jszitas/crucible

Agent based modelling in R

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 the fable 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.