Skip to content
Merged
Changes from all commits
Commits
File filter

Filter by extension

Filter by extension

Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
20 changes: 13 additions & 7 deletions README.md
Original file line number Diff line number Diff line change
Expand Up @@ -2,7 +2,9 @@

[![License: AGPL v3](https://img.shields.io/badge/License-AGPL%20v3-blue.svg)](https://www.gnu.org/licenses/agpl-3.0)
[![Python 3.10+](https://img.shields.io/badge/python-3.10+-blue.svg)](https://www.python.org/downloads/)
[![Paper 1](https://img.shields.io/badge/Paper%201-arXiv%3A2512.17923-b31b1b.svg)](https://arxiv.org/abs/2512.17923)
[![Paper 1](https://img.shields.io/badge/Paper%201-IEEE%20BigData%202025-success.svg)](https://arxiv.org/abs/2512.17923)
[![Paper 2 (AIAI)](https://img.shields.io/badge/Paper%202-AIAI%202026%20Accepted-success.svg)](docs/papers/paper2/aiai/)
[![Paper 2 (JRFM)](https://img.shields.io/badge/Paper%202-JRFM%20Under%20Review-yellow.svg)](docs/papers/jrfm/)
[![Research](https://img.shields.io/badge/Research-PhD%20Dissertation-purple.svg)](docs/papers/research_roadmap.md)

[![PostgreSQL](https://img.shields.io/badge/Database-PostgreSQL%2018.1-336791.svg)](https://www.postgresql.org/)
Expand Down Expand Up @@ -68,8 +70,8 @@ Stable detection (68–74% quarterly) persists while economic profitability coll

- **Core finding**: 2023→2024 structural shift driven by 0DTE adoption
- **Status**: ✅ Accepted at AIAI 2026 (camera-ready May 2026) · 🔄 Under review at JRFM (MDPI)
- **Formats**: [AIAI/Springer LNCS](docs/papers/paper2/aiai/), [JFQA/Cambridge](docs/papers/paper2/jfqa/)
- **LaTeX**: [`docs/papers/paper2/`](docs/papers/paper2/)
- **Formats**: [AIAI/Springer LNCS](docs/papers/paper2/aiai/), [JRFM/MDPI](docs/papers/jrfm/)
- **LaTeX**: [`docs/papers/paper2/`](docs/papers/paper2/) (AIAI), [`docs/papers/jrfm/`](docs/papers/jrfm/) (JRFM)

### Future Directions

Expand All @@ -81,7 +83,7 @@ Research extensions not pursued within this repository (cross-asset generalizati

### Obfuscation Testing

```
```text
Raw: SPY, 2024-03-15: Net GEX: -$32.9B, Flip: $485.00
Obfuscated: Day T+0, INDEX_1: Net GEX: -$32.9B, Flip: $485.00
```
Expand All @@ -91,6 +93,7 @@ Remove dates, tickers, events → preserve only quantitative structure → force
### WHO → WHOM → WHAT Causal Framework

Every detection must specify:

- **WHO**: The constrained actor (e.g., dealers with negative gamma)
- **WHOM**: The affected parties (e.g., directional traders)
- **WHAT**: The forced mechanism (e.g., pro-cyclical hedging amplifying volatility)
Expand All @@ -100,30 +103,33 @@ Every detection must specify:
| Criterion | Threshold | Purpose |
|-----------|-----------|---------|
| Persistence | ≥ 70% days same sign | Exceeds random binomial (~2.2σ) |
| Magnitude | ≥ $5B average |GEX| | Economically significant positioning |
| Magnitude | ≥ $5B average \|GEX\| | Economically significant positioning |
| Stability | ≤ 5 sign flips | Sustained directional bias |

---

## Infrastructure

### Database

- **PostgreSQL 18.1**: 81.8M contracts, 50 symbols, 2020–2025 (20.58 GB)
- **Intraday snapshots**: Yearly-partitioned table, 21 snapshots/day

### Data Sources

- **Alpha Vantage Premium**: Historical options chains (1000 calls/min)
- **Polygon.io**: Stock price data (free tier)

### LLM

- **OpenAI o4-mini**: Reasoning model via Batch API
- **Cost**: $11.07 for all 2,221 evaluations

---

## Project Structure

```
```text
gex-llm-patterns/
├── src/
│ ├── agents/ # LLM market mechanics agent
Expand Down Expand Up @@ -191,6 +197,6 @@ GNU Affero General Public License v3.0 — see [LICENSE](LICENSE).

---

**Last Updated**: March 2026
**Last Updated**: April 2026
**Contact**: Christopher Regan (`cregan1@kennesaw.edu`) · Ying Xie (`yxie2@kennesaw.edu`)
**Institution**: Kennesaw State University, College of Computing and Software Engineering
Loading