Research interests
- Nonparametric and Bayesian structural time series
- Agent-based modeling
- Mechanistic models of non-equilibrium systems
- Probabilistic programming
Description
Software
stsb3 Structural time series, round 3. Restriction and refinement
of stsb2 grammar and extension of modeling capabilities, deeply integrated with Pyro and pytorch.stsb2
Structural time series, round 2. Implements a grammar over structural time series models and an
associated modeling + inference library.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
Links
