Home Markets News Equities Quantum Papers Microstructure About
Last close
Market data updates when available
Overview Research Areas Timeline Publications Contact
QM
Independent quantitative research — published with code

QuantMedia

Written and operated by Cemil Ertürk · market microstructure, portfolio construction and execution costs
11 research papers 2 daily proprietary indices Runnable code · 28 tests VPIN · HRP · PSR Not peer reviewed
Contact
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
A runnable VPIN estimator covering equal-volume bucketing, bulk volume classification and the tick rule, with 15 tests. The example dataset shipped with it is synthetic and generated from a fixed seed; QuantMedia does not license a tick or quote feed, so no result here is computed on real message data. Focus is on the statistical behaviour of the estimator itself.
VPINPython15 tests
🌑
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

Aug 2026
Reproducible implementations and proprietary indices published
Runnable VPIN and Hierarchical Risk Parity packages released with example data, expected output and 28 tests. Two original daily metrics published with formulas, JSON and non-backfilled history: the Signal Breadth Index and Sector Confluence Index.
Apr–Jun 2026
Data pipeline outage — detected, disclosed and repaired
The scheduled update job failed silently from 14 April and the automated schedule was disabled after 60 days of inactivity. The cause was a continuous-integration misconfiguration, not a data-source failure. The pipeline was rebuilt with per-source failure isolation, last-known-good preservation and a published freshness state at /data/status.json, so a future stall is visible rather than silent. Recorded here under the corrections policy.
Apr 2026
Signal methodology v2.0
The current confluence engine took effect on 14 April 2026: 30 technical signals scored across a fixed 180-name liquid US universe, with a 22-of-30 agreement threshold. Parameters are published in signal_config.json and the build fails when site copy stops matching them.
Jan–Mar 2026
Research library published
Eleven research papers covering order-flow toxicity, spread decomposition, portfolio construction, performance evaluation under multiple testing, and execution costs. Each carries primary references and an explicit limitations section.

Research Notes & Publications

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

QuantMedia is independently operated and unaffiliated with any fund, broker, exchange or data vendor. It currently earns no revenue; an advertising application is pending, and the editorial policy sets out what would and would not change if it were approved. All findings are provided for academic and heuristic purposes only, and do not constitute financial advice under any regulatory jurisdiction.