Dean Markwick
I've been using Julia user since 2015 and maintain a number of packages from HawkesProcesses.jl to a number of data API wrappers.
In my day job I’m currently an electronic trading quant working on both principal and algo execution. I build models, analyse data and construct algorithms to try and get the best prices in the market with the lowest impact.
Outside of my day job I enjoy writing about technology and sports on my blog.
Sessions
Using HawkesProcesses.jl I'll introduce the theory behind Hawkes process and show how it can be used across many different applications. Hawkes processes in Julia benefit from the speed of the language and composability of the different libraries, as you can easily extend the Hawkes process using other packages without too much difficulty. Plus, by using Pluto notebooks I can build simple interactions that demonstrate the underlying mechanics of the Hawkes process.
Fantasy Premier League is an online fantasy sports game where you select a team of 15 players and score points based on their performance each week. You have a finite budget and each player costs a certain amount, plus a number of other constraints which makes this an optimisation problem that JuMP can solve. In this talk I will work through this problem and show how each constraint is translated into the JuMP language. It will be a fun introduction to optimisation in an alternative domain.