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QM
Independent Researcher — Market Microstructure

QuantMedia Research

Quantitative Infrastructure Engineer · HFT Research · Market Microstructure Analysis
NASDAQ / NYSE Arca C++ / Systems Programming VPIN · OBI · Hurst Equinix NY4/NY5 Kernel Bypass
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Overview
Research
Infrastructure

Lab Overview

QuantMedia is an independent quantitative research platform focused on the intersection of market microstructure theory and trading infrastructure engineering. The project focuses on reproducible, empirically grounded analysis of US equity market dynamics.

Research topics span the full stack — from low-level systems programming (NIC kernel bypass, NUMA-aware memory allocation) to statistical microstructure models such as VPIN, Order Book Imbalance (OBI), and Hurst Exponent estimation. Published papers include implementations and backtests using publicly available market data.

Infrastructure research references co-location architectures (Equinix NY4/NY5) and direct market access topologies as analytical subjects. Latency benchmarks discussed in research papers represent theoretical targets for the architectures studied, not operational claims about this website.

Research Areas

📊
Order Flow Toxicity
Development and backtesting of VPIN-based toxicity metrics on real-time NASDAQ ITCH 5.0 feeds. Focus on regime detection and latency-sensitive signal generation.
VPINITCH 5.0C++
🌑
Dark Pool Mechanics
Analysis of ATS/dark pool fragmentation, ping-order IOI strategies, and cross-venue mid-point adverse selection using co-integrated price processes.
ATSDark PoolsAdverse Selection
⚡
HFT Infrastructure
Kernel bypass networking (Solarflare OpenOnload), hugepage memory allocation, NUMA-aware data structure design, and RDTSC-based hardware timestamping.
OpenOnloadHugepagesNUMA
📐
Statistical Microstructure
Hurst Exponent estimation for long-range dependence in order flow, Order Book Imbalance (OBI) as a short-term price impact predictor, and Amihud illiquidity ratios.
HurstOBIAmihud

Research Timeline

2026
Dark Pool Fragmentation Study — ATS Cross-Venue Latency Arbitrage
Quantitative analysis of hidden liquidity discovery in US ATS venues. Implementation of cross-venue latency integral model for mid-point adverse selection measurement. Infrastructure deployed on Equinix NY4/NY5.
2025
VPIN Kernel Optimization — Sub-800 ns Processing Pipeline
Full redesign of tick data processing pipeline. Migration from standard Linux networking to OpenOnload kernel bypass. Latency reduction from ~12 µs to 740 ns P99 on NASDAQ ITCH data streams.
2024
Hurst Exponent & Long-Range Order Flow Dependence
Empirical study of H > 0.5 persistent order flow regimes in SPY and QQQ. Development of rolling R/S estimation with adaptive window sizing for real-time regime classification.
2023
QuantMedia Research — Founded
Initial focus on market microstructure theory and VPIN methodology. First co-location deployment at Equinix NY4. Core C++ infrastructure framework established.

Research Notes & Publications

Probability of Informed Trading (VPIN) and Flow Toxicity on NASDAQ
QuantMedia Research · 2026 · Research Note
VPINMarket MicrostructureNASDAQ
Fragmented Liquidity: The Mechanics of Dark Pool Discovery
QuantMedia Research · 2026 · Research Note
Dark PoolsATSAdverse Selection
Institutional Adverse Selection & Zero-Knowledge Telemetry Architecture
QuantMedia Research · 2025 · Technical Report
Adverse SelectionZK ArchitectureAES-256-GCM
HFT Infrastructure: Kernel Bypass, Hugepages & Sub-800 ns Latency Budget
QuantMedia Research · 2025 · Technical Report
OpenOnloadHugepagesLatency

Contact & Collaboration

QuantMedia is open to research collaboration with academic institutions, independent quantitative researchers, and technology partners working on market microstructure, low-latency systems, or statistical finance.

All research outputs are published on this portal. For collaboration inquiries, reach out via the contact page. The lab does not accept unsolicited trading strategy proposals or investment-related inquiries.

This research environment operates under an independent, non-commercial mandate. All findings are provided for academic and heuristic purposes only, and do not constitute financial advice under any regulatory jurisdiction.