Execution research platform: Maslov LOB simulator, HMM/KMeans regime detection, VWAP/POV scheduling, and a paired-significance harness with shuffled-label negative controls. Finds no measurable benefit from regime conditioning on this data.
python hmm time-series trading quantitative-finance hidden-markov-model algorithmic-trading limit-order-book financial-markets backtesting market-microstructure vwap execution-algorithms implementation-shortfall regime-detection
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Updated
Aug 9, 2026 - Python