About

I’m a software engineer working at the intersection of trading systems and applied probability. This site is where I write up the simulations, models, and bugs that were interesting enough to survive contact with production.

Most posts fall into one of three buckets: stochastic simulation (random walks, SDEs, Monte Carlo), the performance work needed to make that simulation fast in Python or C++, and the occasional post-mortem on a model that quietly stopped being true.

Outside of this blog, I spend most of my time on backtesting infrastructure and execution research. If you want to get in touch, the contact page is the most reliable channel.