Featured Research
A finance-specific research page centered on volatility forecasting, model selection, and entropy-based diagnostics.
When Does Volatility Model Selection Matter?
A large-scale empirical benchmark evaluating variance models across a broad cross-section of assets and market types. The research examines when model sophistication materially improves predictive accuracy, risk estimation, and decision relevance in practice.
- Entropy diagnostics for market structure versus randomness
- Walk-forward forecasting evaluation
- QLIKE-based model comparison
- Model Confidence Set procedures
- Cross-asset volatility benchmarking
- VaR backtesting and calibration diagnostics
Research Agenda
The site is focused on rigorous, transparent quantitative finance research with emphasis on model relevance, reproducibility, and cross-asset evidence.
Entropy Diagnostics in Financial Markets
Developing statistical indicators that distinguish structured market regimes from largely random ones, helping identify when active modeling may add value.
Volatility Forecasting & Model Selection
Systematic evaluation of variance models across asset classes, centered on predictive accuracy, robustness, and risk calibration.
Reproducible Financial Econometrics
Pre-registered specifications, walk-forward validation, open code, and transparent diagnostics to reduce selective reporting and improve credibility.
Code & Reproducibility
Open-source implementations, benchmark pipelines, and supporting materials for empirical finance research.
About
Independent research at the intersection of quantitative finance, computational complexity, and statistical modeling.
Olivier Saidi
Research interests include volatility forecasting, financial econometrics, model selection, large-scale empirical benchmarking, and information-theoretic diagnostics in financial markets.
Positioning
Based in Paris. This site serves as a dedicated finance research vertical, distinct from broader personal research pages and focused specifically on algorithmic finance and quantitative market structure.
Contact
For research collaboration, academic inquiries, or discussion of the work: