Research interests

  • Nonparametric and Bayesian structural time series
  • Agent-based modeling
  • Mechanistic models of non-equilibrium systems
  • Probabilistic programming

Personal statistics

Blog

From time to time I will write about things. I will list the things here.

Software

  • verdantcurve: agent-based market model created in collaboration with Colin Van Oort. This package contains
    • A heterogeneous and extensible set of algorithmic trading agents
    • A matching engine that implements a frequent batch auction, a new type of auction mechanism that greatly reduces the effectiveness of high-frequency trading strategies
    • A orderbook and multiple types of orders
    • A market construct to facilitate interaction between agents and the matching engine
  • discrete-shocklet-transform: qualitative, shape-based, timescale-independent time series similarity search algorithm