Colan Walsh
Verified Expert in Engineering
Software Developer
London, United Kingdom
Toptal member since March 3, 2020
Colan is an experienced senior financial quantitative developer and researcher with experience across various asset classes and trading venues. He has a multidisciplinary background, having worked in quant development, quant research, and derivatives trading for multiple investment banks and hedge funds. Colan has built and managed teams of quant researchers from the ground up on numerous occasions.
Portfolio
Experience
- Quantitative Finance - 15 years
- Derivatives - 13 years
- Algorithmic Trading - 11 years
- Data Science - 6 years
- Python - 6 years
- Machine Learning - 5 years
- Crypto - 3 years
Availability
Preferred Environment
Jupyter, PyCharm, TensorFlow, Scikit-learn, Pandas, Python, Linux, SQL, Docker
The most amazing...
...quant research team I've built generated returns of 20-30% (unleveraged) from market-neutral algorithmic crypto trading.
Work Experience
Expert Fintech/Algorithmic Trading Developer
AmateMint Labs LLC
- Built a live algorithmic trading platform, architected to be integrated with APIs from multiple futures brokers.
- Developed a high-performance event-based backtesting engine to calibrate and optimize the client's trading strategy.
- Worked closely with the client on iterative trading algorithm refinement and optimization of entry and exit levels for high-frequency trading strategy.
Financial Engineer and Tech Lead
Hedgix Management Limited
- Architected a microservices-based cloud-hosted algorithmic trading platform (OMS/EMS) integrated with ChatGPT API, multiple brokers (e.g., IBKR), and market data services, supporting high-frequency trading and long-term investing strategies.
- Designed a derivatives structuring validation engine, providing validation around complex derivatives structures generated by LLM before execution.
- Prepared a detailed backlog and development estimates for the implementation of the trading architecture and validation engine.
Quant Researcher
TokenEdge
- Performed large-scale cross-sectional modeling of NFT price time series dynamics, using PCA, across the top 500 collections on the Ethereum blockchain.
- Built a predictive ensemble model for NFT price direction classification, incorporating SGD, KNN, and simple neural networks, among others.
- Set up Google Cloud Platform-based quant research environment, with Docker deployment and GCS for data storage.
- Evaluated various NFT/token market data vendors and built data pipeline integrations with the top choices.
Senior Quant Researcher and Algorithm Developer
SPS 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.
Head of Quant Development and Research
Tickup
- Recruited and managed a team of remote quant researchers and data scientists, working on delivering 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 Developer
Achilleon 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.
Rate Derivatives Desk Quant
Nomura
- 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 Trader
Caxton 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.
Derivatives Quant Trader
Royal 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.
FX and Rates Derivatives Desk Quant
Royal 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.
Exotic Rates and FX Derivatives Quant Developer
Credit 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.
Experience
Algo Trading Platform for Machine Learning Trading Strategies
Neural Network Approximation of Derivatives Pricing Models
Standardized REST API for Heterogenous Market Data Sources
Equity Market Beta Decomposition Model
Optimum Vega Hedging Tool
The tool allowed a trading desk to identify the best maturity/expiries to trade to minimize P&L volatility, given an input vega grid, and taking into account historical correlations across the volatility surface.
