I write open source R packages for trading, finance, and optimization. You can help me contribute to the community by sponsoring me on GitHub.
I love working on the hardest problems. My home is *nix and the command line. I enjoy the challenge of doing root-cause analysis on complex, distributed systems. I use an evidence-based approach to troubleshooting: I evaluate how available information might suggest behavior, then validate or disprove. I believe software engineering is all about communication.
I love uncovering relationships in data. More importantly, I work to understand the data generating process that creates the relationships, and I look for second-order effects of those relationships. Then I'm able synthesize complex relationships into a coherent story for non-technical audience, with an emphasis on business impact.
I'm interested in market microstructure, order management and execution, asset allocation, portfolio optimization, algorithmic trading systems, interest rate models, and high-performance computing.