Welcome!

My blog for all things math, finance, and data science. I’m always looking for interesting work, so feel free to contact me on social media or LinkedIn!

Trending Filtering using CVXPY

Fitting a Trend Filtering Model Using CVXPY

Ergodicity Breaking and the Coin Toss Game

Revealing the strangeness of ergodicity breaking with a simple game

Simulation of Stochastic Processes

Simulating Brownian Motion and two common stochastic processes.

Integer Programming for Daily Fantasy Sports

Using Integer Programming to find Daily Fantasy Sports lineups with the highest expected points.

Decomposing Volatility: Continuous and Jump Component

Illustrating how realized volatility can decomposed into a continuous and jump component, providing new modelling opportunities.

Exploring the Kelly Criterion: The Multi-Period Problem

Exploring how mean-variance methods and the Kelly Criterion compare in multi-period investments