This is my personal github, usually used for job applications and general work.
Repos may be sporadically updated, as I proceed forward with one of my many pastime projects.
You can also find my quant-related portfolio here
Core building blocks for systematic trading — research → portfolio construction → execution.
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Foundational Quantitative Research — (Start here)
Research notes and papers outlining a layered systematic trading framework (signals → portfolio construction → execution/risk), with extensions to market-making and broader financial primitives (insurance, banking). -
Market States & Regimes — (market-states)
HMM/HSMM-style regime labeling, change-point / structural-break detection, volatility clustering, transition probabilities, regime-conditioned features. -
Alpha Research & Backtesting — (backtest-engine)
Signal library + walk-forward validation, portfolio-level simulation, transaction cost + turnover constraints, performance attribution & experiment tracking. -
Portfolio Construction & Risk — (portfolio-risk)
Covariance/risk models (EWMA/shrinkage), vol targeting, factor exposures, VaR/CVaR, stress & scenario analysis, leverage/liquidity/concentration constraints. -
Execution & Microstructure Simulation — (execution-sim)
Slippage/spread/impact models, participation logic, order simulation, and robustness checks bridging research ↔ production.
Each repository is modular, documented, and includes reproducible examples (notebooks/scripts) plus tests.
Side experiments that sharpen my intuition for complex systems — physics, markets, and populations.
- N-Body Astrophysics — gravitational multi-body simulations (stability, orbits, emergent structure)
- Particle Streams — interacting particle flows; noise, clustering, boundary effects
- Virtual Economies — auction-house microstructure experiments in World of Warcraft and New World (liquidity, information asymmetry, price impact)
- Population Dynamics — agent-based models (wealth/skill/luck, resource constraints, epidemic SIR-style dynamics)
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