Robert Perret
Verified Expert in Engineering
Python Developer
Robert has a Ph.D. in theoretical physics and has been working in fintech, front office banking, risk management, and algo trading. He is passionate about finding innovative solutions to challenging problems and translating them into efficient, high-quality code and enjoys using his skills to contribute to the exciting technological advances that happen every day.
Portfolio
Experience
Availability
Preferred Environment
Linux, Python, Machine Learning, PyTorch, Derivatives, Blockchain, Time Series Analysis, Futures & Options, Data Science
The most amazing...
...app I've developed visualizes live blockchain transaction, flagging major transactions in real-time that made headlines weeks or months later.
Work Experience
Quantitative Strategist
Algo Trading Firm
- Developed a comprehensive risk system incorporating live P&L, position and order tracking, trade reconciliation, and liquidity management.
- Created tools to detect and track signatures of recurring market activity.
- Built flexible, high-performance trade signal platform incorporating tick data collection.
- Researched pair and basket trading strategies for equity cash and futures.
- Created platform for identifying trading opportunities based on seasonality and special events, including recommended bet size based on Kelly criterion.
- Developed neural net framework for calibration and fast calculation of risk exposures of American options.
- Used natural language processing to classify earnings and rating revision announcements.
Vice President
Barclays
- Transitioned legacy credit library into multi-asset library rolled out across bank for intraday pricing and risk reporting.
- Supported large-scale grid-based credit pricing engine.
- Coordinated with global quant and emerging markets teams on day-to-day analytics queries and issues.
Vice President
DBS
- Developed robust pricing methodology able to correctly price structured credit products during severe market dislocation.
- Oversaw transition from spreadsheet environment to Python and C++ based pricing library integrated with booking system.
- Developed pricing capability for illiquid credit options.
Senior Software Developer
Wall Street Analytics
- Implemented lattice models for pricing interest rate derivatives.
- Developed bootstrapping methods for constructing Libor and US Treasury yield curves.
- Developed pricing methodology for CDO deals using Student copula.
- Implemented mortgage analytics and integrated prepayment models.
Experience
Trading Signal Platform
Bitcoin Transaction Flow Visualization
Algo Sniffer
Scrape and Transform Healthcare Provider Data
Skills
Languages
Python, SQL, Python 3, JavaScript, C++, Java, R
Frameworks
Django
Libraries/APIs
NumPy, Scikit-learn, PyTorch, Pandas, TensorFlow
Tools
Microsoft Excel, Plotly, MATLAB
Paradigms
Data Science, ETL, Quantitative Research, Symbolic Programming
Platforms
Anaconda, Linux, Jupyter Notebook, Blockchain, Amazon Web Services (AWS)
Other
Machine Learning, Derivatives, Futures & Options, Financial Reporting, Fintech, Data Analysis, Data Visualization, Predictive Modeling, Statistics, Statistical Data Analysis, Neural Networks, Trading, Data Analytics, Data Reporting, Hypothesis Testing, Dash, Pricing Models, Forecasting, Data, Data Engineering, Models, Web Scraping, Algorithms, Algorithmic Trading, Scraping, Automated Trading Software, Big Data, Backtesting Trading Strategies, Risk, Statistical Analysis, Physics, Mathematical Analysis, Data Modeling, Optimization, Data Extraction, Data Management, Model Development, Stock Trading, Finance, Financial Modeling, Mathematics, Trade, Bots, Time Series Analysis, Data Scraping, APIs, PyMC3, Cryptocurrency, Artificial Intelligence (AI), Variational Autoencoders, Deep Learning, Natural Language Processing (NLP), Bayesian Statistics, Crypto, Mortgages, Text Mining, Projects, Dashboard Development, Clustering, Classification Algorithms, GPT, Generative Pre-trained Transformers (GPT), Sanic Web Server, Stock Market, Real Estate, AIOps
Storage
MongoDB, PostgreSQL, JSON, Databases, Elasticsearch, NoSQL
Education
Ph.D. in Theoretical Physics
University of Southern California - Los Angeles, CA, USA
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