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Overview

Kalman Pairs Research

What changes when a hedge ratio is estimated as observations arrive rather than held fixed?

My role: Independent researcher and developer
Contribution: Implemented the adaptive estimator, position accounting, historical selection procedure, and numerical checks.

Python / NumPy / pandas / Kalman filtering / Historical evaluation

Research / Quant / Software2026 – present

Research software for studying how displayed liquidity changes between observation and a later arrival horizon.

Research in progressPrivate implementation

Python / Market microstructure / Event replay / Statistical evaluation

Quant / Software2026

Black–Scholes, binomial-tree and Monte Carlo option pricing in C++20.

Maintained softwarePublic project

C++20 / CMake / Black–Scholes / CRR

Quant / Research / Software2026 · historical study

Kalman hedge-ratio estimation and historical evaluation for two ETF pairs.

Completed studyPrivate implementation

Python / NumPy / pandas / Kalman filtering

Quant / Research / Software2026

Seeded Brownian-path simulations with terminal mean and variance checks.

Learning exercisePublic project

Python / NumPy / Matplotlib / Jupyter