lituuslabs

financial innovation via mathematical research

Development, implementation and application of cutting edge quantitative finance methodologies.

The intricacies and inherent interconnected nature of modern financial markets lead to the emergence of a wide set of complex phenomena, hard to grasp and make sense of by use of traditional tools and theories in classical mathematical finance. At lituuslabs we seek to approach this complexity head on rather than shy away from it. We believe that there's ample opportunity in employing an empirical, data-focused approach to quantitative financial research and quantitative algorithmic trading. Not unlike other mathematically heavy directions, we believe and aim to apply a scientific approach to areas such as alpha identification, signal extraction, risk assessment and others. Our team currently consists of experts in diverse fields of applied and abstract mathematics such as topological data analysis, big data, signals processing on graphs and lattices, graph neural networks, information theoretic learning. Looking for a lab-like work environment? Drop us a line info [at] lituuslabs [dot] com

Current research directions

H-extendible copulas

Topological analysis of copula trees. Tail effects, non-linearity, complex dynamics in risk structures.

Non-Gaussian statistical arbitrage

Particle and information filters applied to the estimation of spreads and relations in non-Gaussian, noisy environments.

Topological Data Analysis

Software/hardware scaling of Rips filtration, etc. Data-in-noise applications to big data. Development of robust manifold learning techniques.

Reading of interest

Jean-Philippe Bouchaud

Econophysics: still fringe after 30 years?
JP Bouchaud
Europhysics News, 50 1 (2019) 24-27
DOI: https://doi.org/10.1051/epn/2019103
https://arxiv.org/abs/1901.03691

Marian Gidea

Topological data analysis of financial time series: Landscapes of crashes
Marian Gidea
Physica A: Statistical Mechanics and its Applications, 491 2 (2018) 820-834
DOI: https://doi.org/10.1016/j.physa.2017.09.028
https://arxiv.org/abs/1703.04385