Mathematics and Economics

Research from my master's in financial economics at Columbia, machine-learning projects, small code libraries, and the lecture notes I kept through a math degree at Waterloo and PhD coursework at Columbia.

3 research3 projects2 code & tutorials2 lecture notes1 Portfolio Optimizer1 Intertemporal CAPM, Refreshed

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Portfolio Optimizer

Mean-Variance and Black-Litterman, in the Browser

My 2018 portfolio optimization library ported to the browser: pick an objective, set bounds and views on the Fama-French factors, a 12-asset policy portfolio, or six regional ETFs, and watch the efficient frontier move.

Intertemporal CAPM, Refreshed

Bad Beta, Good Beta, and Volatility News

My 2019 ICAPM essay rerun on public US data from 1929 to September 2026: cash-flow, discount-rate and volatility betas for size, value, momentum and carry.

Research 3

22 May 2019 Essay on Asset Returns with Intertemporal CAPMReplicating Campbell–Vuolteenaho and Campbell et al. on 1963–2018 data: cash-flow betas no longer separate value from growth, but news about market volatility does. 15 min 24 Sep 2018 The Role of Institutional Investors Prior to 1998Institutional ownership of US non-financial firms, 1980–1997: every type of institution avoids volatile stocks, and independent institutions show little sign of active monitoring. 5 min 6 Nov 2017 The Original Turtle Trading Rules: A Single-Market StudyTesting the Original Turtle Trading Rules on 73 futures markets from 1994 to June 2017: single markets are noisy, an equal-weight composite earns a 1.26 Sharpe, and the edge halved after 2005. 11 min

Projects 3

10 Oct 2018 Protein Secondary Structure PredictionA hybrid convolutional–recurrent model that predicts the eight-state secondary structure of each amino acid, with an interactive 3D viewer of its predictions. Interactive 24 Sep 2018 Multivariate Time Series Outlier DetectionFinding and classifying outliers in vector ARIMA models, with R code built on the MTS package. 6 min 22 Sep 2018 Variational AutoencoderThe Kingma–Welling VAE on MNIST and SVHN, and how the size of the latent space shapes what the model learns. 8 min

Code & Tutorials 2

1 Oct 2018 WRDS Data Access via the Python APISetting up a .pgpass file and running your first CRSP queries from Python. 1 min 27 Sep 2018 Portfolio Optimization LibraryA pip-installable Python library for mean-variance portfolios and the efficient frontier. 3 min

Lecture Notes 2

22 Sep 2018 University of Waterloo Lecture Notes and Actuarial Exam NotesNotes from a math degree, from algebra to option pricing, plus study notes for actuarial exams MFE, C, and S. 1 min 22 Sep 2018 Columbia PhD Course Notes in Finance and EconomicsLecture notes from PhD coursework at Columbia: finance theory, microeconomic theory, empirical asset pricing, market microstructure, and econometrics. 1 min