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MeanyDeanyQuantitative Research Systems

MeanyDeany · Publication archive

Papers

The academic foundation of the research program: original work in financial econometrics and crypto-asset time-series diagnostics.

Archive
2 academic papers
Methods
EGARCH · GSADF
Scope
NQ · ES · Bitcoin
Format
Original PDF files

Academic work

Publication record

Each entry separates its summary, empirical scope, and methods from the actions used to read the paper or inspect its project context.

  1. 01

    MSc Economics thesis

    Volatility Regime Filtering in Futures Markets

    Studies whether daily EGARCH volatility regimes can serve as a risk and admissibility layer for an intraday NQ and ES futures framework. The volatility model is evaluated as conditioning context, not as a price-direction predictor.

    Market scope
    E-mini Nasdaq-100 (NQ) and E-mini S&P 500 (ES) intraday futures

    Methods

    EGARCH(1,1)Student-tAblationWalk-forwardBootstrap
    View PDFProject page

  2. 02

    Seminar paper

    Bitcoin Bubble Detection with GSADF

    Applies right-tailed explosive-root testing to examine periods of statistically explosive Bitcoin price behavior. The study is framed as a time-series diagnostic, not as market guidance or a trading rule.

    Market scope
    Bitcoin price dynamics

    Methods

    GSADFRight-tailed testsExplosive rootsTime series
    View PDFProject page