Quantitative analytics, low-latency infrastructure and algorithmic automation for data-driven domains
My research centers on applying quantitative methods to massive, high-frequency datasets. This work extends into algorithmic automation and the low-latency infrastructures required to execute decisions in real time. I focus on the intersection of applied research and industry-academia cooperations, with particular interest in transfer and venture creation.
Selected publications & working papers
Peer-reviewed research papers and academic contributions exploring market microstructure, execution algorithms, and autonomous decision systems.
QAVCM: A Quantitative Aggregation and Analytics Platform for the Fragmented Voluntary Carbon Market
QAVCM addresses the structural fragmentation of the voluntary carbon market. The integrated analytics and execution platform harmonises certificate data drawn from over 1.2 billion data points spanning 11,599 projects, representing 1,093,056,213 tCO₂e of tradable credits and 2,944,950,676 t/year of reduction capacity. Machine learning estimates fair values and explainable AI using SHAP makes model outputs inspectable. A smart order routing layer compares connected venues and splits orders to minimise execution costs.
Executing Arbitrage at Scale: Empirical Evidence on Crypto Spot Market Efficiency
An assessment of proprietary live execution data generated by a commercial low-latency algorithmic decision and execution engine. In 2021 the underlying infrastructure executed more than 430,000 spot transactions on eight exchanges across 32 markets with a spot volume of more than 450m USD.
DePIN for Enhancing the Resilience of EWF Infrastructures: Systematization and Potential for the Federal state of Brandenburg
Critical infrastructures in the areas of energy, water and food (EWF) require new resilience concepts in the face of increasing global challenges. This article examines how decentralised physical infrastructure networks (DePIN) can contribute to increasing the resilience of EWF systems by combining blockchain, the Internet of Things and artificial intelligence, focusing on the Brandenburg region. The results show that DePIN approaches reduce single points of failure and enable a faster, autonomous response to disruptions, thereby sustainably improving regional security of supply.
Athena: Smart Order Routing on Centralized Crypto Exchanges Using a Unified Order Book
Most spot trading in digital assets occurs on centralized exchanges, where offers for buying and selling are organized via an order book. In liquid markets, the price achieved for buying and selling deviates only slightly from the assumed reference price, meaning trading is associated with low implicit costs. This paper describes the design and implementation of Athena, a system that automatically splits orders across multiple exchanges to minimize implicit costs, collecting and merging order books from several centralized crypto exchanges into an internal unified order book.
Short Paper: A Low-Latency System for Collecting Massive Crypto Option Tick Data from Deribit
As digital asset markets mature, options are gaining increasing importance. Deribit has emerged as the dominant exchange for crypto options, accounting for the majority of trading volume. To facilitate backtesting and market analysis, access to high-quality historical data is essential. This paper introduces a low-latency system for collecting massive volumes of tick data together with the best bid and best ask from Deribit, capturing every price change with precise timestamps to provide granular insights into market microstructure and trading dynamics.
Is Real Estate Tokenization the Killer Application?
This chapter shows how tokenization digitally depicts real assets such as real estate and makes them flexibly tradable. Security tokens in particular offer investors security and could establish themselves as a standard in the real estate industry. Tokenization makes real estate more mobile, liquid and accessible, lowers entry barriers for small investors and enables automated transactions with smart contracts.
A Low-Volatility Strategy Based on Hedging a Quanto Perpetual Swap on BitMEX
In 2016, BitMEX introduced a novel type of derivative — Perpetual Swaps, futures with an infinite term. Perpetual swaps provide a new strategic risk management tool for digital assets due to their custody-free nature, high leverage, and funding mechanism, but there has been little quantitative analysis of their benefits. This paper introduces a systematic strategy that combines a Quanto Perpetual Swap with a spot position to benefit from the funding mechanism.
Hephaistos: A Management System for Massive Order Book Data from Multiple Centralized Crypto Exchanges with an Internal Unified Order Book
This paper introduces Hephaistos, a system designed to collect, process, and unify order book data from 22 centralized exchanges and 55 currency pairs. Unlike tick data, which only shows the last transaction, order books provide a more accurate view of market prices and available volume. Hephaistos aggregates this data into a Unified Order Book, enabling a Smart Order Routing algorithm that splits orders across multiple exchanges to achieve better execution prices. The system captures around 32% of global daily spot trading volume, and tests show that the algorithm reduces slippage, making it effective for high-frequency trading.
Real Estate Tokenization in Germany: Market Analysis and Concept of a Regulatory and Technical Solution
Real estate is the largest asset class and is popular with both professional and retail investors. However, it suffers from illiquidity and high equity entry barriers. The 2021 adoption of the Electronic Securities Act by the German Bundestag established a legal framework for tokenizing real estate assets and their management via digital ledger technology in Germany. This paper outlines a business concept for managing ownership and transactions in German real estate using blockchain, and includes a market analysis of existing approaches and legal limitations specific to Germany.
Examining Liquidity of Exchanges and Assets and the Impact of External Events in Centralized Crypto Markets: A 2022 Study
Most cryptocurrencies are traded on centralized exchanges using order books. Liquidity, alongside trading fees, is a key factor in exchange choice. This study analyzes liquidity across nine order books (three pairs on three exchanges) over 2022, showing that higher market cap and trading volume lead to greater liquidity. Liquidity correlations between exchanges are moderate. External events like the FTX and Terra Luna crashes significantly impacted liquidity, with recovery time depending on exchange size and market cap.
OrderBookVis: A Visualization Approach for Comparing Order Books from Centralized Crypto Exchanges
Trading for a currency pair on centralized exchanges is organized via an order book that collects all open buy and sell orders and serves as the basis for price formation. While basic 2D visualizations are typically provided, they do not support comparing different order book snapshots. This work introduces OrderBookVis, a 2.5D visualization that displays multiple order book snapshots in sequence on a 2D reference plane. Use cases include analyzing the temporal evolution of an order book for a specific market and comparing different order books across multiple markets.
Research was conducted in association with Hasso Plattner Institute, University of Potsdam and XU Exponential University.
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