My research interests include the following:

  • Predicting extreme values in markets and financial products.
  • Non-parametric Bayesian methods.
  • Point-process inference.

Software

I have built a R software package for fitting Dirichlet processes. You can download it within R using install.packages("dirichletprocess") or by visiting the CRAN page dirichletprocess. Any bugs, questions or help can be discussed on the github page.

I’ve also got a keen interest in sports modelling, looking at how we can predict the outcomes of various sports based on available data. Check out www.illiquidodds.com for more on this kind of work.