Projects

The following is a list of my past and present projects. Each project consists of a title, a brief description, and a link to the project’s GitHub repository. I will be updating this list as I continue to work on new projects.

Projects marked with Work in Progress (WIP) are still in progress and may not be fully functional.

1 Signature Method

My study notes on the signature method

• Blog Post:
  • Signature Methods (Part 1 - Motivation)
  • Signature Methods (Part 2 - Signature and Augmentation)
  • Signature Methods (Part 3 - Lead–Lag Augmentation and Practical Limitations to the Signature Method)
  • Signature Methods in Volatility Forecasts

2 Volatility Forecasting

My work on volatility forecasting. How far can we go by extending simple exponential smoothing filter?

• Blog Post:
  • Volatility Forecasts (Part 1 - ES vs STES Model)
  • Volatility Forecasts (Part 2 - XGBoost-STES Algorithm 1)
  • Volatility Forecasts (Part 3 - XGBoost-STES Algorithm 2)
  • Signature Methods in Volatility Forecasts
• Research Code: volatility-forecast
• Research Library: volatility-forecast

3 Malaria Detection

My work on the Capstone Project for the certificate program Applied Data Science with MIT Professional Education.

• Blog Post:
  • Malaria Detection (Part 1: Introduction and Data Preparation)
  • Malaria Detection (Part 2: Model Building and Training)
  • Malaria Detection (Part 3: Results and Reflections)
  • Malaria Detection (Part 4: Finetuning VGG16 with LoRA)
• GitHub Repository: data-science

4 Short Rate Models

I have been planning on writing a series on some of the interesting short-rate models that I have encountered in the past. There are just so many models that it is impossible to cover them all. If you have any suggestions, please let me know!

• Blog Post:
  • Short Rate Models (Part 1: Introducing Merton’s Model)
  • Short Rate Models (Part 2: Simulating and Calibrating Merton’s Model)
  • Short Rate Models (Part 3: Introducing Vasicek Model)
  • Short Rate Models (Part 4: Simulating and Calibrating Vasicek Model)
  • WIP Short Rate Models (Part 5: Introduction to Affine Term-Structure Model)
  • WIP Short Rate Models (Part 6: Pinning Down the Risk Premium - Kim-Orphanides (2008))
  • WIP Short Rate Models (Part 7: How About Macro? Ang and Piazzesi (2003))
  • WIP Short Rate Models (Part 8: Short-Rate and Taylor Rule. Smith and Taylor (2008))
  • WIP Short Rate Models (Part 9: Local Momentum. Duan (2016))
• WIP GitHub Repository: short-rate-models

5 Nowcasting

My step-by-step guide to implement a nowcasting model (based on dynamic factor model framework) from scratch in Python.

• Blog Post:
  • WIP Roll Your Own Nowcasts (Part 1)

6 Teaching Kids Math

I have been teaching kids math ever since I have kids. I want to start writing down some of them and made them into videos if possible. I need a lot of help with the video part…

• Blog Post:
  • WIP Teaching Kids Math - Arcsin Law (Part 1: Examples)
  • WIP Teaching Kids Math - Arcsin Law (Part 2: Intuition)