Quantitative Analyst (Quant) | Developer
2009 - PRESENT
- Built an automated trading system.
- Optimized hundreds of automated trading systems.
- Created automated trading system portfolios.
Technologies: C#, MATLAB, SQL, ZeroMQ (Algorithmic Trading, Trading Strategies)
BNP Paribas Corporate & Investment Banking, London, UK
2008 - 2009
- Maintained the in-house product written in C++ for capturing all types of deals.
- Developed a latency monitoring tool to measure delays between many parts of the system.
Technologies: C#, C++, SQL, SQL Server, Oracle, TIBCO Rendezvous, XML (Latency Monitoring)
Researcher | Developer
Société Générale Asset Management - Alternative Investments – Hedge Fund
2006 - 2008
- Gained a well-rounded knowledge of algorithmic trading; was exposed to all aspects of algorithmic trading.
- Researched and developed a dynamic trend-following model for 38 instruments (return ~20%).
- Developed spread strategies with one trader, constructed a portfolio, and implemented it. It is live now and runs very well; 25% in 10 months.
- Redesigned and rewrote a market data engine which adjusts futures contract data.
- Developed a GRID computing engine to run our strategies optimization on 250 PCs.
Technologies: C#, C++, SQL, Oracle, MATLAB, XML, FIX, WinForms, Full Project Life Cycle, Agile, GRID Computing (Algorithmic Trading, Real-Time Data Processing, Real-Time Risk, Technical Analysis, Futures, Risk, VAR, Market Data)
Deutsche Asset Management (Deutsche Bank Group) - Portfolio Engineering Group, London, UK
2004 - 2006
- Architected and implemented a market data engine based on DataStream and Bloomberg.
- Introduced a change control system to the team.
- Profiled and optimized our internal fixed risk calculation engine to work twice as fast. Most of the optimizations were made in database management and string operations.
- Increased the speed 3 times of our quantitative asset allocation engine. Once again, most of the speed improvement I archived was by optimizing database calls and string comparison.
- Developed a nonlinear transaction cost calculation for our system.
- Incorporated a faster quadratic optimizer in our asset allocation engine. The new one is much faster, more stable, and has more features. It resulted in speed improvement of 2-3 times more.
Technologies: MATLAB, C#, C++, SQL, SQL Server, Oracle (Portfolio Engineering, Optimization, Markowitz, Transaction Costs/Slippage, Risk, VAR, Returns)
IntelliQ, London, UK
2002 - 2004
- Developed an algorithm for clustering nodes in link analysis (used in fraud detection).
- Created a variance/quantitative analysis engine in order to detect abnormal/fraudulent cashiers.
- Created a fast association rule engine by using advanced data structures and Intel C++ compiler.
- Developed an automated Star schema (for Data Warehousing) creation algorithm and implemented it (very innovative).
- Developed a number of data preparation/transformation/load tasks for major UK retailers.
Technologies: C++, C#, SQL (Retail Fraud Analysis and Detection, Data Warehousing, Data Mining)