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)
R
C++
lrp-rnn
Layer-wise relevance propagation applied to deep recurrent neural networks for interpretable factor-model predictions. MSc project in Computational Science.
GitHub
Python
TensorFlow/Keras
// currently
OpenOms
Currently, I'm building an open-source order management/routing system to streamline the process of routing orders to different retail brokers/providers.
GitHub
Rust
marketbox
Airflow DAGs for automated daily ingestion of options chain data, building a structured pipeline for options market data.
GitHub
Python
Airflow