Our Thinking

The Science
of Alpha.

Deep dives into the intersection of mathematics, technology, and global markets. Perspectives from our researchers and engineers.

The Stochastic Properties of Limit Order Books

Featured 8 min read

The Stochastic Properties of Limit Order Books

How a limit order book clears. The historical store used for that reading is measured in petabytes.

Calvin D'Rozario

The Stochastic Properties of Limit Order Books

Dec 12, 2025 8 min read

The Stochastic Properties of Limit Order Books

How a limit order book clears. The historical store used for that reading is measured in petabytes.

Calvin D'Rozario

Oct 21, 2026 4 min read

The Incalculable Variable: Time, Legacy, and Year One at Rozario Global

A letter on a birthday, the firm’s first year, and one year since my grandmother’s passing. The variable we cannot backtest is time.

Calvin D'Rozario

Founder & Chief Investment Officer

What Does Not Belong on the Homepage

Oct 4, 2026 4 min read

What Does Not Belong on the Homepage

What kinds of claims do not belong on the homepage, even when a reader or a recruiting slide is tempted to put them there?

RGM Culture Team

Where to Start

Oct 3, 2026 4 min read

Where to Start

Where should a candidate start reading before applying, and which pages already answer the questions an interview should not have to repeat?

RGM Careers Team

How to Read a Trading Day

Oct 2, 2026 4 min read

How to Read a Trading Day

How should a reader walk through a single trading day, from the session that precedes the open to the official close, without treating the chart as the day?

RGM Markets Team

How to Read a Disclaimer

Oct 2, 2026 4 min read

How to Read a Disclaimer

How should a reader actually read a disclaimer, and which sentences in a market lesson does the disclaimer keep from becoming promises?

RGM Policy Team

How a Dataset Enters Research

Oct 1, 2026 4 min read

How a Dataset Enters Research

What path does a new dataset follow before a researcher is allowed to use it, and where does that path stop?

What “Fast” Means Before Anyone Quotes a Number

Oct 1, 2026 4 min read

What “Fast” Means Before Anyone Quotes a Number

What should the word fast mean in a market-data path before anyone is allowed to quote a number, and which questions come first?

RGM Engineering Team

How the Firm Describes Its Own Work

Sep 24, 2026 4 min read

How the Firm Describes Its Own Work

How should the firm describe its own work in public so the description stays inside education and review, rather than slipping into a promise?

RGM Culture Team

A Campus Conversation

Sep 20, 2026 4 min read

A Campus Conversation

What should a campus conversation about the firm contain, and how is it different from an interview and from a solicitation?

RGM Careers Team

The Website, the Portal, and the Legal Pages

Sep 16, 2026 4 min read

The Website, the Portal, and the Legal Pages

How do the public website, any gated portal, and the legal pages differ, and which one should a reader trust for terms?

RGM Policy Team

Market Data Is a Record of the Market

Sep 12, 2026 4 min read

Market Data Is a Record of the Market

In what sense is market data a record of the market rather than the market itself, and where does that distinction show up on a public tape?

RGM Markets Team

Reading a Quiet Failure

Sep 8, 2026 4 min read

Reading a Quiet Failure

How do you notice a failure that does not raise an alert, and what should a reader check when a market-data day looks too smooth?

RGM Engineering Team

This Quarter’s Filing Against the Last Eight

Sep 4, 2026 4 min read

This Quarter’s Filing Against the Last Eight

How should this quarter’s filing be read against the last eight filings, and which changes in language are just changes in a template?

Study as an Operating Habit

Aug 24, 2026 4 min read

Study as an Operating Habit

What does it mean to treat study as an operating habit rather than as a pause before the real work, and where does a public tape fit?

RGM Culture Team

Questions Worth Asking the Firm

Aug 20, 2026 4 min read

Questions Worth Asking the Firm

Which questions are worth asking the firm in an interview, and which questions ask the firm to break its own public standard?

RGM Careers Team

Speaking in Public Without Speaking for the Fund

Aug 16, 2026 4 min read

Speaking in Public Without Speaking for the Fund

How can someone discuss markets in public without appearing to speak for the fund or to solicit an investment?

RGM Policy Team

Correlation Is Not a Hedge

Aug 12, 2026 4 min read

Correlation Is Not a Hedge

Why is a historical correlation not the same thing as a hedge, and when does a familiar stock-bond relationship fail to play that role?

RGM Markets Team

Logging a Day So It Can Be Replayed

Aug 8, 2026 4 min read

Logging a Day So It Can Be Replayed

What has to be written down during a trading day so that the day can be replayed later and disagreements can be explained?

RGM Engineering Team

The Note a Language Model May Write

Aug 4, 2026 4 min read

The Note a Language Model May Write

What may a language model write in a research note, and which conclusions still have to be written by a person?

What “the Best Idea Wins” Requires

Jul 24, 2026 4 min read

What “the Best Idea Wins” Requires

What has to be true in the room before the sentence “the best idea wins” describes a method rather than a mood?

