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. PhD candidate at uvm. Former trombonist, for what it is worth.

Here is a photo of me. It is five years old but I have not changed much.

a photo of me

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