.
For peer-reviewed papers, see Publications →