PsiQuant
Electricity Load Forecasting via State-Space Models
An electricity load forecasting system where each base model adapts continuously via a Kalman filter, with automatic variance tuning (VIKING) and robust online aggregation of 28 experts.
Quantitative Projects & Research
Stochastic modeling, time series forecasting and risk-constrained optimization, applied to energy and financial markets.
Gas Demand Forecasting via Regime Models
A segment-based forecasting architecture for a heterogeneous gas portfolio: temperature-sensitive correction for the profiled share, regime classification (k-means + random forest) for the industrial share with discontinuous behavior.
Wind PPA Pricing Under a Risk Constraint (CVaR)
Pricing a wind power purchase agreement formulated as a stochastic linear program under a CVaR constraint, with the capture rate modeled via a Gaussian copula to capture the cannibalization effect between production and price.
Variational Bayesian Variance Tracking (VIKING)
How to make a Kalman filter self-adaptive by treating its variances as latent states, estimated via a mean-field variational approximation rather than tuned by hand.
Hull-White Model (2025)
Numerical implementation of the one-factor Hull-White model for zero-coupon bond pricing. PDE-based approach (Feynman-Kac) with implicit finite-difference discretization.
Yield Curve Construction (2025)
Study and implementation of bootstrapping and interpolation methods for yield curve construction. Critical analysis of cubic spline, monotone convex, and other approaches.
Augmented Shallow-Water System with Surface Tension (2025)
Study and numerical implementation of the augmented anti-symmetric formulation of Bresch et al. for the Shallow-Water equations with surface tension, via an implicit-explicit finite-volume scheme.