S-TIER skill
10 institutional quant projects — Avellaneda-Stoikov, Hawkes, HMM
100k ft — What is this?
10 institutional quant projects — Avellaneda-Stoikov, Hawkes, HMM
50k ft — Why care?
@heidioftheeast's deeper 10-project list: Avellaneda-Stoikov market maker, multivariate Hawkes order-flow, Almgren-Chriss cross-impact, eigenportfolios via random matrix theory, realized-kernel vol forecasting, meta-labeling, orthogonal alpha stacking, HMM regime detection, adversarial stress tests, capacity/impact scaling. Serious portfolio builder.
10k ft — Key takeaways
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5k ft — Tools & techniques
Meta
Almgren-Chriss, Avellaneda-Stoikov MM, Hawkes process, market making, regime detection
1k ft — Deep-dive / try it
1. Avellaneda–Stoikov Market Making Engine
✅ Calibrated order arrival intensity model (with MLE estimation report)
✅ Market-making backtest with inventory, P&L, and adverse selection breakdown
2. Hawkes Process for Order Flow Alpha
✅ Multivariate Hawkes estimator (fast MLE or EM implementation)
✅ Stability diagnostics (branching ratio, spectral radius)
3. Cross-Impact & Optimal Execution (Robert Almgren & Neil Chriss)
✅ Estimated impact matrix across assets
✅ Temporary + permanent impact calibration
4. Eigenportfolio Construction via Random Matrix Theory
✅ Empirical eigenvalue spectrum vs Marchenko–Pastur comparison
✅ Portfolio turnover analysis.
5. Intraday Volatility Forecasting via Realized Kernels
✅ Implement realized variance, two-scale RV, realized kernel
✅ HAR-RV forecasting mod…
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