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1. as-market-maker as-market-maker Public

   Avellaneda-Stoikov 2008 optimal HFT market-making with Poisson + Hawkes fills, Monte Carlo and gamma sensitivity - Sharpe 17.4 vs baseline 7.5

   Python

2. convexity-lab convexity-lab Public

   Black-Scholes-Merton analytics: full Greeks (incl. Gamma convexity), Monte Carlo, IV solver, gamma surface

   Python 1

3. lob-engine lob-engine Public

   C++ limit order book with matching engine - 6M+ ops/s, FIFO time priority, O(1) cancel

   C++

4. mini-blas mini-blas Public

   Progressive SGEMM optimization in C++20 - naive to 909 GFLOPS on i9-13900K. AVX2 micro-kernel + cache blocking + OpenMP

   C++

5. ofi-signal ofi-signal Public

   Order Flow Imbalance from Cont-Kukanov-Stoikov 2014 - OFI vs TFI head-to-head shows R^2 3261x advantage. Companion to as-market-maker + almgren-chriss

   Python

6. raft-py raft-py Public

   Raft consensus algorithm in pure Python with simulated network, partition injection, and correctness test suite (Ongaro 2014, Fig 2)

   Python