Biography
I am a physicist turned into a quant and computer scientist with a strong interdisciplinary mindset. I am interested in financial markets, machine learning, and data science, and my long-term goal is to study price dynamics in financial markets through the lens of deep learning and the analysis of big data.
I am currently working on price formation, efficient estimation of bid-ask spreads, asymptotic expansion formulas for diffusion processes, and explainable AI.
Among other things, I am the developer of COVID-19 Data Hub (Scientific Data), I have authored a classification algorithm inspired by Born’s rule (NeurIPS), and I maintain several R and Python packages including a package for high dimensional numerical and symbolic calculus in R (JSS).
For my contributions, I have received grants and awards from IVADO, the R Consortium, and Google Cloud.