Signal Monitor Tool for Real-Time Market Signal Notifications
RWA Reduction Trading Platform
FX & Rates Exotic Derivatives Cross Gamma Toolkit
Derivatives Risk Aggregation Toolkit
Education
Master's Degree in Mathematical Finance
London School of Economics - London, England, UK
Bachelor's Degree (First Class Honors) in Economics and International Politics
University of Wales - Aberystwyth, Wales, UK
Certifications
Tensorflow for Deep Learning
Udemy
Oracle Certified Associate, Java SE8
Oracle
Exchange Trader Examination
Eurex
CISI Level 3 Certificate in Derivatives
Chartered Institute for Securities & Investment
Certificate in Quantitative Finance
CQF Institute
Professional Certificate in Management
Open University
Skills
Libraries/APIs
NumPy, Pandas, Scikit-learn, Bloomberg API, Interactive Brokers API, Binance API, TensorFlow, REST APIs, Python Asyncio, Asyncio, SQLAlchemy, Quandl API, Matplotlib, SciPy, Keras, Protobuf
Tools
Jupyter, Reuters Eikon, Excel 2016, Microsoft Excel, Bloomberg, TensorBoard, PyCharm, IPython, Microsoft Access, Celery, Power Query, FINCAD, Adobe, Git, GitHub, MD5, Slack, Docker Compose, Pytest, Jira, Apache Airflow, Amazon SageMaker
Languages
Excel VBA, SQL, Python, Visual Basic for Applications (VBA), VBScript, Visual Basic, XML, MQL4, MQL5, MQL, Pine Script, Java, R, GraphQL, Snowflake
Paradigms
Agile, Functional Programming, Object-oriented Programming (OOP), Agile Project Management, Quantitative Research, Microservices, Asynchronous Programming, Concurrent Programming, REST, ETL, Scrum, Test-driven Development (TDD), Management, DevOps
Platforms
Jupyter Notebook, Amazon Web Services (AWS), Docker, Blockchain, Ubuntu, Heroku, Linux, Amazon EC2, Google Cloud Platform (GCP), Ethereum, Azure, AWS Lambda
Industry Expertise
Trading Systems, Banking & Finance, Project Management, High-frequency Trading (HFT)
Storage
JSON, Databases, MySQL, Amazon S3 (AWS S3), Relational Databases, PostgreSQL, Redis, Google Cloud
Frameworks
Flask, Django, Django REST Framework, gRPC
Other
FX, Interest Rate Risk, Interest Rate Swaps, Fixed-income Derivatives, Derivatives, Options Trading, Trading Applications, Cross-currency Swaps, Swaps, Bonds, Futures, Options Theory, Option Pricing, Risk Models, Market Risk, Support Vector Machines (SVM), Decision Trees, Random Forests, Volatility, Portfolio Optimization, Mathematical Finance, Algorithmic Trading, Algorithmic Trading Analysis, Foreign Exchange (FX) Hedging, FX Risk Analysis, Quantitative Finance, Financial Market Data, Fixed Income, Multithreading, Data Science, Artificial Intelligence (AI), Machine Learning, IT Project Management, Fintech, Algorithms, Financial APIs, Trading, Financial Markets, Stock Trading, Stock Market, Excel Expert, Bots, Back-end, APIs, Non-fungible Tokens (NFT), Arbitrage, Forex, Data Analysis, Excel Macros, Finance, Computational Finance, Hedge Funds, Data Visualization, Time Series, Time Series Analysis, Optimization, Linear Optimization, DataFrames, Excel Reporting, Exchanges, Digital Asset Management, Stock Exchange, Leadership, Architecture, Assets, Investments, Automated Trading Software, Mathematics, Monte Carlo Simulations, Exploratory Data Analysis, Data Scraping, Statistical Methods, Statistical Data Analysis, Statistical Analysis, Data Scientist, Factor Analysis, Data Extraction, Data Wrangling, API Integration, Predictive Modeling, Regression Modeling, Financial Modeling, Currency Exchange, Backtesting Trading Strategies, Regression, Technical Leadership, XLSX File Processing, xlwings, Principal Component Analysis (PCA), Neural Networks, Pricing Models, Finance APIs, Processing & Threading, Macroeconomics, Economics, RESTful Microservices, Statistics, Deep Learning, Supervised Learning, Data Engineering, Crypto, Cryptocurrency, Decentralized Finance (DeFi), Bitcoin, Team Leadership, Deep Neural Networks (DNNs), Data Reporting, AWS Cloud Architecture, Cloud, Fractionalization, Asynchronous I/O, CTO, Startups, Probability Theory, Predictive Analytics, Web3, Data Build Tool (dbt), Entity Relationships, Machine Learning Operations (MLOps), Analytics, Libraries, Shell Scripting, Systematic Trading, Commodity Markets, Credit Risk, Unsupervised Learning, WebSockets, Research, Econometrics, Politics, Amazon RDS, Serverless, FIX Protocol, Generative Pre-trained Transformers (GPT)
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