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1. Crypto-Stat-Arb Crypto-Stat-Arb Public

   Market-neutral crypto stat-arb: signed-graph clustering (SPONGE and 11 other methods) on a survivorship-free, ETH-relative universe from 2016 to 2025, with walk-forward backtests, cash-and-holdings…

   Jupyter Notebook 1

2. Temporary-Impact-Modeling Temporary-Impact-Modeling Public

   Market impact and optimal execution on Nasdaq order-level data: out-of-sample cost models for single orders, the square-root law across 108 S&P 500 stocks, displayed-book cost curves, and KKT and A…

   Python 2

3. Alpha-Factor-Mining-Framework Alpha-Factor-Mining-Framework Public

   LLM-driven evolutionary alpha factor mining on S&P 500 stocks (CRSP, 2000-2025): six search arms (five Claude, one genetic programming) against random formulas and Alpha101, with an 18-niche archiv…

   Python 4

4. lob-engine-cpp lob-engine-cpp Public

   Deterministic C++ market-by-order limit order book engine that matches the vendor's 10-level Nasdaq book cell for cell, used to price queue position and latency and to test a Hawkes queue-reactive …

   Python 1

5. option-volatility-pricing option-volatility-pricing Public

   Tests whether option, news, attention and macro data beat HAR at forecasting SPY realized volatility, with LSTM, boosted trees and LASSO, Diebold-Mariano, MCS and Holm tests, then trades the foreca…

   Jupyter Notebook 1 1

6. voo-constituent-sma-backtest voo-constituent-sma-backtest Public

   Point-in-time backtest of a 200-day moving-average rule on S&P 500 constituents, 1996-2024, on CRSP data: historical membership, delisting returns, next-open fills, spread costs, CRSP tape reconcil…

   Python 1