Daru Finance — Research Notes — Est. 2024
Quantitative research on systematic strategies, market microstructure, and the boundaries of statistical edge.
Independent research notes by Daniel V. Gatto. We publish reproducible empirical work — what works, what doesn’t, and where the edge actually lives.
Public output to date
Currently published
All articlesMonte Carlo Filter Evaluation in Walk-Forward Strategy Selection
A reproducibility-first investigation into Monte Carlo filtering as a robustness signal across 30 asset/timeframe combinations. Python, Rust, R cross-verified.
Read the paperEdge is in the Process
Across 23M+ strategy-windows in the firm's full 30-asset corpus, no individual strategy carries durable edge. The same pool, evaluated through Daru Finance's proprietary robustness filter, produces portfolios that clear institutional-grade hurdles in strong regimes.
Read the articleEleven open-source models
Reference implementations of the firm's M-models — random matrix theory, Higher Criticism + knockoffs, topological data analysis, tail-EVT — with explainers, demos, and code.
Browse the labThe author
Daniel V. Gatto
- Independent researcher
- Economic Sciences candidate, UNIP
- Quantitative Systems Consultant (NDA)
Daru Finance is the public output of one researcher. The work here is what gets done after-hours, in code, with receipts.
I write systematic-trading research with a strong reproducibility bias — Python for analysis, Rust for compute, R for verification. My current work focuses on the statistical structure of strategy populations: random-matrix bounds on correlation eigenspectra, Higher-Criticism + knockoffs for FDR-controlled selection, topological indicators for cluster stability, and extreme-value theory for tail co-movement. The throughline is that the unit of analysis is the population, not the individual strategy.
Read the full bioLab — sneak peek
Methods, demonstrated
Eigenspectrum of the strategy correlation matrix
Marchenko–Pastur and parallel-analysis eigenspectrum of strategy correlation matrices. Reference implementation of the firm's M/01 model.
strategy-rmtM/02Sparse signal detection with FDR control
Higher Criticism plus Model-X knockoffs for FDR-controlled strategy selection. Reference implementation of the firm's M/02 model.
hc-knockoffsM/03Persistence barcodes on strategy structure
H0 persistence barcode under correlation-distance Vietoris–Rips on strategy populations. Reference implementation of the firm's M/03 model.
strategy-tdaM/04Peaks-over-threshold and pairwise tail-coupling
Peaks-over-threshold GPD fits and pairwise tail-coupling χ on cross-asset returns. Reference implementation of the firm's M/04 model.
tail-evtGet in touch
Replications, corrections, methodological questions.
Daru Finance does not take consulting work — my NDA is exclusive on the commercial side. Academic correspondence is always welcome.