Research interests
- Nonparametric and Bayesian structural time series
- Agent-based modeling
- Mechanistic models of non-equilibrium systems
- Probabilistic programming
Description
Software
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
