ramseshk
acf3a556ec
Regime-switching Avellaneda-Stoikov + Advanced Strategies research doc
Implemented regime detection in paper trader:
- Rolling 30-tick volatility classifies market as LOW_VOL/NORMAL/HIGH_VOL
- A-S fill probability adapts: 25% (low vol), 15% (normal), 8% (high vol)
- HIGH_VOL with spreads >$30: skip trading (adverse selection protection)
- Regime shown on dashboard header with color-coded badge
Added docs/ADVANCED_STRATEGIES.md — comprehensive research covering:
1. Deep Learning LOB Prediction (Transformers/TLOB)
2. Latency Arbitrage in Fragmented Markets
3. Hawkes Process OFI Modeling
4. Cross-Chain MEV Arbitrage
5. Institutional Capital Flow Arbitrage (ETF flows)
6. Hybrid Transformer + Hawkes Fusion
7. Implementation Roadmap (Phase 1-4)
All strategies referenced with papers from arXiv, SSRN, and empirical studies.