Apr 2026 – Jun 2026PUBLIC · LIVE DEMO
Real-Time Market Data & Market Making Engine
Built a live Binance market-making simulator with microprice fair value, FIFO queue-aware paper fills, adverse-selection markouts and inventory-risk controls.
- Implemented 5 quote modes and volatility-aware position controls.
- Measured paper-fill markouts at 1s, 5s and 10s horizons.
- Tracked live P&L without sending real orders.
Mar 2024 – Jun 2024PRIVATE · LIVE OPERATOR
Funding-Rate Carry Framework – Bybit Spot/Perp
Built a delta-neutral funding-carry framework across 5 spot/perpetual pairs.
- Entered long-perp/short-spot positions on funding z-score thresholds.
- Gated position sizing with order-book depth.
- Backtested 1 year of second-level L1/L2 data with fees, funding settlements and slippage.
- Sold the framework to an independent operator who runs it live.
May 2026 – Jun 2026PUBLIC RESEARCH
Multi-Scale Lead-Lag in High-Frequency Markets
Estimated cross-venue price discovery on asynchronous tick data with Hayashi-Yoshida covariance and wavelet decomposition.
- Processed a 12.6M-observation BTC core sample.
- Identified stable Binance-to-Kraken price discovery from ~50 ms to ~1.95 s.
Mar 2026 – Jun 2026~20,000 TEAMS
IMC Trading – Prosperity 4
Round 1 – #77 worldwide, #1 in France · Final – #514 worldwide, #17 in France
- Built Python backtesting, diagnostics and signal-analysis tools across 6 competition rounds.
- Researched market-making, cross-product relative value and volatility-driven strategies across up to 50 products.
Apr 2026PUBLIC · C++17
Event-Driven Trading Simulator (C++17)
Built an event-driven trading simulator for order-book reconstruction, strategy execution and post-trade analysis.
- Implemented a limit order book with FIFO matching.
- Enforced position limits and real-time P&L accounting.
- Produced execution analytics and CSV reports.
Feb 2024 – Jun 2024EPF CAPSTONE
Avellaneda–Stoikov Market Making Framework
Co-led a 6-person team building an Avellaneda–Stoikov framework with volatility-adaptive spreads and inventory controls.
- Backtested more than 10M trades.
- Studied execution-aware adverse selection.
- Implemented inventory and P&L stability controls.
Feb 2026 – May 2026PUBLIC · LIVE DEMO
Market Data & Paper Trading API
Normalized Binance Futures and OKX perpetual feeds behind FastAPI REST and WebSocket endpoints.
- Built asynchronous ingestion across 2 venues with monitored reconnection.
- Secured paper accounts with JWT and SQLite persistence.
- Implemented market, limit and IOC workflows.
Mar 2026 – May 2026PUBLIC RESEARCH
Volatility Timing for Short-Volatility Carry
Filtered latent realized volatility with a Heston state-space model and Unscented Kalman Filter.
- Traded the implied-versus-filtered-realized spread on 2 underlyings: SPY and AAPL.
- Backtested strangles with rolling recalibration and out-of-sample evaluation.
Feb 2026 – Apr 2026QRT DATA CHALLENGE
Financial Allocation Performance Prediction
Built a leakage-safe panel time-series pipeline on 527,073 observations of returns, signed volumes and liquidity variables.
- Benchmarked 4 model families with chronological validation.
- Selected LightGBM at 52.39% validation accuracy and attributed predictions with feature importance and SHAP.
Mar 2026 – May 2026RESEARCH & ENGINEERING
Structured Products Pricing Engine
Built a Python pricing and risk engine across 3 product families: fixed income, vanilla/exotic derivatives and structured products.
- Priced barriers, autocalls and reverse convertibles.
- Implemented 3 model families: Nelson–Siegel, Heston and SABR.
- Aggregated portfolio P&L, Greeks and risk.
Mar 2026PUBLIC · LIVE DEMO
Monte Carlo Option Pricing Engine
Built a modular pricer for 2 exercise styles: European and American vanilla options.
- Implemented Longstaff–Schwartz regression.
- Reduced variance and estimated common-random-number Greeks.
- Validated confidence intervals and numerical convergence.
Nov 2025 – Feb 2026PUBLIC · C#
Multi-Asset Basket Option Pricing Engine
Implemented 2 pricing methods for multi-asset basket options: analytical moment matching and correlated Monte Carlo.
- Modeled full correlation through Cholesky path generation.
- Reduced variance and audited convergence.
- Integrated configurable market inputs.
7 PUBLIC CASE STUDIESRESEARCH HUB
Quantitative Research Hub
Detailed evidence across price discovery, execution, systematic trading, volatility, funding carry, machine learning and econometrics.
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