Edson Cilos Vargas Júnior
Verified Expert in Engineering
Quantitative Modeling Developer
Edson has a strong background in building and validating machine learning models. Curious, motivated, and diligent, he is experienced in finance and familiar with quantitative reporting. Edson's passion is learning and sharing knowledge, bringing value to companies. He is enthusiastic about reaching new heights in machine learning projects.
Portfolio
Experience
Availability
Preferred Environment
Agent-based Modeling, Algorithmic Trading, Risk Models
The most amazing...
...thing I've developed is a backtesting system to evaluate stock market strategies and produce automated reports.
Work Experience
Professor
The Federal University of Santa Catarina
- Guided and evaluated more than 30 hands-on and theoretical projects in machine learning, with topics such as spam filter, digit recognition, sentiment analysis, XGBoost, Gaussian mixture, and failure analysis for wind turbines.
- Developed a project on microplastic classification through proposed machine learning models to considerably improve the classification task, publishing a research paper.
- Taught and mentored more than 200 students on the good practices of state-of-the-art algorithms and machine learning projects.
Head of Risk
Zaros Inc
- Modeled an artificial financial market using agent-based simulation, capable of simulating leveraged operations and interactions among various agents in the financial market.
- Acted as a co-author of an article that described the functioning of a new decentralized protocol for perpetual futures. In partnership with the company's head of blockchain, I proposed several improvements to the project.
- Became one of the principal authors of the smart funding algorithm proposal, a dynamic funding rate updated according to market volatility, asset risk, and open interest imbalance.
- Acted as the principal author of the eClusters proposal, which employs hierarchical risk parity (HPR) to group asset liquidity into clusters, solving the liquidity fragmentation in decentralized perpetual futures protocols.
Senior Treasury Analyst
Foxbit
- Optimized and enhanced strategies in HummingBot, including improvements in cross-exchange market making, resulting in reduced exposure and significantly increased results.
- Deployed, maintained, and monitored bots for market making, providing liquidity to order books of various cryptocurrencies at a meager cost.
- Developed an integrated financial reporting system aggregating historical data from multiple cryptocurrency exchanges (Binance, Foxbit, OKX, Bitstamp, Bitso, etc.), banks, and other business partners.
- Collected data via API or web scraping, transformed, and stored in a database. Through a telegram request, a consolidated view of the results from different bots and company stained.
- Developed a project using Agile methodology with boards in Jira. Managed the treasury team in charge of the financial reports for the operations of the bots and OTC.
Quant Developer
Truss Investments
- Developed a backtesting system to evaluate stock market strategies and produce automated reports.
- Implemented a backtesting system using Julia, up to ten times faster than the open source Python libraries.
- Produced reports and analyzed stock market data, including evaluating strategies to operate on day trading.
Math and Data Science Consultant
Leve
- Discussed theoretical and practical issues of the mathematical models used in the company's grant credit system. The designed model will be used for several years and positively influence the risk vs. return.
- Analyzed dismissal data from CAGED and RAIS databases, while the exploratory data analysis generated important insights to help Copula's model used in risk modeling.
- Guided the newly hired mathematician to ensure that the company absorbed the shared knowledge.
- Contributed to the company's projects by suggesting the best tools and frameworks.
Quant Developer
PutCallBot
- Developed new stock market strategies using machine learning models, including neural networks and principal components analysis (PCA).
- Automated generation and processing of broker notes. The system could dynamically read a PDF and store the main contents in an SQL database, with more than 250 pages of broker notes in less than 15 minutes.
- Developed a simple admin webpage to upload PDF broker notes or request a specific user's PDF broker.
Experience
Machine Learning Course Development
OVERVIEW
• Machine learning fundamentals
• End-to-end machine learning project
• Machine learning projects development using Python
• Best practices in machine learning projects
• Machine learning mathematics made easy
• Extra in-depth materials
Algorithm Consulting for Facial Recognition
• Principal component analysis
• Linear Discriminant Analysis
• Laplacian Discriminant Analysis and variations of such algorithms
The goal was to develop in-house knowledge about dimensionality reduction and apply such algorithms to computer vision, specifically facial recognition. It is important to note that even the lowest level algorithms, such as methods for computing eigenvalues, have been implemented from scratch. Also, spent a reasonable time reading scientific articles to support the project's main findings.
