Academic
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.
2 research2 projects2 code & tutorials2 lecture notes
Research 2
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
Projects 2
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