Functional Volatility · Market Microstructure · Dynamic Modelling

Projects

Research and side projects at the intersection of statistics, execution, and market-making.

This page collects two kinds of work. The first is research: longer-running libraries built around a specific model or method, developed alongside papers and theses. The second is smaller tools, built to do one job in a data or trading pipeline.

Open any project for the full theory, code, and results behind it.

§ 01

Research Libraries

Larger, ongoing bodies of work — each one a package spanning theory, estimation, and reusable code.

Functional Volatility Surface Modelling Sep 2024 – present Functional GARCH and GAS-GARCH for intraday volatility surfaces · Python, numba Functional Scale Volatility Estimation Jan – Jun 2024 Bernstein-basis QMLE for functional GARCH, with Yicong Lin & Andre Lucas · Python, SAS Functional Stationarity Test 2024 A nonparametric stationarity test for multivariate diffusions · Python

§ 02

Tools & Utilities

Smaller, single-purpose builds — each one focused on doing one specific job well.

Tardis.dev Data Fetcher 2024 Command-line client for downloading historical crypto market data from Tardis.dev · Python Foreign Exchange Data 2025 Sandbox EUR/USD 2-minute OHLCV dataset with loading and plotting scripts · Python

More on GitHub. Work history, education, and skills are on the Resume page.