Senior Quant Researcher and Developer
2021 - 2022SPS Trading- Recruited and managed a team of remote quant researchers and data scientists focused on crypto algorithmic trading strategies.
- Managed a team focused on generating a portfolio of market-neutral strategies.
- Architected and implemented a Python-based algorithmic trading and backtesting platform designed explicitly for crypto spot and derivatives trading.
Technologies: Python, Crypto, Machine Learning, Algorithmic Trading, Algorithms, Options Trading, Financial APIs, Trading, Financial Markets, Stock Trading, Microservices, Asyncio, Docker, WebSockets, Excel 2016, Data Engineering, Relational Databases, SQL, Git, GitHub, Bitcoin, Bots, Back-end, APIs, Team Leadership, MySQL, Amazon EC2, Amazon Web Services (AWS), Data Science, Databases, Deep Neural Networks, Data Reporting, REST, Docker Compose, AWS Lambda, GraphQL, Pytest, REST APIs, Redis, Non-fungible Tokens (NFT), Excel Macros, FinanceSenior Quant Researcher and Developer
2020 - 2021Tickup- 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).
Technologies: Python, Scikit-learn, Linux, Management, Research, Algorithms, Options Trading, Financial APIs, Trading, Financial Markets, Stock Trading, Microservices, Asyncio, Docker, WebSockets, Data Engineering, Relational Databases, SQL, Git, GitHub, Bitcoin, Bots, Back-end, APIs, Team Leadership, MySQL, Amazon EC2, Amazon Web Services (AWS), Data Science, Databases, Deep Neural Networks, Data Reporting, REST, Docker Compose, Pytest, REST APIs, PostgreSQL, Redis, FinanceFreelance Python Quant Researcher and Developer
2018 - 2020Achilleon Consulting- 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.
Technologies: Reuters Eikon, Bloomberg, Excel VBA, TensorFlow, Scikit-learn, xlwings, Django, Flask, Pandas, NumPy, Python, Algorithms, Options Trading, Financial APIs, Trading, Financial Markets, Stock Trading, Microservices, Asyncio, Docker, WebSockets, Excel 2016, Data Engineering, Django REST Framework, Django-rest-auth, Relational Databases, SQL, Git, GitHub, Bitcoin, Bots, Back-end, APIs, Team Leadership, Amazon EC2, Amazon Web Services (AWS), Microsoft Excel, Data Science, Databases, Deep Neural Networks, Data Reporting, REST, Docker Compose, Pytest, REST APIs, PostgreSQL, Redis, Excel Macros, FinanceRate Derivatives Desk Quant
2016 - 2018Nomura- 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.
Technologies: Reuters Eikon, Bloomberg, Analytics, Excel VBA, Python, Algorithms, Options Trading, Financial APIs, Trading, Financial Markets, Excel 2016, Data Engineering, Relational Databases, SQL, Microsoft Excel, Data Science, Databases, Data Reporting, REST, REST APIs, Jira, Excel Macros, FinanceRate Derivatives Quant Trader
2015 - 2016Caxton Associates- 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.
Technologies: Adobe, FINCAD, Bloomberg, Excel VBA, VBScript, Python, Algorithms, Options Trading, Financial APIs, Trading, Financial Markets, Excel 2016, Relational Databases, SQL, Microsoft Excel, Databases, Data Reporting, REST APIs, Excel Macros, FinanceDerivatives Quant Trader
2012 - 2015Royal Bank of Scotland- 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.
Technologies: XML, R, Excel VBA, Visual Basic, Reuters Eikon, Bloomberg, Algorithmic Trading, Libraries, Analytics, Algorithms, Options Trading, Financial APIs, Trading, Financial Markets, Stock Trading, Excel 2016, Data Engineering, Relational Databases, SQL, Microsoft Excel, Databases, Data Reporting, Excel Macros, FinanceFX and Rates Derivatives Desk Quant
2010 - 2012Royal Bank of Scotland- 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.
Technologies: XML, Excel VBA, Visual Basic, Reuters Eikon, Bloomberg, Algorithmic Trading, Libraries, Analytics, Algorithms, Options Trading, Financial APIs, Trading, Financial Markets, Excel 2016, Data Engineering, Relational Databases, SQL, Microsoft Excel, Databases, Data Reporting, REST APIs, Jira, Excel Macros, FinanceExotic Rates and FX Derivatives Quant Developer
2008 - 2010Credit Suisse- 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.
Technologies: Shell Scripting, Excel VBA, Visual Basic, Libraries, Analytics, Algorithms, Options Trading, Financial APIs, Trading, Financial Markets, Excel 2016, Data Engineering, Relational Databases, SQL, Microsoft Excel, Databases, Data Reporting, Jira, Finance