About
Research interests
- Nonparametric and bayesian structural time series
- Agent-based modeling
- Mechanistic models of non-equilibrium systems
- Monte Carlo methods and evolutionary algorithms
Personal statistics
Husband. Father. Lead data scientist at MassMutual. Affiliate research scientist at Vermont Complex Systems Center. Former trombonist, for what it is worth.
Here is a photo of me. It is five years old but I have not changed much.
Blog
From time to time I will write about things. I will list the things here.
- Theoretical data science background I: functional optimization First post in a (maybe) multipost series of theoreetical background for data scince. Here lie Euler-Lagrange equations, the general supervised learning problem, and time series smoothing.
- Perturbing correlation matrices: on what we can do when we are presented with a correlation matrix and not with the data that generated it
- Continuum rich-get-richer dynamics and survival theory: on the non-obvious connection between the kernel function of a rich-get-richer process and the hazard function of a random variable.
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
Links
Disclaimer
No statement expressed on this website should be construed as reflectng the official position or opinion of any of my employers, the U.S. federal government, or the Massachusetts state government.