Stefan Petrov, Mathematical Models Developer in Sofia, Bulgaria
Stefan Petrov

Mathematical Models Developer in Sofia, Bulgaria

Member since April 15, 2019
Stefan has been fascinated by the potential of AI since high school. For the past several years, he’s been making a living as the primary developer of more than ten analytical products using R, Python, Mathematica, .NET, and Java. Recently, Stefans been focusing on operations research-type issues and using random forests, time series models, Keras, TensorFlow for neural nets, PyMC3, Stan for Bayesian models, and linear and MIP programming.
Stefan is now available for hire

Portfolio

Experience

  • R 7 years
  • Mathematical Models 5 years
  • Time Series 4 years
  • Python 3 4 years
  • F# 2 years

Location

Sofia, Bulgaria

Availability

Full-time

Preferred Environment

PostgreSQL, JetBrains, RStudio

The most amazing...

...thing I've coded was a successive approximation algorithm for the optimal trucking schedule. We used a combination of column generation and L1 relaxation.

Employment

  • Head of Research

    2016 - PRESENT
    Transmetrics
    • Led the data science team by handling daily business tasks, hiring, and mentoring people.
    • Participated in product direction development and pre-sales.
    • Modeled and optimized various problems transportation companies have, such as: routing, network design, warehouse optimization, and so on.
    • Analyzed and negotiated business requirements.
    • Performed a counterfactual analysis and simulations for to prove the value to the customer.
    Technologies: Docker, TensorFlow, CPLEX, PostgreSQL, Python, R
  • Quantitative Developer

    2016 - 2016
    CommEq Asset Management
    • Developed an algorithmic trading system with Python.
    • Performed some natural language processing work for news classification.
    Technologies: R, MongoDB, Python
  • Quantitative Analyzer

    2013 - 2016
    Bwin.Party Digital Entertainment
    • Developed modules that determined the probabilities for events of interest (goals, points, and so on) and their prices (odds) for the sporting events, offered on the company sites. Used mostly Mathematica and F#.
    • Solved various BI questions (e.g., the impact of a new sports model release on revenue in that sport, customer classification, and others).
    • Revamped volleyball and a couple of other point sports models, boosting the P&L on them significantly.
    • Developed large parts of the currently used customer classification (dangerous or not, VIP or not, about to churn/not, and so on) models.
    • Participated in a secondary role in basketball and tennis models.
    • Handled pricing problems (pricing combos).
    Technologies: Microsoft SQL Server, Teradata, R, Mathematica, F#
  • Quantitative Developer

    2013 - 2013
    Blue Edge Bulgaria | Evolution Capital Management
    • Developed high-frequency trading strategies, aimed at trading in Japan.
    • Implemented the main approach via technical trading-trying to identify persistent regimes in the market, based on detecting correlated quantities in the electronic trading book.
    • Worked on the backtesting/trading platform (C#, MS SQL stack).
    • Developed with R/Python for EDA and prototyping and estimation of upper bound of strategy performance before trading complications such as latency and transaction costs are considered.
    • Researched about order book dynamics (e.g., the expected lifetime of bids).
    Technologies: Microsoft SQL Server, R, Python, C#
  • Quantitative and Back-end Developer

    2012 - 2012
    Cayetano Gaming
    • Developed a slot game with a game designer who would specify the game logic, what type of bonuses and mini-games existed, and provided the vision of how the game should "feel." This is expressed in terms of volatility of payout, bonus structure, bonus frequency, etc. For example, a "chill" could pay out small amounts very often, while a suspense-filled game might have less frequent larger payouts.
    • Worked in a team that was responsible for writing game logic and developing in-house combinatorial optimizer in order to find suitable symbol distribution so that the game "feel" and expected payout properties are satisfied.
    • Wrote three games, one of which was novel in that there was some strategy involved on the player side. This required different pricing techniques.
    • Implemented an ad-hoc statistical analysis for roulette behavior.
    Technologies: Java

Experience

  • High-frequency Backtesting Engine (Development)

    I developed a backtesting engine for semi high-frequency trading (1 minute) in R. The trading system achieved a Sharpe ratio of 1.85 in backtesting. I used R, XGBoost, regularized linear models, and an interface in Shiny.

Skills

  • Languages

    Python, Python 3, R, SQL, F#, Wolfram, Julia, C#, Scala, Java
  • Tools

    StatsModels, Mathematica, JetBrains, CPLEX
  • Paradigms

    Data Science, Linear Programming
  • Other

    Data Analytics, Algorithms, Applied Mathematics, Time Series Analysis, Forecasting, Linear Regression, Data Visualization, Mathematical Models, Time Series, Machine Learning, Data Reporting, Product Analytics, Project Leadership, Data Mining, ARIMA Models, Statistical Modelling, Neural Networks, Mathematical Finance, Statistics, Bayesian Statistics, Supply Chain Optimization, Mixed Integer Linear Programming, Gradient Boosted Trees, Customer Segmentation, Product Design, Spatial Analysis, Logistic Regression, Logistics, Deep Neural Networks, Recurrent Neural Networks, Random Forests, Support Vector Machines (SVM), Clustering Algorithms, Stochastic Modeling, Hierarchical Clustering
  • Frameworks

    RStudio Shiny, .NET
  • Libraries/APIs

    Sklearn, SciPy, TensorFlow
  • Platforms

    Jupyter Notebook, RStudio, Docker, Linux, Ubuntu, Google Cloud SDK
  • Storage

    MongoDB, Teradata, Microsoft SQL Server, PostgreSQL

Education

  • Master's degree in Mathematical Modeling in Economics
    2009 - 2012
    Sofia University - Sofia, Bulgaria
  • Bachelor's degree in Computer Engineering
    2008 - 2012
    Nagoya Institute of Technology - Nagoya, Japan
  • Bachelor's degree in Applied Mathematics
    2005 - 2009
    Sofia University - Sofia, Bulgaria
  • Certificate in Japanese Language Course
    2007 - 2008
    Tokyo University of Foreign Studies - Tokyo, Japan

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