RGM Culture Team

Research, Engineering, and Data Are Different Crafts

Jul 20, 2026 4 min read

Research, Engineering, and Data Are Different Crafts

How do research, engineering, and data work differ as crafts, and why does an interview that blends them hide the job?

RGM Careers Team

Who May Promote a Model Change

Jul 16, 2026 4 min read

Who May Promote a Model Change

Who is allowed to describe a model change in public, and why is an internal research edit not a public performance claim?

RGM Policy Team

A Macro Print and the Open

Jul 12, 2026 4 min read

A Macro Print and the Open

What changes in a market around a scheduled macro release, and why is the open that follows a different session from the hour before?

RGM Markets Team

A Notebook and an Order Are Different Systems

Jul 8, 2026 4 min read

A Notebook and an Order Are Different Systems

Why is a research notebook a different system from the path that can send an order, and what must never cross by accident?

RGM Engineering Team

What Gets Thrown Out of a Dataset

Jul 4, 2026 4 min read

What Gets Thrown Out of a Dataset

Which rows get thrown out of a market dataset, and why does the discard rule belong in the study next to the rows that remain?

Write the Hypothesis Before the Test

Jun 24, 2026 4 min read

Write the Hypothesis Before the Test

Why must a hypothesis be written before the test is run, and how does a public index rule show the difference?

RGM Culture Team

What Changes Between Rounds

Jun 20, 2026 4 min read

What Changes Between Rounds

What is supposed to change between interview rounds, and what should stay the same from the first conversation to the last?

RGM Careers Team

Data Licenses and What Cannot Be Republished

Jun 16, 2026 4 min read

Data Licenses and What Cannot Be Republished

What does a market-data contract typically forbid a website from republishing, using a public equity tape as the example?

RGM Policy Team

Futures, Cash, and the Basis

Jun 12, 2026 4 min read

Futures, Cash, and the Basis

What is the basis between an equity index future and the cash index, and why do the two prices diverge without either one being wrong?

RGM Markets Team

Why Two Machines Must Agree on the Time

Jun 8, 2026 4 min read

Why Two Machines Must Agree on the Time

Why do two machines that touch the same market event have to agree on the time, and what does agreement actually require?

RGM Engineering Team

A Feature the Researcher Has to Accept

Jun 4, 2026 4 min read

A Feature the Researcher Has to Accept

What does it mean for a researcher to accept a feature, and why is a model score not a feature until that acceptance is written down?

Disagreement Is Part of the Method

May 24, 2026 4 min read

Disagreement Is Part of the Method

Why is explicit disagreement part of the research method, and what does a useful disagreement about a public market look like?

RGM Culture Team

A Week in the Summer Program

May 20, 2026 4 min read

A Week in the Summer Program

What does a week in the summer internship actually contain, and how does the work sit relative to the trading day in three offices?

RGM Careers Team

Education on a Page, and an Offer of Securities

May 16, 2026 4 min read

Education on a Page, and an Offer of Securities

How can a reader tell an educational market page from an offer of securities, using a basis explanation as the example?

RGM Policy Team

Why a Signal Dies

May 12, 2026 4 min read

Why a Signal Dies

Why does a market signal stop working even when the code has not changed, and which ordinary causes should be checked first?

RGM Markets Team

Where Hardware Belongs in a Market-Data Path

May 8, 2026 4 min read

Where Hardware Belongs in a Market-Data Path

Where does specialized hardware belong in a market-data path, and which jobs should stay in ordinary software?

RGM Engineering Team

When a Picture Becomes a Time Series

May 4, 2026 4 min read

When a Picture Becomes a Time Series

How does a satellite picture become a time series, and what has to be true before a parking-lot count is a usable feature?

Three Offices and One Trading Day

Apr 24, 2026 4 min read

Three Offices and One Trading Day

How do New York, London, and Hong Kong share one trading day, and what has to be written down so the handoff is a record rather than a mood?

RGM Culture Team

How a Resume Gets Read

Apr 20, 2026 4 min read

How a Resume Gets Read

How does a résumé actually get read for a research or engineering role, and which lines survive the first pass?

RGM Careers Team

Writing Down a Systematic Process

Apr 16, 2026 4 min read

Writing Down a Systematic Process

What does it mean to write down a systematic process, and which parts of a public-market study have to be on the page before the result is discussed?

RGM Policy Team

The Market Is Not One Distribution

Apr 12, 2026 4 min read

The Market Is Not One Distribution

Why is it a mistake to treat a market as one stable distribution, and how does a public volatility episode show the break?

RGM Markets Team

The Tests a Model Has to Survive

Apr 8, 2026 4 min read

The Tests a Model Has to Survive

Which tests does a model have to survive before it may leave research, and what does the Gauntlet refuse to treat as evidence?

RGM Engineering Team

One Company, Many Names

Apr 4, 2026 4 min read

One Company, Many Names

Why does one public company appear under many names and tickers, and how does that split a dataset if the names are not linked?

