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Charles Grant Belford's Projects

crypto-perp-swap-mechanics icon crypto-perp-swap-mechanics

This paper provides an overview of the trading mechanics behind the BitMEX cryptocurrency perpetual swap product.

defi-impermanent-gain-modelling icon defi-impermanent-gain-modelling

nb. Original spreadsheet produced by B. Fried & posted on Twitter. I have just recreated the s/s results and added comments from the original paper (referenced in comment in cell K1) as part of a personal DeFi learning exercise. I provided some small assistance/feedback to the paper authors.

flint icon flint

A Time Series Library for Apache Spark

ipythonscripts icon ipythonscripts

Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Learning

market-microstructure-optimized-trade-execution-using-rl icon market-microstructure-optimized-trade-execution-using-rl

Based on GEN/ETH market microstructure LOB data, trades, objectives & constraints – recommend suitable algos which maximize pnl/minimize inventory losses within a fixed time horizon. The Reinforcement Learning (RL) method is chosen to help achieve optimized trade execution relative to given constraints.

mev-boost icon mev-boost

MEV-Boost allows Ethereum validators to source high-MEV blocks from a competitive builder marketplace

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