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Welcome to My Blog

Welcome to my blog—a space to explore ideas in math and algorithms without any pretense. Here, I'm going to share posts on interesting research papers, intriguing computational problems, and more. I’m currently considering features like monthly quizzes to keep things interactive. My goal is to create a friendly, accessible environment where we can all learn and discuss these topics together.

Feedback and participation are always welcome. In the future, I plan on adding Gitalk for comments and a Discord server for discussions.

A Taxonomy of Quantitative Trading Strategies

Quantitative trading strategies come in many shapes and sizes, but can we classify them clearly and intuitively? This post presents a simple, taxonomy to help you understand and categorize quantitative strategies based on their assumptions about current and future market data. Additionally, what is a taxonomy you might ask? A taxonomy rule ...

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Generalized Policy Iteration (GPI) - Theory and Code Example

In this tutorial, we’ll explore Generalized Policy Iteration (GPI) through two approaches: SARSA (model-free) – Learns directly from experience without knowing the environment’s transition dynamics. Policy Iteration (model-based) – Uses a known transition model to compute an optimal policy. We’ll implement both on FrozenLake-v1 (determini...

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Messaging Patterns with ZeroMQ

Messaging Patterns - What are they and how to use them with ZeroMQ Messaging systems are essential for building scalable and reliable distributed applications. They provide a way for different components and processes to communicate and coordinate actions and data exchange. Messaging systems are usually very simple and easy to use, but they can...

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Algorithm Showcase - Stochastic Programming

Guaranteeing Minimum Wealth via Two-Stage Stochastic Programming in Finance In many real-world financial settings—such as asset–liability management for pension funds or risk management for hedge funds— a portfolio manager must ensure that the portfolio’s value never falls below a critical threshold, which also helps with reducing liquidity ris...

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JAX - Vectorizing High-Dimensional Functions

Vectorizing High-Dimensional Functions with JAX If you understand how neural networks work, you know that they are essentially a series of matrix multiplications and non-linear transformations. In Python, a simple algorithm to perform matrix multiplication might look like this: import numpy as np def matrix_multiply(A, B): return np.dot(A...

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JAX - Automatic Differentiation and JIT Compilation

JAX JIT Compilation and Autograd: Understanding the Basics 1. JAX JIT Compilation: In JAX, Just-In-Time (JIT) compilation is a powerful optimization technique that speeds up the execution of functions by compiling them into efficient machine code. When you apply jax.jit to a function, JAX transforms it into a highly optimized, low-level repres...

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