Senior Quant Researcher and Developer2020 - 2021Tickup
Technologies: Python, Scikit-learn, Linux, Research Management
- Recruited and managed a team of remote quant researchers and data scientists, working on the delivery of equity trading strategies using alternative datasets.
- Worked with a Stockholm-based data team for onboarding and cleaning complex semi-structured alternative datasets such as Ravenpack (news feeds), ConsumerEdge/Yodlee (credit card data), Apptopia (app downloads), and Estimize (crowd-sourced estimates).
- Led the development of alternative data-based quantitative trading strategies, delivering unleveraged returns of 20-40% per annum in backtesting.
- Served as lead architect for a Python-based algorithmic trading and backtesting platform, designed around alternative data and machine learning trading strategies (using Scikit-learn and TensorFlow).
Freelance Python Quant Researcher and Developer2018 - 2020Achilleon Consulting
Technologies: Reuters Eikon, Bloomberg, Excel VBA, TensorFlow, Scikit-learn, xlwings, Django, Flask, Pandas, NumPy, Python
- Created an algorithmic trading platform expressly designed to handle machine learning based trading strategies. The platform incorporates multi-threaded/asynchronous architecture, handling multiple data sources and trading venues simultaneously.
- Implemented a machine learning (neural network) model for derivatives pricing, using Scikit-learn and TensorFlow, with hyperparameter optimization using Scikit-optimize.
- Designed and implemented a standardized REST API for market data retrieval and transformation from multiple heterogeneous data sources. Built wrappers for Bloomberg, Reuters Eikon, IBKR, Quandl, Oanda, and FXCM.
- Coded risk and P&L calculation tools for a long-short equity hedge fund, incorporating an Excel/VBA front end and a Python back end connected via xlwings.
- Implemented an event screener framework for a long-short equity hedge fund to streamline the management of event-based trading.
- Created an equity trading strategy simulator, incorporating what-if, optimization tools, and trade event visualizations.
- Designed and trained machine learning models for equity trading to assist with momentum trading (especially entry and exit timing) and to optimize trailing stop implementation.
- Created model for cross-market equity beta decomposition via unsupervised learning (Scikit-learn).
- Coded a trading strategy optimization framework for VIX trading for a volatility trading hedge fund.
Rate Derivatives Desk Quant2016 - 2018Nomura
Technologies: Reuters Eikon, Bloomberg, Analytics, Excel VBA, Python
- Fully refactored risk and P&L tools for swaptions trading in London and New York, covering EUR, USD, and GBP. Included overhaul of scenario generation, and generation of real-time risks intraday.
- Fully refactored risk, P&L, pricing tools, for inflation derivatives (EUR, GBP, USD), covering inflation swaps, bonds, options. Included refinement of inflation RV trade screening tools.
- Refactored position monitoring and pricing tools for STIRT and FX Forward trading desk in London and New York. Included configuring price publication to downstream customer-facing systems via Tibco bus.
- Coded an optimum vega hedging algorithm for swaptions trading, identifying the best P&L hedging trades given an input vega grid.
- Refactored curve and volatility surface builders for swaptions and inflation options.
- Built a PCA-based framework for alternative rates delta/gamma risk and P&L explanation.
Rate Derivatives Quant Trader2015 - 2016Caxton Associates
Technologies: Adobe, FINCAD, Bloomberg, Excel VBA, VBScript, Python
- Executed derivatives trades (exchange and OTC) on behalf of portfolio manager with $500 million AUM; fed funds futures, eurodollar/euribor futures, FRAs, OIS, swaps, and basis.
- Developed portfolio risk and P&L calculation tool, using ALIB quant analytics. Included position and market data retrieval, risk & P&L calculation. Capable of retroactively generating risk/P&L for any past date.
- Created market data retrieval/processing/storage framework, sourcing data from third-party APIs: Bloomberg, BAML, JPM, Citi, and Barclays.
- Coded relative-value market monitor for spot and forward swap and basis rates; including the charting of historic rolldown/carry/range/correlation.
- Built "short-end" market monitor: a live and historic analysis tool for Libor and OIS futures/swaps; including Libor/basis predictive analytics.
- Created a dashboard tool to display results of various econometric/technical analyses, continuously updated from Bloomberg/Haver DLX. For example, bund scarcity analysis, MACD-based TY price tracking, 5y5y equilibrium modeling.
