Hi there 👋

I'm Derek, a professor at NYU, teaching Machine Learning in Financial Engineering, and the founder of Sov.ai.

• Previously a researcher at University of Cambridge, Oxford University, and the Alan Turing Institute.
• Developing applications to optimize asset management and alpha discovery for large quantitative funds.

Jan 09 - Quant Letter: January 2024, Week-2 Jan 03 - Quant Letter: January 2024, Week-1 Dec 20 - Quant Letter: December 2023, Week-3

👥 Researcher at the @alan-turing-institute 📓 Associate member @oxford-man-institute 🧭 Founder of the @firmai open-source project. 👥 Curator for ML-Quant resources. 🦌 GitStars rank of 658 from 104,530,383.

Since joining Github, I pushed 11783 commits, opened 232 issues, received 22475 stars across 68 personal projects and contributed to 57 public repositories.

Packages

Everything listed here is available under Unlicense

My research has been used by large institutional banks and quantitative hedge funds (see SSRN).

• DeltaPy (12,409 Downloads) — First tabular data augmentation package in Python (market data) [code][report]
• PandaPy (21,163 Downloads) — Pandas alternative that mimics ‘Structs’ in the C Language (market data) [code][report]
• AtsPy (53,147 Downloads) — First automated time series package in Python (alternative data) [code][report]
• DataGene (4,246 Downloads) — First package assessing dataset similarity (market data) [code][report]
• MLAM (35,409 Downloads) — First repository for machine learning in asset management (market data) [code][report]

Other packages under this license include MTSS-GAN [code][report], the first multivariate conditional time series generator, FairPut [code][report], a FAIR package using LightGBM, and PandasVault [code], an advanced Pandas repository.

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