Consultant2017 - PRESENTToptal
Technologies: Python 3, Machine Learning, Portfolio Analytics
- Built an HFT cryptocurrency trading platform for multiple different exchanges. The strategies were able to manage risk and orders with low latency even in very difficult market conditions.
- Implemented Black Litterman research papers for portfolio optimization.
- Built out a crypto backtesting framework on top of Backtrader to test strategies on Poloniex.
Quantitive Researcher | Trader2014 - PRESENTPrivate Trading Company
Technologies: Forecasting, C++, R, Python, Cryptocurrency, Cryptocurrency APIs, Data Science, Predictive Modeling
- Researched and traded black and grey box crypto and forex trading strategies.
- Built an algorithmic trading framework for evaluating and productizing strategies; the strategies use a range of statistical and machine learning techniques to find and exploit price inefficiencies.
- Designed API libraries for data collection, cleaning, and processing of market data.
Execution Quantitative Researcher2020 - 2020Deep Grey Research
Technologies: Python 3, C++, Machine Learning, Trading, CME, Git, Data Science, Predictive Modeling
- Built HFT execution models for Eurodollar pro-rata books.
- Implemented C++ versions of Python research code for production deployment.
- Built a data framework for backtesting strategies on the Eurodollar market in CME.
Quantitaive Programmer | Researcher2016 - 2016Lightstone
Technologies: Agile Software Development, Forecasting, Boost.Python, C++, Python
- Built a framework for connecting and storing tick data from CME and Eurex in a custom high-performance database.
- Programmed a high-performance multi-threaded trading simulator in C++ capable of processing up to 5 million messages per second on a single thread.
- Designed and integrated Python research tools with the C++ simulator to test trading strategies.
- Traded the finalized algorithms into a third-party trading platform for the live execution of the algorithm in Eurex.
Quantitative Analyst2013 - 2014Credit Suisse
Technologies: Agile Software Development, Forecasting, Tableau, R, C++, Python
- Built a toolset for the analysis of client trading performance (trading analytics).
- Delivered the results via a Tableau framework allowing for the easy distribution, modification, and extension of the analysis.
Associate Director2012 - 2012Eladian Partners
Technologies: Agile Software Development, Git, C++, Python
- Traded and researched an aggressive cross-asset, high-frequency strategy designed for global futures markets (cross-asset futures trading). The strategy used genetic programming to combine and calibrate various alphas. This also included research for a passive variant of the strategy for fixed income market making.
- Traded and researched a statistical arbitrage and market-making strategy for government bond futures on CME and Eurex.
- Managed the operations and risk of the strategy as well as built and calibrated a fully functional passive simulator to test improvements to the strategy.
Quantitative Researcher2009 - 2011Citigroup
Technologies: Spring, R, Java
- Developed a pricing model for the European government bond business. The model worked by risk factor decomposition, forecasting, and recomposition to generate far better prices than models used pre-2008.
- Designed and implemented a probabilistic market making spread model to optimize the P&L, market risk, and balance sheet usage of a government request for a quote (RFQ) bond business. The model allows the probability of trading to be implied from the market given a set of attributes.
- Researched and traded a high-frequency market making strategy for bond futures on Eurex (German bond future market making). The research included the development and calibration of a backtesting environment as well as deriving and testing trading signals.
- Built the internal matching engine for the City Velocity IRS business. This is more complex than a futures matching engine since the consistency of spread and butterfly books also needed to be ensured.
Master of Science Candidate in Quantitative Finance2008 - 2009Cass Business School
Technologies: LaTeX, R, MATLAB
- Studied econometrics; built studies of statistical modeling, prediction, and forecasting.
- Studied computational statistics: the application of computer option pricing models, Monte Carlo simulations, and other numerical methods.
Quantitative Programmer2006 - 2008Deutsche Bank
- Implemented components within EMMA (electronic market making algorithm) to analyze recent client positions to forecast market movements and build positions passively via market making.
- Designed and built trading components for vanilla IRS, curve spreads and butterflies on LiquidityHub, TradeWeb, and ReutersSwap electronic platforms.
- Refactored and improved the programming frameworks for distribution of bond prices to third-party platforms such as Bloomberg and Reuters.
Performance Analyst2005 - 2006Deutsche Bank
- Managed a team of consultants to improve usability and performance of the Paragon Credit Risk system.