A brief overview of things I'm building and exploring.
// projects
MSGARCH
Markov Switching GARCH models with time-varying transition distributions on high-frequency equity returns. MSc thesis in Quantitative Finance.
GitHub
—
Thesis (pdf)
lrp-rnn
Layer-wise relevance propagation applied to deep recurrent neural networks for interpretable factor-model predictions. MSc project in Computational Science.
GitHub
side projects
Usually something in a new programming language — mostly centred around financial markets and systems.
// currently
trading systems
Integrating and improving front office trading systems at Swiss financial institutions.