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.

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)

Volatility Forecasting

It was a rabbit hole that I accidentally got myself into.

• Blog Post:
  • Volatility Forecasts (Part 1 - ES vs STES Model)
  • Volatility Forecasts (Part 2 - XGBoost-STES)
  • Volatility Forecasts (Part 3 - Connection with Neural Network Models)
• Notebook: volatility-forecast
• WIP GitHub Repository: volatility-forecast

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

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

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)

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)