Juraj Szitás JSzitas
- Barclays
- Prague
Hello! I’m Juraj Szitas.
I started out as an Econometrician, then I turned Data Scientist for a few years and eventually got sick of the AI hype. I currently work as a Quantitative Developer.My biggest passion (as you would probably be able to guess from here) is numerics, closely followed by anything time series related.
I keep my open source stuff here - in the hopes that someone finds it useful. It includes a lot of really neat little things that I either could not find elsewhere,or did not want to deal with the hassle of linking against/shipping with.
Check out:
- nlsolver Nonlinear optimizers as header-only, C++17 library.
- tinyqr A header-only, optimized C++17 implementation of the QR decomposition.
- soothsayer if you like thefable framework and the idea of meta learning for time series, you might like this
- blaze (WIP) A full fledged time series forecasting and analysis toolkit in modern C++.
- contains a new (S)ARIMA(X) implementation leveraging SIMD
- fully capable AR and AutoAR
- Benchmark methods (Integrated Noise)
- miscellaneous time series utility functions (seasonality identification, stationarity tests)
- gpvolatility for an implementation of a funky volatility model
I mainly program C++/python these days, but I will do anything that's needed :) I have reached the point where getting things done in a timely manner matters most.
PinnedLoading
- gpvolatility
gpvolatility PublicA highly experimental R implementation of https://proceedings.neurips.cc/paper/2014/file/a733fa9b25f33689e2adbe72199f0e62-Paper.pdf
MATLAB
- categoryEncodings
categoryEncodings PublicMultiple methods to (quickly) encode factor variables, using data.table
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