Research
Research.
A new note every week on how a systematic strategy type works, why regime matters, and where it breaks. Longer white papers on portfolio construction and risk. Written for allocators and institutional desks. These are education, not recommendations.
Research notes.
Short notes on each strategy type and on the EVAR risk framework: how they work, why regime matters, and where they break.
EVAR
How Hedgehog conditions its risk estimates on the current market regime, in real time.
Stat arb
Prices that usually move together, and what happens when they stop.
Basis strategies
The spread between spot and perpetual futures prices in crypto, and why regime decides when it is worth holding.
Mean reversion
Prices that stretch away from normal, and when they come back.
Trend following
Prices that move persistently in one direction, and the systematic approach to capturing that movement.
Volatility harvesting
The volatility risk premium in options markets, and the systematic approach to capturing it while managing regime risk.
White papers.
Longer-form research on the systematic strategies, portfolio construction methodology, and risk frameworks underlying the Hedgehog platform. Released over the coming months. Subscribers receive each one as it is published.
Regime Detection in Digital Asset Markets
A cross-asset framework for identifying market regimes in crypto using volatility, correlation, and funding rate signals, with application to systematic strategy allocation.
The Perpetual Futures Basis: Microstructure and Capture
The structural drivers of the crypto perpetual futures basis, its persistence properties, and a systematic approach to extracting a risk-adjusted return from it across multiple venues.
Multi-Strategy Portfolio Construction Under EVAR Constraints
A framework for combining systematic strategies on a segregated account, with regime-conditioned allocation limits and EVAR-based position sizing across the full book.
Systematic Alpha in Digital Asset Markets: A Risk-Adjusted Survey
A review of systematic return sources in crypto — basis, momentum, mean reversion, and volatility risk premium — with a common framework for regime-conditioned sizing and comparison.
Volatility Risk Premia in Crypto Options
An empirical study of the implied versus realised volatility gap in BTC and ETH options on Deribit, with analysis of regime-conditional premium magnitude and tail risk.
A new research note goes out every week. Sign up to receive it, with the daily CIO update.