Robert Perret, Developer in Singapore, Singapore
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Robert Perret

Verified Expert  in Engineering

Python Developer

Location
Singapore, Singapore
Toptal Member Since
October 13, 2021

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

Algo Trading Firm
Python, Django, Sanic Web Server, MongoDB, Machine Learning, Stock Market...
Barclays
Python, C++, Java, Risk, Finance, Financial Modeling, ETL, JSON, Databases
DBS
Python, C++, SQL, Microsoft Excel, Mathematical Analysis, MATLAB...

Experience

Availability

Part-time

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

2014 - 2021
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.
Technologies: Python, Django, Sanic Web Server, MongoDB, Machine Learning, Stock Market, Cryptocurrency, Risk, Backtesting Trading Strategies, NumPy, Algorithmic Trading, Data Scraping, TensorFlow, Big Data, Automated Trading Software, Scraping, NoSQL, Crypto, Data Analysis, Data Analytics, Mathematical Analysis, Data Modeling, Optimization, Data Extraction, Data Management, Clustering, Pandas, GPT, Natural Language Processing (NLP), Generative Pre-trained Transformers (GPT), Neural Networks, Jupyter Notebook, ETL, Model Development, Classification Algorithms, Stock Trading, Finance, Web Scraping, Data Engineering, Financial Modeling, Trade, Bots, Trading, Amazon Web Services (AWS), JSON, Databases, R

Vice President

2010 - 2011
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.
Technologies: Python, C++, Java, Risk, Finance, Financial Modeling, ETL, JSON, Databases

Vice President

2007 - 2008
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.
Technologies: Python, C++, SQL, Microsoft Excel, Mathematical Analysis, MATLAB, Model Development, Finance, Financial Modeling, Mathematics, Trading, Trade

Senior Software Developer

1998 - 2006
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.
Technologies: C++, Mathematical Analysis, Optimization, Finance, Web Scraping, Financial Modeling, Mathematics

Trading Signal Platform

I designed and implemented an extremely flexible, high-performance platform for calculating and publishing trading signals. The automatic signal discovery framework allowed non-specialists with basic coding skills to add custom signals in as little as a few minutes.

Bitcoin Transaction Flow Visualization

I used the blockchain.info API to classify transactions and track the accumulation and distribution of Bitcoin. The app flagged major transactions related to Mt. Gox and Silk Road which made headlines weeks later.

Algo Sniffer

A graphical application to detect recurring trades in live trade data. Detects both tine weighted average price (TWAP) and percentage of volume (POV) trades, with the ability to filter on trade quantities. The visual presentation gives an instant view of both regularity and strength of trade flow.

Scrape and Transform Healthcare Provider Data

I developed a web scraper extracting nationwide provider information for US health insurance companies. The project included a flexible adapter to transform a variety of JSON and HTML formats into a unified column-based format.

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

1989 - 1994

Ph.D. in Theoretical Physics

University of Southern California - Los Angeles, CA, USA

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