Sub-microsecond bare-metal execution engine with deterministic replay, lock-free order path, and hardware-timestamped latency measurement.

Exchange-grade CLOB matching engine + microstructure analytics in C++20

WWW'2019: Modeling Item-Specific Temporal Dynamics of Repeat Consumption for Recommender Systems

WSDM'2021: Temporal Cross-Effects in Knowledge Tracing

Python and MATLAB code for Stein Variational sampling methods

MCMC Inference for a Hawkes process in Julia

A statistical learning toolkit for high-dimensional Hawkes processes in Python

This repository contains recent background materials, current works, and codes for researching in TPP.

PPG (Point Process Generator) is a Reinforcement Learning framework that is able to produce actions by imitating expert sequences.

Parametric estimation of multivariate Hawkes processes with general kernels.

package useful for likelihood-based inference

A collection of algorithmic trading strategies implemented in Python. Ideal for backtesting and refining trading ideas, this repository serves as a resource for quantitative traders and developers interest

Hawkes Processes

Python Package for simulation and estimation of Hawkes processes

Real-time adaptive market-making system using Hawkes processes + deep learning to predict order flow toxicity and avoid adverse selection. Avellaneda-Stoikov + MHLOBT neural network + LOBSTER L3 data.

Spatial analysis using Deep Spatio Temporal Point Process (DeepSTPP) updated with state-of-the-art mamba state space model, using spatiotemporal Hawkes Process, spatiotemporal self-correcting process, NJ COVID-19 and Japanese earthquake data.

Codes for "The European intraday electricity market: a modeling based on the Hawkes process"

Statistical volume anomaly detection for trade streams - Hawkes process, CUSUM, and Bayesian Online Changepoint Detection (BOCPD). Zero dependencies. TypeScript.

A novel framework for learning latent information diffusion mechanism in online discussion forum

Multivariate Hawkes process modeling for high-frequency limit order book (LOB) dynamics