Bratislava, Slovakia
Founder of QuantConsult, company providing services to quantitative investment funds (delivering software solutions in the area of algo-trading). Keywords: algo trading, academic research, quantitative investing, portfolio management, equity factors. SHORT BIO: First part of my career (10+ years) I spent in the investment industry, including the work for a traditional asset management in Spain (2 bn EUR AUM), modern quantitative asset management in Slovakia (2 bn EUR AUM) and a family office in Switzerland (building products from quantitative systems). In between those jobs I finished a PhD on ‘Statistical Arbitrage in Equity Markets’ in UK. Second part of my career I spent dedicated to a different passion: as a software developer in the area of algorithmic trading, developing software for multiple quantitative hedge funds, fintech startups, mainly using dot net core (c#, f#) and angular (also python/asyncio if required, but not a big fan) and recently discovering power of nix (reproducible dev environments/devops) and rust. Mostly developing backtesting/trading software or data pipelines.
https://quantconsult.company We deliver software solutions in the area of algo-trading PROJECTS: Metagora (metagora.com) [lead dot net core developer] • Redesigned and implemented daily official pnl calculation from scratch (based on total portfolio value) -> f#, postgres. Included expression parser (fund A - fund B) / fund B for elegant calculation of tracking error between funds • Redesigned and implemented relatively high-frequency price feed from scratch (processing ticks into 1-second bars with appropriate statistics) -> dot net core, grpc, postgres, clickhouse, connection to multiple brokers/data providers • Implemented relatively high-frequency instrument level pnl for all porfolios leveraging broker position/trade stream and own price server with live data stream, with multiple levels of live aggregation (instrument, account) • Continuous improvements and suggestions to robustness of the pipeline, addition of unit/integration tests, continuous refactoring efforts • Angular application with material components for exploration of historical prices/pnl with echarts and codemirror6. Kapital Trading (kapitaltrading.com) [Quantitative Analyst in Python, Java] • Working on improving strategies, extending functionality of core Java platform for market making hedge fund Falcon Money Management (falconmoneymanagement.com) [R Developer] • Developing CRUD app for monitoring and generating reports for funds of funds – core business of Falcon Money Management Metatron Capital (metatroncapital.eu/en/) [C# Developer] • Developed HFT Trading Platform (https://youtu.be/Ph6znzGhrVI) • Developed Tactical Asset Allocation Backtester (https://www.youtube.com/watch?v=azNB8u5mpfY) BetaSmartz (betasmartz.com) [Python Developer] • General design and implementation of execution engine • API integration with Interactive Brokers QuantPicker.com [Founder] • Website that allows easy backtesting of various stock picking strategies (based on factors) • Backend: python (Web2py)
Research and execution of systematic strategies (no discretion). Focus on daily frequency and highly scalable strategies. Investment process based on value, low volatility, carry and momentum across all the asset classes.
Worked for a family office in Geneva Development of the CSER platform (http://www.hpwmg.com/hpwmg-cser-platform/), >20% return since inception with <4% DD Creation of the historical database of intraday data Automation of parameter optimization for TVVR platform (http://www.hpwmg.com/la-plateforme-hpwmg/) using genetic algorithm on integer data Responsible for trade execution for CSER platform and risk management of TVVR platform
Worked for a market leader in asset management market in Slovakia and regional centre of investing for CEE, 2 bn EUR AUM Development, analysis and backtesting of quantitative trading strategies at daily frequency in all highly liquid markets Analyzing and recommending changes to the portfolios of models Setting and monitoring risk limits (CPPI, maximum drawdown limit on fund level and model level) Allocation of the models in the funds based on the risk budget of the models and risk profile of the funds
Worked for a mutual and pension fund asset management with ~ 2 bn EUR AUM Portfolio Manager of ALTAIR (fund of funds), managed quantitatively Implementation of quantitative models (alpha detection, detection of fund's holding based on cointegration approach against major asset classes) for the remaining funds of funds based on well functioning ALTAIR fund (3rd best in its category in Spain in 2008) Participating in weekly investment committees consisting of bank’s top private bankers and communicating the market vision to them. Committee then decided (based on voting) on the changes in the standard client portfolio. Delivering presentations for heads of branches about the current situation and outlook for the next quarter.