SAMoSSA: Multivariate Singular Spectrum Analysis with Stochastic Autoregressive Noise
About
I'm a researcher at Hudson River Trading, where I develop state of the art deep learning systems for trading on HRT AI Labs (HAIL).
I completed my SB and MEng in Computer Science at MIT in 2023, advised by Devavrat Shah in the Laboratory for Information and Decision Systems. My graduate work centered on time series analysis, matrix completion, and statistical learning. Earlier, I collaborated with researchers at MIT and Google Brain on differentiable simulation for photovoltaic cells, with applications to inverse design and neural network surrogate models. I am broadly interested in the intersection of deep learning, modeling, and optimization.
I grew up in Hong Kong, and went to school on Argyle Street for over a decade.
Publications
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Exploiting Observation Bias to Improve Matrix Completion
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∂PV: An End-to-End Differentiable Solar-Cell Simulator
Experience
- 2023 – Present
AI Researcher
Hudson River Trading
Deep learning for trading, and everything that comes with it.
Education
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Massachusetts Institute of Technology
MEng, Computer Science 2023SB, Computer Science 2022Advisor: Devavrat Shah · LIDS · MEng thesis: SAMoSSA (see Publications)