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1. Market-Making-Simulator Market-Making-Simulator Public

   Avellaneda-Stoikov market-making simulator: fill intensity that decays with quote distance, an inventory-linked reservation price that cannot cross the quotes, and PnL that decomposes exactly into …

   Python

2. dex-dislocation-monitor dex-dislocation-monitor Public

   Read-only monitor of cross-DEX price dislocation: USDC.e/WAVAX on Trader Joe V1 vs Pangolin (Avalanche C-Chain). Measures execution-price gaps after fees, impact and gas, not an arbitrage bot.

   Rust

3. Cpp-Black-Scholes-Pricer Cpp-Black-Scholes-Pricer Public

   High-performance C++17 Black-Scholes engine for European options and Greeks, featuring CMake integration, unit tests, and performance benchmarking.

   C++

4. Cpp-Limit-Order-Book Cpp-Limit-Order-Book Public

   High-performance Limit Order Book (LOB) implementation in C++17. Features O(1) order lookup, Price-Time priority matching, and memory-optimized data structures for low-latency simulation.

   C++

5. yield-curve-pca yield-curve-pca Public

   Principal component analysis of the US Treasury yield curve, eigendecomposition written from scratch in numpy. Covers the level/slope/curvature factors, a walk-forward three-factor hedge, and why P…

   Python

6. dissertation_eslsca dissertation_eslsca Public

   MBA dissertation: can reinforcement learning reduce implementation shortfall? PPO and DQN against TWAP, VWAP and Almgren-Chriss in a literature-calibrated multi-venue simulator, with Newey-West HAC…

   Python