Bayesian Game Theory Engine

Financial markets are fundamentally games of asymmetric information. I implemented an intraday options price prediction and adverse-selection engine based on the Easley-O’Hara-Srinivas sequential Bayesian game, tracking real-time posteriors for the probability of informed trading from raw order flow.

Minimax Pricing Heuristics

To handle volatility uncertainty, I engineered a robust options pricer using a minimax heuristic over volatility regimes [σmin, σmax]. By framing regime uncertainty as a zero-sum game against Nature, the system calculates robust superhedging price bounds.

Order-Flow Toxicity Integration

The pricing logic does not operate in a vacuum. I integrated real-time order-flow toxicity indicators—including Order Flow Imbalance (OFI) and Volume-Synchronized Probability of Informed Trading (VPIN)—to proactively filter out option mispricings before committing to execution.