Research interests

  • 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 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