Research Note·Draft Note·July 2026
One Trade to Move Them All
Optimal Price Impact for Minimal-Cost Execution
Develops a stylized cross-market execution model in which a required trade in an underlying asset changes the settlement distribution of a related digital claim before the digital market fully reprices. The note derives when a same-direction digital overlay can offset part of the incremental cost of concentrated execution, with the result governed by settlement-relevant impact, market segmentation, and digital-market depth.
Research Note·Research Note in Progress·June 2026
Structural Credit Model with Time-Varying Default Barriers
A Disclosure-Based Calibration
This note extends structural credit models by linking the shape of the default barrier to information from firms' 10-K maturity disclosures. Rather than treating the barrier as fixed or purely exogenous, the model allows it to reflect the underlying debt profile and rollover structure of the firm. The result is a more flexible framework for interpreting default risk and distance to default in a way that is closer to the firm's actual financing structure.
