Algorithm to decompose realised variance into continuous and jump components using high-frequency intra-day logarithmic returns. Optimized for speed with computationally intensive parts written as C-extensions.
Rust soft port of @LaurieWired Tailslayer
⚡ High-performance Zoneless Angular 20 real-time processing dashboard. Features dynamic RxJS buffering, WebSockets with automated JWT refresh, watchdog & virtual scrolling.
GARCH estimation with BFGS
High-frequency option order book reconstruction from CBOE PITCH data.
This technical report details the architecture and mathematical foundation of a quantitative market-making engine based on the stochastic optimal control framework proposed by Avellaneda and Stoikov (2008). The system dynamically computes optimal bid and ask quotes by balancing expected spread capture, inventory risk and etc
High-frequency market-making research system implementing the Avellaneda-Stoikov framework with dynamic spread adjustment based on real-time volatility and inventory risk. Features a low-latency core, kill switch, and real-time inventory/PnL visualization.
This repository contains the R code for the empirical study presented in the article "Nonparametric estimation for trawl processes: Theory and Applications" by Orimar Sauri (Aalborg University) and Almut Veraart (Imperial College London).
Structural trading research mapping synthetic market engines, actor behavior, spike ignition, timing sync, liquidation flow, and candle microstructure. Built from spatiotemporal pattern recognition, dynamic systems perception, and microstructure intuition.
Temporal Graph Centralities in Financial Risk and Network Dynamics: Quantifying node influence in time-evolving networks via numerical linear algebra. Features standard and novel temporal centralities optimized with GMRES and stochastic trace estimation (XTrace). Applied to high-frequency S&P 100 and Binance cryptocurrency correlation graphs.
HFT-Simulator is an educational Limit Order Book (LOB) + Matching Engine simulator focused on correctly modeling high-frequency trading logic and dynamics.It is not a production system, not connected to any real exchange, and not nanosecond-accurate.
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