Peter Cotton

I write and maintain open-source libraries for forecasting, probability and optimisation, published under the MIT licence at github.com/microprediction. The five below have been downloaded about 580,000 times from PyPI, and earlier libraries of mine (the microprediction client and muid, an identifier library) about 1.2 million more.

I have worked in quantitative finance and data science for twenty-five years: I led data science at buy-side and sell-side firms, applied control theory to OTC trading at JP Morgan, and managed CDO pricing at Morgan Stanley. I co-founded Benchmark Solutions, acquired by Bloomberg. The libraries below come out of that work and out of public research, including a paper in the SIAM Journal on Financial Mathematics (2021) on inferring ability from winning probabilities.

The projects are maintained by me, mostly alone. Funding would pay for steady maintenance: keeping them current with Python and NumPy releases, answering issues, keeping the cross-language ports in agreement, and continuing the validation work that checks each method against independent reference implementations.