BrianBanna

When does a 3 leg spread stop mean reverting, and how fast do you get out?

Trading 3 leg commodity baskets sized on Johansen cointegration and VECM half lives, cut by a 3 layer break detector, on a shared pricing engine with closed form solutions, Monte Carlo simulation and variance reduction.

How far above the fundamental stack does the day ahead price clear, and why?

Measuring the daily markup between EPEX day ahead auction prices and a fundamental merit order stack, with a monitor built on structural break tests, curve steepness metrics and a Q learning auction simulator. In collaboration with Axpo.

What does the market pay you to sell WTI variance, and what does an EIA print do to it?

Trading commodity (WTI) volatility: variance risk premium and EIA event volatility, OVX implied vs HAR realized forecasts, with a P&L decomposition splitting theta, gamma, vega and hedge friction across the same pricing engine.

When does carry pay in commodity futures, and when does it stop?

Built a commodity futures framework across 19 markets and 2.4M observations, with roll adjusted term structures, curve and momentum factors, and cost aware backtesting.

When do you cut risk before the index tells you to?

Built walk forward regime models (HMM, GARCH, GMM, Markov switching) on 20 years of market data, driving strategies at Sharpe 0.70 that cut drawdown from -55% to -27% versus SPY.

When German renewables flood the grid, which neighbouring market reprices first?

Built an interactive study of how German renewable surplus and negative day ahead prices transmit across 5 Central European power markets, on 301k hours of ENTSO-E data.

Built a real time ADS-B decoder and visualiser in Java, with optimised signal processing and live flight tracking.