The Gauntlet, for Everyone Else

Mar 24, 2026 4 min read

The Gauntlet, for Everyone Else

What is the Gauntlet for people who will never write the model, and which questions should they still be able to ask?

RGM Culture Team

What Interns Are Trusted to Ship

Mar 20, 2026 4 min read

What Interns Are Trusted to Ship

What can an internship actually be trusted to ship, and which decisions stay outside the internship no matter the office?

RGM Careers Team

Personal Data Does Not Belong on a Research Desk

Mar 16, 2026 4 min read

Personal Data Does Not Belong on a Research Desk

Why does personal data stay off a research desk that studies public markets, and what should happen if a file mixes the two?

RGM Policy Team

What a Closing Auction Is For

Mar 12, 2026 4 min read

What a Closing Auction Is For

What is a closing auction for, and how does its single price differ from the continuous trading that precedes it?

RGM Markets Team

Kernel Bypass, Without the Folklore

Mar 8, 2026 4 min read

Kernel Bypass, Without the Folklore

What does kernel bypass actually change in the path that receives market data, once the folklore is set aside?

RGM Engineering Team

Earnings Calls Are Not News Articles

Mar 4, 2026 4 min read

Earnings Calls Are Not News Articles

How does an earnings call differ from a news article about the same quarter, and why should a text study keep them apart?

Why a Failing Model Is Removed

Feb 24, 2026 4 min read

Why a Failing Model Is Removed

Why is a model that fails its tests removed instead of being left in place as a cautionary souvenir?

RGM Culture Team

How to Prepare for a Quantitative Interview

Feb 20, 2026 4 min read

How to Prepare for a Quantitative Interview

How should a candidate prepare for a quantitative interview without treating puzzles as the job or a public market as a memorized trick?

RGM Careers Team

Research Code and Live Orders

Feb 16, 2026 4 min read

Research Code and Live Orders

Why must research code stay separate from any system that can send a live order, and what policy follows from that separation?

RGM Policy Team

Spread, Impact, and the Cost of Being Seen

Feb 12, 2026 4 min read

Spread, Impact, and the Cost of Being Seen

What do the spread and market impact cost a visible order, and why is being seen part of the cost?

RGM Markets Team

Replay the Day Before You Trust the Signal

Feb 8, 2026 4 min read

Replay the Day Before You Trust the Signal

Why should a signal be replayed through a recorded day before anyone trusts it, and what must the replay reproduce?

RGM Engineering Team

Point-in-Time Data: Why a Backtest Lies

Feb 4, 2026 4 min read

Point-in-Time Data: Why a Backtest Lies

Why does a backtest lie when a dataset is allowed to use facts that were not known on the day being simulated?

Peer Review, Written Down

Jan 24, 2026 4 min read

Peer Review, Written Down

What does written peer review require before a market study can be treated as more than its author’s enthusiasm?

RGM Culture Team

What an Engineering Interview Is Testing

Jan 20, 2026 4 min read

What an Engineering Interview Is Testing

What is an engineering interview at the firm actually testing, beyond fluency with a coding puzzle?

RGM Careers Team

What a Public Fund Website Is Allowed to Say

Jan 16, 2026 4 min read

What a Public Fund Website Is Allowed to Say

What kinds of sentences belong on a public fund website, and which sentences about markets should stay educational rather than promissory?

RGM Policy Team

How a Limit Order Book Clears

Jan 12, 2026 4 min read

How a Limit Order Book Clears

How does a public limit order book match a new order with resting orders, and what does the match not decide?

RGM Markets Team

What Happens to a Tick Before a Strategy Sees It

Jan 8, 2026 4 min read

What Happens to a Tick Before a Strategy Sees It

What happens to a market-data tick before any strategy is allowed to see it, and which steps can change the message?

RGM Engineering Team

Order Flow Imbalance, Explained

Jan 4, 2026 4 min read

Order Flow Imbalance, Explained

What is order flow imbalance, and which public prints should be signed as buys or sells before the number is used?

FPGA Acceleration on Similize®.

Dec 8, 2025 12 min read

FPGA Acceleration on Similize®.

Similize® is capable of FPGA execution at microsecond scale. The book sends orders in under 1 millisecond.

RGM Engineering Team

Alternative Data: Satellite Imagery Analysis

Dec 3, 2025 6 min read

Alternative Data: Satellite Imagery Analysis

Satellite imagery can sit with the tape. A researcher accepts the series before it becomes a feature.

The Role of NLP in Sentiment Analysis

Nov 28, 2025 9 min read

The Role of NLP in Sentiment Analysis

Decoding central bank minutes and earnings calls using transformer-based language models.

Stay ahead of the curve.

Subscribe to our newsletter for the latest insights on quantitative finance, machine learning, and global markets.

By subscribing, you agree to our Privacy Policy. You can unsubscribe at any time.