Sergei Sukhov
Founder & Lead Researcher, Market Microstructure Research Lab
Independent quantitative researcher working on drawdown-constrained capital allocation — how much risk a mandate can carry when part of the portfolio is illiquid or subject to structural constraints, and how to size positions and de-risk without violating that mandate.
We operate as a lean, research-first entity — maintaining objective transparency in our findings. Our goal is to transform complex mathematical theories into actionable insights for the quantitative allocation community. At the Lab, we believe that sustainable capital growth is not just about finding alpha; it is about the mathematical mastery of risk. Research is disseminated through working papers on SSRN and professional publications.