My research interests include the following:
- Predicting extreme values in markets and financial products.
- Non-parametric Bayesian methods.
- Point-process inference.
I have built a R software package for fitting Dirichlet processes. You
can download it within R using
or by visiting the CRAN page
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.