LMS Platform
https://edsoncilos.com/Skills
Languages
Python, Julia, Python 3, C#, JavaScript, SQL, HTML, CSS, Solidity
Libraries/APIs
Scikit-learn, Pandas, NumPy, XGBoost, REST APIs, TensorFlow, Keras, Telegram Bot API
Paradigms
Data Science, Quantitative Research, ETL, Agent-based Modeling, Web UI Design, Automation, Agile
Platforms
Linux, Jupyter Notebook, Blockchain, Amazon Web Services (AWS), Google Cloud Platform (GCP), Docker, Amazon EC2, WordPress, Ethereum
Industry Expertise
Trading Systems, High-frequency Trading (HFT), Marketing
Other
Applied Mathematics, Mathematical Modeling, Linear Algebra, Partial Differential Equations, Analysis, Research, Machine Learning, Finance, Algorithmic Trading, Mathematical Finance, Predictive Modeling, Time Series Analysis, Data Analysis, Reports, Trading, Stock Trading, Financial Modeling, Mathematics, Data Analytics, Programming, Dimensionality Reduction, Time Series, Data Mining, Statistical Modeling, Linear Regression, Quantitative Analysis, Quantitative Modeling, Quantitative Risk Analysis, Regression Modeling, Backtesting Trading Strategies, Trade Finance, Mathematical Analysis, Data, Data Modeling, Regression, Classification, Data Scientist, Scientific Data Analysis, Algorithmic Trading Analysis, Statistical Data Analysis, Automated Trading Software, Forecasting, Fintech, Market Risk, Risk Models, Analytics, Financial Analysis, Reporting, Simulations, Crypto, Technical Leadership, Leadership, Consulting, Mentorship & Coaching, Logistic Regression, Principal Component Analysis (PCA), Fourier Analysis, Stock Market, Technical Writing, Statistics, Data Visualization, Artificial Intelligence (AI), Data Reporting, Clustering, Quantitative Finance, Financial Data, Statistical Methods, Software Development, Cloud Services, Statistical Analysis, Algorithms, Artificial Neural Networks (ANN), Dashboards, Heatmaps, Documentation, Technical Documentation, Writing & Editing, Bots, Financial Reporting, Cryptocurrency, PDF Scraping, Scraping, API Integration, Currency Exchange, Predictive Analytics, Stock Analysis, Monte Carlo Simulations, Facial Recognition, Credit Risk, Google Cloud Functions, Neural Networks, Back-end, Linear Discriminant Analysis (LDA), WordPress Themes, Learning Management Systems (LMS), Elementor, Forms, WP Rocket, Astra, Vimeo, Front-end, Computer Vision, Deep Learning, WordPress Plugins, Education Management Systems, Deep Neural Networks, Amazon Machine Learning, Cloud, Data Engineering, Optimization, Linear Optimization, APIs, Hummingbot, Web Scraping, Team Management, Product Management, Strategy, Telegram Bots, Cryptocurrency APIs, Financial Markets, Derivatives, Futures, Futures & Options, Probability Theory, Forex Trading, Web3, Smart Contracts, Decentralized Finance (DeFi), Ethereum Smart Contracts, Liquid Staking Derivative (LSD)
Tools
LaTeX, Jupyter, Microsoft Excel, GitHub, MATLAB, Google Compute Engine (GCE), Amazon SageMaker, LearnDash, SendinBlue, Docker Compose, Jira, Plotly
Storage
PostgreSQL, Google Cloud, Microsoft SQL Server, MySQL, Amazon S3 (AWS S3), Databases, Cloud Deployment
Education
PhD in Mathematics
The Federal University of Santa Catarina - Florianópolis, Brazil
Visiting Scholar in Mathematics
University of Konstanz - Konstanz, Germany
Bachelor's Degree in Mathematics and Scientific Computing
The Federal University of Santa Catarina - Florianópolis, Brazil
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