Posts
Latest writing from QUARCC.
Causal Macro-Financial Stress Indices, Cross-Sectional Stress Betas, and Regime Conditioning in quarcc-risk-regime
Nov 2, 2026
How QUARCC constructs 15 strictly causal monthly market-trend, volatility, credit, sentiment, and margin-debt indicators in Rust, estimates orthogonalised stock-level stress betas, and separates deterministic reproduction from in-sample overlay diagnostics.
fastopt: Structure-Exploiting Factor-Risk Quadratic Programming for One-Shot and Ladder Portfolio Construction
Nov 2, 2026
How keeping factor covariance factored inside a Mehrotra predictor-corrector Woodbury kernel cuts 1,000-name portfolio QP solve times to 14.8-25.3 ms and accelerates Forkfiam E0-E3 ladders by 3.0x.
Fork-FIAM (v4b): Encompassing-LASSO, Biweekly Fast-Signal Refresh, and Asymmetric-Risk Portfolio Construction
Nov 2, 2026
How QUARCC's market-neutral US equity strategy builds on the empirical asset-pricing, econometrics, and market-microstructure literature—from two-stage Encompassing-LASSO and mid-month fast-feature refreshes to asymmetric semivariance QPs and 5-day execution ladders.