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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.
Parametric estimation of multivariate Hawkes processes with general kernels.
PPG (Point Process Generator) is a Reinforcement Learning framework that is able to produce actions by imitating expert sequences.
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
Python Package for simulation and estimation of Hawkes processes
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"
A novel framework for learning latent information diffusion mechanism in online discussion forum
"Hawkes Process Modeling of Adverse Drug Reactions with Longitudinal Observational Data" MLHC 2017
The official repository for Repurposing recidivism models for forecasting police officer use of force
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.
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