Robert Perret, Python Developer in Singapore, Singapore
Robert Perret

Python Developer in Singapore, Singapore

Member since August 19, 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.
Robert is now available for hire

Portfolio

Experience

Location

Singapore, Singapore

Availability

Part-time

Preferred Environment

Linux, Python, Machine Learning, PyTorch, Derivatives, Blockchain, Time Series Analysis, Futures & Options, Data Science

The most amazing...

...app I developed visualizes live blockchain transaction, flagging major transactions in real-time that made headlines weeks or months later.

Employment

  • 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
  • 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
  • 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
  • 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++

Experience

  • 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.

Skills

  • Languages

    Python, Python 3, JavaScript, C++, SQL, Java, R
  • Frameworks

    Django
  • Paradigms

    Data Science, Symbolic Programming, ETL
  • Other

    Machine Learning, Derivatives, Futures & Options, Financial Reporting, Fintech, Data Analysis, Predictive Modeling, Statistics, Statistical Data Analysis, Neural Networks, Trading, Data Analytics, Data Reporting, Hypothesis Testing, Dash, Data Analyst, Pricing Models, Forecasting, Data, Data Engineering, Models, Web Scraping, 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, Sanic Web Server, Stock Market, Data Visualization, Real Estate, AWS, AIOps
  • Libraries/APIs

    PyTorch, Pandas, TensorFlow
  • Tools

    Plotly
  • Platforms

    Linux, Jupyter Notebook, Blockchain
  • Storage

    PostgreSQL, JSON, MongoDB, Elasticsearch

Education

  • Ph.D. Degree in Theoretical Physics
    1989 - 1994
    University of Southern California - Los Angeles

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