Recent Posts

• Reinforcement Learning for Continuous-Time Optimal Execution
  Dec 2023
  Slides from a lecture I gave for a reading group at Columbia on stochastic control and reinforcement learning
• Hawkes Processes and Time Clustering in Finance
  Jun 2023
  Brief discussion on Hawkes processes, a class of self-exciting point processes
• Separation Capacity of Randomly Initialized Deep Neural Networks.
  May 2023
  Technical report written for EECS 6699: Mathematics of Deep Learning, with Harold Haodong Miao, Weitao Zhu
• Trading in the Limit Order Book with CNN-LSTM
  Jul 2022
  Using deep learning to extract order flow information from the limit order book and forecast directional moves