Verified Expert in Engineering
Data Science and Artificial Intelligence Developer
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.
Ubuntu Linux, PyCharm, Jupyter Notebook
The most amazing...
...implementation I delivered was the intraday momentum machine learning algorithm trading SRW Wheat futures.
Co-founder and CIO
- 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.
Co-founder and Head of Consulting
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,.
Senior Quantitative Researcher
- 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).
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).
Journal of Financial Data Science Scientific Paper
ArbitrageLab Python Packagehttps://hudsonthames.org/arbitragelab/
I was responsible for implementations of the cointegration approach and dynamic hedge ratio estimation using Kalman filter.
Pandas, NumPy, Scikit-learn, SciPy, Bloomberg API
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
Jupyter Notebook, Apache Arrow, DigitalOcean, Amazon Web Services (AWS)
Amazon S3 (AWS S3), PostgreSQL
Master's Degree in Banking and Finance
Kyiv-Mohyla Business School - Kyiv, Ukraine
Bachelor's Degree in System Analysis
Kyiv Polytechnic University - Kyiv, Ukraine
Algorithms on Graphs