Algo Library for Order Flow Inference and TCA
Non-Markovian Zero Intelligence LOB model
Computational framework for Mean-Field Game-based optimal execution with latent market dynamics, endogenous price impact, posterior filtering, and heterogeneous agent equilibrium interactions.
End-to-end Python replication of 'The Value of Information: A Puzzle' (Kadan et. al, 2026). Estimates equilibrium dollar value of private information in US equity markets via discrete quadratic covariation of 1-min NYSE TAQ price changes & signed order flow. Implements CLNV trade signing, Amihud filtering, 2-way FE regressions, & SDF entropy bounds
Market microstructure analysis library for MQL5 (MT5). Tick/quote/book collectors, liquidity, order flow (CVD, VPIN), price impact (Kyle, Amihud, Hasbrouck, Almgren-Chriss), volatility (Parkinson, GK, YZ), trade classification, ACD duration, book resiliency, volume profile, information share.
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