#### Research interests

• Nonparametric and Bayesian structural time series
• Agent-based modeling
• Mechanistic models of non-equilibrium systems
• Probabilistic programming

#### 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