For my Thesis Project, I worked to operationalize an algorithmic trading application called Trading Dawg. Over the year, I was able to implement several analysis models, including accuracy, performance, volume, and hyperparameter analysis. With these improvements, we are in a strong position to create valuable tools in the algorithmic trading space.
Historically, the predominant strategy for evaluating baseball pitchers has been through statistics created directly from the offensive production against the pitcher, such as ERA. Such statistics are inherently relative to the abilities and competition level of the opposing offense and the field defense, which the pitcher has no control over, making it difficult to compare pitchers across leagues. In this paper, I use cutting edge pitch-tracking data to develop a pitch evaluation model that is intrinsic to the attributes of the pitches themselves, and not influenced directly by the outcomes of each individual pitch. I train four different classifiers to predict the probability of each pitch belonging to different subsets of outcomes, then multiply the probability of each outcome by that outcome’s average run value to arrive at an expected run value for the pitch. I compare the performance of each classifier to a baseline, examine the most impactful features, and compare the top pitchers identified by the model to those identified by a different baseball statistics resource, ultimately concluding that three of the four classification models are productive and that the overall intrinsic evaluation model accurately identifies the sports top performers.
Attack Graphs are powerful graphical security analysis tools as they provide a visual representation of all possible attack scenarios that an attacker may take to exploit system vulnerabilities. The attack graph's scalability, however, is a major concern for enumerating all possible attack scenarios as it is considered an NP-complete problem. There have been many research work trying to come up with a scalable solution for the attack graph. Nevertheless, non-practical attack graph based solutions have been used in practice for realtime security analysis.
In this thesis, a new framework, namely 3S (Scalable Security Sates) analysis framework is proposed, which present a new approach of utilizing Software-Defined Networking (SDN)-based distributed firewall capabilities and the concept of stateful data plane to construct scalable attack graphs in near-realtime, which is a practical approach to use attack graph for realtime security decisions. The goal of the proposed work is to control reachability information between different datacenter segments to reduce the dependencies among vulnerabilities and restrict the attack graph analysis in a relative small scope. The proposed framework is based on SDN's programmable capabilities to adjust the distributed firewall policies dynamically according to security situations during the running time. It apply white-list-based security policies to limit the attacker's capability from moving or exploiting different segments by only allowing uni-directional vulnerability dependency links between segments. Specifically, several test cases will be presented with various attack scenarios and analyze how distributed firewall and stateful SDN data plan can significantly reduce the security states construction and analysis. The proposed approach proved to achieve a percentage of improvement over 61% in comparison with prior modules were SDN and distributed firewall are not in use.