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1. optimal-trade-execution-rl optimal-trade-execution-rl Public

   Deep RL agent for optimal trade execution in crypto markets — PPO-LSTM and RL² meta-learning, evaluated against TWAP and VWAP on Bybit L2 data

   Python

2. orderbook-reconstruction orderbook-reconstruction Public

   C++ order book engine reconstructing NASDAQ L3 state from a raw event feed — 3.5x faster than std::map, with resync analysis against exchange ground truth

   C++

3. heston-calibration heston-calibration Public

   Heston stochastic volatility — characteristic-function pricing, differential evolution calibration, and Monte Carlo exotics with the Andersen QE scheme

   Python

4. microstructure-alpha microstructure-alpha Public

   Order book features from raw NASDAQ L3 data, and a validation framework measuring how much of a backtested edge is leakage

   Python