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

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

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

⚡ Execute trades with unmatched speed using this ultra-low latency engine designed for algorithmic trading, ensuring nanosecond precision and reliability.