- Nonparametric and Bayesian structural time series
- Agent-based modeling
- Mechanistic models of non-equilibrium systems
- Probabilistic programming
stsb3 Structural time series, round 3. Restriction and refinement
stsb2 grammar and extension of modeling capabilities, deeply integrated with Pyro and pytorch.
Structural time series, round 2. Implements a grammar over structural time series models and an
associated modeling + inference library.
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
qualitative, shape-based, timescale-independent time series similarity search algorithm