Skip to content
View Darson2004's full-sized avatar

Block or report Darson2004

Block user

Prevent this user from interacting with your repositories and sending you notifications. Learn more about blocking users.

You must be logged in to block users.

Content in all repositories owned by your account will be closed.
Maximum 250 characters. Please don’t include any personal information such as legal names or email addresses. Markdown is supported. This note will only be visible to you.
Report abuse

Contact GitHub support about this user’s behavior. Learn more about reporting abuse.

Report abuse
Darson2004/README.md

Darson Chen

M.S. Chemical Engineering at Northwestern (exp. Mar 2027). I do independent quantitative research on market microstructure, LLM-driven equity screening and prediction markets, and I build agentic AI development pipelines at work.

Most of my projects end with me proving my own first result was wrong: a leak, a cost, a bias or a bug. I publish that part too.

Research

Project What it is Headline
hidden-liquidity-microstructure Order-by-order book replay of 1,098 Databento MBO files; a from-scratch Hausman–Lo–MacKinlay ordered-choice model for hidden (iceberg) executions; streaming Hawkes / OFI / micro-price features feeding an XGBoost 5-second predictor OOS R² 0.016 (t = 225), 31× a Stoikov baseline, and untradable: 0.86¢ edge vs a 2¢ round trip
catalyst-runway Two-stage US equity screener: SEC EDGAR XBRL funnel, then an LLM deep-read of filings Backtest IC of +0.20 was leakage: an LLM re-identifies 65–80% of "anonymized" companies. Replaced with a SHA-256-sealed prospective test (48 names, graded 2027–29)
prediction-market-microstructure Kalshi ↔ Polymarket venue clients, fee models, tick recorders on a cloud VM, queue-aware MM backtest, shadow-mode quoter Taker arb is net-negative after fees (−1.39¢ mean); passive maker mark-outs +0.44¢ at 5 s over 98k fills; P&L leaks through inventory
kelly-event-vol Kelly sizing engine and a pre-earnings straddle backtest on real OPRA quotes, with measured fill costs One rule survives costs: +6.39%/trade net (n = 193, t = 2.65), 5 of 6 years. The same trade in small caps is −17.3% net
preregistered-exploration A research protocol designed to say no: hashed evaluator, append-only trial log, adversarial audit, sealed one-shot validation 74 logged trials across 3 questions; 0 cross-sectional tests survive BH-FDR; the audit's corrections are recorded, not quietly fixed

Other projects

  • fantasy-draft-optimizer: lookahead drafting against a computable opponent model, season and injury Monte Carlo, and a projection calibration study. Wins 16.2% of held-out leagues vs a 10% luck baseline (+8.0 SE).
  • mamba-earnings-intraday: an early (2025) Mamba state-space model for post-earnings intraday trading. It failed, and why it failed is what sent me to order-book data.

How I validate

Temporal hold-outs with hard cutoffs · fee and fill-cost models measured from real prints · look-ahead and de-anonymization audits for LLM components · multiple-testing correction (BH-FDR, effective test counts) · pre-registration with content hashes · shadow mode before anything trades.

Stack

Python (NumPy, SciPy, pandas, XGBoost, PyTorch) · SQL (Oracle PL/SQL, MSSQL) · TypeScript/React · C#/.NET · Databento, SEC EDGAR, Kalshi/Polymarket APIs · LLM agents (Anthropic API)

Contact

LinkedIn · darsonchen2026@u.northwestern.edu

Popular repositories Loading

  1. mamba-earnings-intraday mamba-earnings-intraday Public

    Early (2025) Mamba state-space model for post-earnings intraday trading, built on MambaStock, with an honest post-mortem of why it failed.

    Python

  2. hidden-liquidity-microstructure hidden-liquidity-microstructure Public

    Order-by-order book replay of Databento MBO data: a from-scratch HLM ordered-choice model for iceberg executions, Hawkes/OFI features, an XGBoost 5-second predictor, and a cost model showing why it…

    Python

  3. catalyst-runway catalyst-runway Public

    LLM + SEC EDGAR equity screener. A leakage audit shows LLM backtests leak hindsight (65-80% of anonymized firms re-identified), so it is replaced by a SHA-256-sealed prospective test.

    Python

  4. prediction-market-microstructure prediction-market-microstructure Public

    Kalshi <-> Polymarket research toolkit: venue clients, fee models, tick recorders, queue-aware market-making backtest, shadow-mode quoter. Taker arb dies on fees; maker spread capture survives.

    Python

  5. kelly-event-vol kelly-event-vol Public

    Kelly sizing engine and a pre-earnings straddle backtest on OPRA quotes with measured fill costs; one rule survives costs (+6.4%/trade net, t=2.65).

    Python

  6. preregistered-exploration preregistered-exploration Public

    A research protocol designed to say no: hashed evaluator, append-only trial log, adversarial audit, sealed one-shot validation. Applied to three 2026 semiconductor-drawdown questions.

    Python