Thoughts on quantitative methods, market microstructure, game theory, and the ethics of economic design.
An in-depth exploration of applying attention-based architectures to financial time-series data. We examine how self-attention mechanisms naturally capture the multi-scale temporal dependencies present in order flow data, and develop a novel regime classification pipeline that outperforms traditional hidden Markov models on out-of-sample data.
Read article →Simulating heterogeneous agent economies under different distributive justice frameworks. Can we quantify the trade-off between aggregate welfare and the welfare of the worst-off?
Read article →Exploring the performance gains of compiling option pricing engines to WASM. We benchmark against pure JavaScript and examine the trade-offs for browser-based financial tooling.
Read article →Examining the gap between theoretical incentive compatibility and real-world auction outcomes. Collusion, budget constraints, and bounded rationality challenge mechanism design assumptions.
Read article →Implementing AlphaZero-style self-play with Monte Carlo Tree Search. From neural network architecture choices to training stability — lessons in computational game theory.
Read article →Demystifying the mathematical foundations of derivatives pricing. A concise, example-driven walkthrough of Itô calculus with applications to the Black-Scholes framework.
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