- Created a knowledgebase tool: hashtag-based PDF/text research organizing framework, integrated with multiple other tools (e.g. SignalMonitor, Dashboard).
- Created the SignalMonitor tool: realtime monitoring of market data levels (or any arbitrary function of levels) for trade entry/exit signals, with email/desktop/text alerts. Integrated with KnowledgeBase to automatically send appropriate research.
Derivatives Quant Trader2012 - 2015Royal Bank of Scotland
Technologies: XML, R, Excel VBA, Visual Basic, Reuters Eikon, Bloomberg, Algorithmic Trading, Libraries, Analytics
- Contributed as part of a two-person trading team involved in the creation of a new trading desk to algorithmically market-make exchange-traded bond options, including dynamic-VAR-based automated hedging, and on-the-fly SABR volatility surface calibration.
- Implemented technology platform for RBS Strategic Hedging program, to reduce bank-wide RWA/SVAR using vanilla options to hedge tail risk, including designing the algorithms to solve for optimal RWA-reducing vanilla options hedges.
- Risk-managed the FX/Rates Hybrid Derivatives trading portfolio, including calculation and hedging of FX/Rates Delta/Gamma/Vega, using options, futures, swaps, and FX. It also included involved and executing customer requests for exotic derivatives.
- Managed algorithmic FX/Rates cross gamma hedging algorithms for the Hybrids portfolio using the RBS Agile algorithmic trading platform.
- Managed NPV valuations for portfolio auctions to other banks (PRDCs, TEC10 CMTs, structured notes). This also included driving risk compressions for a large portfolio of long-dated FX options.
- Worked closely with Dynamic Strategies desk on VAR-based algorithmic hedging framework for custom index options.
- Developed trading strategy backtesting engine, used to discover and optimize trading strategies for the Dynamic Strategies (Custom Index) trading desk.
FX and Rates Derivatives Desk Quant2010 - 2012Royal Bank of Scotland
Technologies: XML, Excel VBA, Visual Basic, Reuters Eikon, Bloomberg, Algorithmic Trading, Libraries, Analytics
- Completely refactored legacy risk and P&L management tools for FX/IR hybrid derivatives (including long-dated FX options), covering traders in London, New York, and Tokyo, and reducing the start-of-day process from two hours (in Tokyo) to 30 seconds.
- Implemented a new FX and Rates cross-gamma scenario analysis toolkit, covering six rate curves and volatility surfaces and ten FX forward curves and volatility surfaces.
- Contributed to the "RBS Agile" algorithmic platform to implement automated hedging for FX and Rates cross-gamma.
- Created an Excel VBA-based risk aggregation framework, used by six trading desks across the bank, which provided PV/risk/scenario aggregation or drill down to individual trade levels.
- Coded an Excel add-in used extensively across the Royal Bank of Scotland, containing utility array manipulation functions.
- Developed and improved curve-building tools: FX-forwards; swaps; bond, funding, and credit spreads; CMS/CMT cross-currency adjusted discounting; equity dividends; and correlation term-structure.
- Revised volatility surface building tools for swaptions, cap floors, FX options, equity, and commodity index primarily using SABR, and incorporating implied vol event-weighting.
- Built a set of tools to publish structured note prices to Reuters and Bloomberg, used by several trading desks across the Royal Bank of Scotland.
- Created a trading strategy simulation engine, used for custom index strategy research.
- Implemented the "Generic Position Sheet," an automatically configurable risk management tool that could be used transparently by any trading desk in the bank.
Exotic Rates and FX Derivatives Quant Developer2008 - 2010Credit Suisse
Technologies: Shell Scripting, Excel VBA, Visual Basic, Libraries, Analytics
- Maintained 12 complex trading risk and position workbooks, built on the Credit Suisse GMAG quant library, covering inflation, exotic rates, rate/FX hybrids, commodity/FX hybrids, and counterparty credit risk.
- Migrated numerous VBA-based risk scenario generation algorithms to a COM-based analytics framework, allowing overnight scenario risk calculations to run in parallel on server farms.
- Rolled out new interest rate curve models for 12 currencies across two business areas. A highly complex project, requiring very close co-operation with the quant group, trading, product control and risk control, and other IT groups.
- Created a complete set of new trading tools for Inflation trading portfolio; including risk and position tools; P&L decomposition tools, market data publication tools; risk scenario design.