About me

Quant Researcher with experience in quantitative finance, machine learning and data engineering. I actively participate in the quantitative finance competition Numerai and other data science competitions on Kaggle. I also write blog posts about machine learning and finance.

Research Interests

I study machine learning methods for high-dimensional datasets, in the context of incremental/transfer learning between datasets with distributional shifts.

Examples include:

• Incremental learning for (temporal) tabular datasets
• Feature Engineering methods for time-series (Ex: Signature transforms)
• High Dimensional Regression problems (when p » N)
• Reinforcement learning for non-stationary problems (Ex: multi-armed bandits)
• Feature clustering with spatial-temporal models
• AutoML pipelines for temporal tabular and multi-variate time series datasets (Ex. THOR)