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.

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
  • discrete-shocklet-transform: qualitative, shape-based, timescale-independent time series similarity search algorithm

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.