Probabilistic forecasting · Hierarchical time series · Blockchain · Financial risk

Owen Chaffard

I am a PhD student interested in forecasting and in understanding the structure of time series. I build visual representations of complex concepts and aim to make research and data more open.

Google Scholar GitHub Curriculum vitae

Live deployment / dashboard

Stablecoin risk intelligence

Depeg monitor

Track onchain liquidity conditions and model-based depeg risk signals across stablecoin markets.

Explore the live dashboard

24H DEPEG PROBABILITY

—next 24 h

Loading live model output

Visual explorations

All writings

DeFi Microstructure and stablecoin risks · Part 1

An introduction to stablecoin AMMs

How automated market makers price stablecoins, why slippage matters, and how Curve and Uniswap v3 concentrate liquidity near the peg.

Read exploration

The hidden structure in hierarchical time series · Part 1

Hierarchical Time Series

An introduction to hierarchy, coherence, and forecast reconciliation with a focus and geometric visualization.

Read exploration

Teachings

All talks

Hierarchy Aware Forecasting in Financial Markets

This talk provides an introduction to hierarchical time series with probabilistic forecasting applications. Visualizations and geometric arguments show the value of hierarchical constraints for forecasting.

View talk

Hierarchical Loan Forecasting

This talk explores end-to-end reconciled probabilistic forecasting methods for financial hierarchical time series.

View talk

Proper Scoring Rules

This talk introduces proper scoring rules for probabilistic forecast evaluation, including discrimination, multivariate scoring rules, and applications.

View talk

Stabilising Stablecoin Risks

This talk introduces the onchain mechanisms that determine stablecoin prices and a two-pronged model for stablecoin risk monitoring in an AMM pool.

View talk

Polymarket: A technical Introduction

This talk provides a technical introduction to Polymarket’s onchain aspects and data collection using subgraphs.

View talk

Open source code

All reproducible codes

Onchain insights

Reproducible code for studying onchain liquidity conditions, including functional analysis of the Uniswap liquidity curve and a probabilistic neural-network forecaster for stablecoin tail risk.

Companion code to Stabilising Stablecoin Risks.

View code