Alexandr Proskurin, Data Science and Artificial Intelligence Developer in London, United Kingdom
Alexandr Proskurin

Data Science and Artificial Intelligence Developer in London, United Kingdom

Member since April 11, 2021
Alexandr is an AI developer and entrepreneur who co-founded two companies. He specializes in financial machine learning techniques applied in investment management and algorithmic trading research. His expertise includes researching and implementing long-only and intraday long/short and statistical arbitrage algorithms using supervised and unsupervised algorithms. Alexandr developed MlFinLab, a Python package for financial machine learning research used by portfolio managers and traders.
Alexandr is now available for hire

Portfolio

Experience

Location

London, United Kingdom

Availability

Part-time

Preferred Environment

Ubuntu Linux, PyCharm, Jupyter Notebook

The most amazing...

...implementation I delivered was the intraday momentum machine learning algorithm trading SRW Wheat futures.

Employment

  • Co-founder and CIO

    2020 - PRESENT
    Principia Invest
    • Managed a team of two researchers and a financial analyst who have researched and implemented multi-factor long-only US equities algorithms with an unsupervised learning portfolio optimization component. (CAGR 19% since 2008, Sharpe 1.1).
    • Delivered a real-time implementation of a portfolio algorithm using Bloomberg API and Python on DigitalOcean hosted server and S3 data lake.
    • Initiated a real-time database update on 1,500+ liquid US stocks including market, fundamental, and sentiment data.
    Technologies: Python, Bloomberg API, Scikit-learn, AWS S3, DigitalOcean
  • Co-founder and Head of Consulting

    2018 - PRESENT
    Hudson & Thames
    • Developed MlFinLab - a Python package for financial machine learning research. Managed at least six open-source Python developers.
    • Participated in the development of ArbitrageLab - a Python package used to conduct a research in pairs trading, mean-reversion, and statistical arbitrage. Managed the cointegration approach and Kalman filter implementations.
    • Assisted in the development of PortfolioLab - a Python package which contains various algorithms used in portfolio optimization,.
    Technologies: Python, MlFinLab
  • Senior Quantitative Researcher

    2018 - 2020
    Modex
    • Researched and implemented a VIX futures trading strategy with an intraday hedging component (1-Minute Bars) (40% ROC since January 2019 and Sharpe ratio 2.2 in the 2012-2019 backtest period).
    • Managed a back-end engineer and quantitative developer who designed and implemented a high-performance proprietary backtesting platform (Apache Arrow, Parquet, Hadoop stack) with a team of software developers.
    • Improved the existing FX strategy (increased Sharpe ratio from 0.7 to 1.2 in the 2010- 2019 backtested period with 12% ROC since August 2018 in real-time trading).
    Technologies: Python, Pandas, Apache Arrow, SQL, NumPy, Scikit-learn
  • Quantitative Researcher

    2016 - 2018
    Integral Capital Management Sarl
    • Implemented an index option trading strategy (13% ROC for six months of trading, backtested performance: 30% CAGR with 23% volatility for the 2010-2017 backtest period).
    • Participated in creating a proprietary API for multithreading financial data preprocessing and feature generation in Python.
    • Implemented a quantitative market ETF management strategy with monthly rebalance (CAGR 11%, Sharpe 1.0 in the 2008-2017 period).
    Technologies: Python, SQL, Scikit-learn

Experience

  • Journal of Financial Data Science Scientific Paper
    https://jfds.pm-research.com

    My paper "Does the CFTC report have a predictive power: Machine Learning Approach" was accepted to a Journal of Financial Data Science, summer issue 2021. In the paper, I've applied financial machine learning techniques to extract informative features from the CFTC COT report to predict the prices of SRW Wheat, Corn and Soybean futures.

  • MlFinlab Package
    https://github.com/hudson-and-thames/mlfinlab

    MlFinLab is a collection of production-ready algorithms (from the best journals and graduate-level textbooks), packed into a Python library that enables portfolio managers and traders greater insight who want to leverage the power of machine learning by providing reproducible, interpretable, and easy-to-use tools.

  • ArbitrageLab Python Package
    https://hudsonthames.org/arbitragelab/

    ArbitrageLab is a collection of algorithms from the best academic journals and graduate-level textbooks, which focuses on the branch of statistical arbitrage known as pairs trading. We have extended the implementations to include the latest methods that trade a portfolio of n-assets (mean-reverting portfolios).
    I was responsible for implementations of the cointegration approach and dynamic hedge ratio estimation using Kalman filter.

Skills

  • Languages

    Python, SQL
  • Libraries/APIs

    Pandas, NumPy, Scikit-learn, SciPy, Bloomberg API
  • Paradigms

    Data Science
  • Other

    Statistics, Algorithmic Trading, Portfolio Management, Asset Management, Machine Learning, MlFinLab, Optimization, Trading, Options Trading, Futures & Options, Mathematics, Time Series, Time Series Analysis, Quantitative Modeling, Quantitative Finance, Artificial Intelligence (AI), Computer Science, Finance, Data Engineering, Calculus, Linear Algebra, Algorithms, Investments, AWS
  • Tools

    PyCharm
  • Platforms

    Jupyter Notebook, Apache Arrow, DigitalOcean
  • Storage

    AWS S3, PostgreSQL

Education

  • Master's Degree in Banking and Finance
    2016 - 2018
    Kyiv-Mohyla Business School - Kyiv, Ukraine
  • Bachelor's Degree in System Analysis
    2012 - 2016
    Kyiv Polytechnic University - Kyiv, Ukraine

Certifications

  • Algorithmic Toolbox
    OCTOBER 2018 - PRESENT
    Coursera
  • Data Structures
    OCTOBER 2018 - PRESENT
    Coursera
  • Algorithms on Graphs
    OCTOBER 2018 - PRESENT
    Coursera

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