I am the Director of Operations at The Bornhoft Group. Building on a life-long fascination with systematic solutions to business problems, I am applying my engineering and math skills to the Alternative Investment field with a particular focus on systematic trading strategies and portfolio optimization. Although currently on hiatus from blogging, I am leaving this blog in place in the hopes you will find some topics of interest! View my complete profile.

Invitations, in an educational vein, to problem solving, ideas and their history, biographical snapshots, visuals, classroom capsules, undergraduate research ideas, recreations, experiments, arts and poetry, philosophical and foundational matters and connections. Wednesday, February 7, 2018. Partitions, Dyson, and Ramanujan - George Andrews. Partitions, Dyson, and Ramanujan - George Andrews. Friday, February 2, 2018. Tuesday, September 19, 2017. Friday, August 25, 2017.

Backtesting is a very important step in strategy development. But if you have ever went through the full strategy development cycle, you may have realized how difficult it is to backtest a strategy properly. People use different tools to implement a backtest depending on their expertise and goals. For those with a programming background, Quantstrat. Reports of my death have been greatly exaggerated Mark Twain. Finally I want to take th.

A new view on algorithmic trading. The principles of data mining and machine learning have been the topic of part 4.

A Test for the Presence of Jumps in Financial Markets using Neural Networks in R. Introduction to Diffusion and Jump Diffusion Processes. This post is the first part in a series of posts where we will be discussing jump diffusion models.