Research Pillar

Market Structure

Environments, not forecasts. This pillar focuses on whether a market environment permits systematic execution—before any discussion of signals, entries, or optimisation. Auctions, volatility identities, liquidity regimes, and regime transitions define where the engine is allowed to operate—and when it should stand aside.

Market Structure System Architecture Infrastructure & Integrity Governance & Discipline Global Markets

What this pillar covers

When an environment is structurally safe for systematic participation
How volatility behaviour changes across regimes (symmetry, persistence, elasticity)
Liquidity response and spread dynamics as execution-risk signals
Regime transitions that invalidate signal assumptions
Why selective inactivity is a valid system output

Core research programs

System Integrity

Integrity vs Performance

Program · Market Structure & Systems

Why engines are evaluated by behavioural consistency across regimes—not by headline returns. This program examines how volatility profiles, drawdown behaviour, and regime stability indicate whether outcomes were structurally earned.

Auction & Regime Analysis

Structure, not prediction

Program · Auction & regime analysis

Understanding markets through auction behaviour, not point forecasts. Research focuses on volatility symmetry, regime coherence, and how auction dynamics shift execution risk even when price trends persist.

Risk Framing

Downside-first entries

Program · Environment-gated entries

Designing entry logic around loss containment and hostile environment detection. This program explores how environment gating prevents structurally invalid executions rather than managing losses after the fact.

Research in Market Structure

3 months ago · 16 min read

System Integrity

System Integrity in Trading: Why It Matters More Than Performance

Every institutional trading operation faces a fundamental choice: optimise for headline returns, or build systems designed to survive. In systematic trading infrastructure, system integrity determines whether a strategy’s edge compounds over years or collapses during the first severe drawdown. Yet most performance metrics tell you almost nothing about a system’s structural soundness. This analysis examines why system...