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xmootoo/README.md

Welcome 👋🏼

I'm Xavier, a published machine learning researcher and mathematician, now focused on quantitative finance. My research focuses on machine learning methods for time series analysis, most recently on conformal prediction for uncertainty quantification, with work featured at NeurIPS and other several top-tier journals.

For more info, visit my website at: xaviermootoo.com.

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  1. OpTrade OpTrade Public

    A complete toolkit for quantitative research and development of options trading strategies.

    Python 15 2

  2. worstof-options worstof-options Public

    A custom Monte Carlo pricing engine for European-style worst-of basket options using control variate variance reduction.

    Jupyter Notebook 2

  3. conformal-fama-french conformal-fama-french Public

    Conformal time series forecasting of daily returns for the S&P 500 using Fama-French factors.

    Python 2

  4. sss-official sss-official Public

    A framework for variable-length time series classification (VSTC) with local signal interpretability.

    Python 4

  5. ssl-seizure-detection ssl-seizure-detection Public

    Self-supervised learning with graph neural network backbones for seizure detection in iEEG data.

    Jupyter Notebook 11 1

  6. patchtstblind patchtstblind Public

    A blind reproduction of PatchTST model for time series forecasting.

    Python 5 1