Some of my work
- Microprediction. Building an Open AI Network. MIT Press page. Available in the usual places like Amazon. Reviews, audio etc here.
- An Analytic Approach to Ornstein-Uhlenbeck Processes with Fluctuating Parameters and Applications in the Modeling of Fixed Income Securities (PhD thesis) pdf
- Inferring Relative Ability From Winning Probability in Multi-Entrant Contests pdf journal
- Stochastic Volatility Corrections for Interest Rate Models pdf
- Contraction of an Adapted Funtional Calculus pdf
- Self-Organizing Supply Chains for Microprediction: Present and Future uses of the ROAR Protocol pdf
- Stop Shy of the First Down, in Sports Analytics book pdf
- Derivatives in Financial Markets with Stochastic Volatility amazon.
- Schur Complementary Portfolios (sorry can't be here per journal rules but see blog)
- Trading Illiquid Goods: Market Making as a Sequence of Sealed-Bid Auctions, with Analytic Results pdf
- A Scalable Algorithm for Subset Selection and Rank Probabilities in Contests and Latent Variable Choice Models pdf
- Addressing the Herd Immunity Paradox Using Symmetry, Convexity Adjustments and Bond Prices pdf
- Go Forth! Simple Detection of Incomplete Meta-Learning by Algorithms Performing Limited Exploration on a Rugged Landscape pdf
- Luce's Choice Axiom Isn't the Only Choice! Combinatorial Contest and Rank Probabilities Using the Python Winning Package pdf
- Repeat Contacts and the Spread of Disease pdf
- A Platform for Assessing and Combining Autonomous Short-Horizon Distributions Predictions pdf
More at github/microprediction. About 500,000 downloads / yr.
- timemachines Continuously evaluated, functional, incremental, time-series forecasting.
- precise Online covariance and portfolios.
- humpday Elo ratings for global black-box derivative-free optimizers.
- winning Fast, scalable inference of relative ability from winning probabilities.
- muid Memorable unique identifiers explained at muid.org.
- Microprediction client and server.
- Time Series Elo Ratings site
- Optimizer Elo Ratings site
- Free microprediction API at microprediction.org explained at microprediction.com
- gptprobe - Self-referential uses of LLMs for data extraction.
- embarrassingly - A speculative approach to robust optimization.
- pandemic - Ornstein-Uhlenbeck epidemic simulation
- firstdown - The repo that aspires to ruin the great game of football.
- copula plots and causality plots driven by microprediction.org
- Who Ya Gonna Call? A Solution to the Horse Race Problem with Application to Over-The-Counter Markets pdf
- Trading Illiquid Goods pdf
- Filtering Bond and Credit Default Swap Markets pdf
- The Traveling Algorithm Problem: A Modicum of Mathematics for Microscopic Middlemen pdf
- Barbell Bond Portfolios. What Do They Accidentally Optimize? pdf
- On the Relationship Between Golf and Trading pdf
More at microprediction.com/blog, financialmathematics.com, medium@microprediction
- The Options Market Beat 94% of Participants in the M6 Competition blog
- A New Family of Diffeomorphisms from the Simple to the Cube - With Application to Global Optimization blog
- Remind me Again Why Large Language Models Can't Think blog
- ChatGPT's Moneyball Moment and the Future of Empirical Research blog
- The Global Financial Crisis Should Have Been Caught by the Compiler blog
- Modeling the Term Structure of a Pandemic with Negative Interest Rates blog
- How to Win Football Games by Avoiding First Downs blog
- Why Liberals Should be Terrified Right Now. How a Trump Bump Can Sneak Past the Prediction Models blog
- A Coherent Exacta Model for the Kentucky Derby blog
- A game played on an Ornstein-Uhlenbeck bridge blog
- A Fundamental Theorem for Epidemiology blog
- Is Facebook's Prophet the Time-Series Messiah, or Just a Very Naughty Boy? blog
- Fast Robust Optimization Using Impure Objective Functions blog
- The Lottery Paradox blog
- Collective Distributional Prediction blog
- Analog Time Series Models blog
- Time Series Anomaly Definition blog
- How to Enter a Cryptocurrency Copula Contest blog
- Where will a Badminton Player Move to Next, and How Should We Judge Predictions of the Same? blog
- The Signal and the Nate. How the Longshot Effect Informs Assessment of Election Forecasts blog
- Some special cases of the Lambert W function blog
- Sensitivities of a Kalman Filter estimate with respect to all past observations blog
- An Empirical Article That Wasn't Immediately Stale blog
- The Only Univariate Prediction Function You'll Ever Need blog
- Comparing Python Global Optimization Packages blog
- HumpDay: A Package to Help You Choose a Python Global Optimizer blog
- Popular Python Time Series Packages blog
- Are Monads Really Monads? Maybe(Some(R)) blog
- Reward is Enough for Collective Artificial Intelligence blog
- Fast Python Time Series Prediction blog
- If This Crazy Experiment Works, it Might Shake up Fund Management blog
- Optimizing a Portfolio of Models blog
- The Horse Race Problem: A Subspace Solution blog
- Quasi-random sampling subject to linear and moment constraints blog
- Valuing CSOs Under Exchangeable Recovery Using Only Matrix Calculations blog
- When a Bar-Bell Bond Portfolio Optimizes Modified Excess Return blog
- So You Recommended a Python Time-Series Package, Now What? blog
- System and Method for Providing Data Science as a Service justia
- System and Method for Secure Causality Discovery justia
- System and Method for Analyzing Financial Models with Probabilistic Networks pdf
- Fixed Income Securities Market Data Display pdf
- Rapid Simulation of Correlated Defaults and the Valuation of Basket Default Swaps google
- System and Method for Pricing Default Insurance pdf
- Liquidity Based Metric and Index for Low Liquidity Securities pdf
- Intelligent simulation analysis methods and system justia
Just some provocations.
- Code packaging is a stale concept.
- ChatGPT and trade friction
- Quant finance beats machine learning in the M6.
- Reinforcement learning needs specialization
- It is trivial to improve conformal prediction
- Machine learning metrics have a financial interpretation
- How do you extend decision making beyond one mind, algorithm or software system?
- Markets are better than modes for short horizon prediction
- Will data science by Hayek'd by nano-noodling nymphs?
- Your "towards data scientists" are making unstable predictions
- No time-series paper can every be called SOTA again
- Your in-house data science team is great but...
- It's crunch time for data science
- Is Claude Shannon the true creator of the Kelly criterion?
- What is Kullback-Liebler divergence, really?
- On Bobby Fischer and Temporal Differences
- On Dunning-Kruger and Towards Data Science
(Very incomplete sorry, just started tracking)
- Let's talk AI interview podcast or YouTube about my data science experiences.
- Lokad interview on M6, markets v. models.
- Chapter 1 of Microprediction: Building an Open AI Network here.
- A Quick Introduciton to a Working Microprediction Oracle Montreal Python Meetup. Starts at 1:20:00 in.