Systems
High-Performance C++ Orderbook
A production-grade order matching engine in modern C++20: price-time priority matching, multiple order types, and thread-safe concurrent operations.
C++20MultithreadingOrder Matching
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Web apps, data tools and practice aids. Mostly things I wanted to exist.
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Systems
A production-grade order matching engine in modern C++20: price-time priority matching, multiple order types, and thread-safe concurrent operations.
Data & ML
ARIMA and XGBoost models forecasting Italian energy load and solar generation from historical time series data, compared on RMSE, MAE and R².
Systems
A multi-threaded C++17 engine pricing options under five stochastic models (GBM, Heston, Merton, CIR, multi-asset) with variance reduction and a full VaR/CVaR risk suite. ~130M paths/sec on 8 cores.