Geneva, Geneva, Switzerland
Quantitative Trader and Researcher, Data Scientist. Developed End-to-End Propietary Systematic Trading Cross-Assets. PhD in Computational Neuroscience (Information Theory / Cryptography / Decoding of Noisy Data), MRes in Theoretical Physics (Quantum/Statistical Field Theory). Experienced in: ----------------------------------------------------------------------------------------------------------------------- ● Machine Learning, Reinforcement Learning, Deep-Learning. ● Analysis of large datasets, Data-mining. ● Robust Estimation, Anomaly Detection. ● Dimensionality Reduction, Feature Selection. ● Information Theory, Max-Entropy Models. ● Bayesian Learning. ● Data-driven Decision Making. ● Econometrics: Cointegration, SARIMA, GARCH. ----------------------------------------------------------------------------------------------------------------------- ● Statistical Arbitrage (high to mid frequency). ● Global Macro themes and trends. ● Modelling of Drift, Volatility, Tails and Correlation in Interest Rates, Currencies, Equities, Commodities. ● Risk-Modeling (VaR, CVaR), GARCH, Pareto Tails. ● Derivatives trading, listed and OTC derivatives, vanilla and exotics (Local Vol, SABR). ● Portfolio construction, real-time end-to-end portfolio management and reporting automation. ● Execution, Market Microstructure, Tick-Data, Market Making. ----------------------------------------------------------------------------------------------------------------------- ● R, Python, Matlab , C# , C++. ● OneTick (BigData), Bloomberg, CQG; (Terminals and APIs). ● Numerix, OpenGamma. ● TT XTrader/ADL , MorganDirect, Goldman Sachs Redi, Ion Trading. ● Scripting, Scheduling, and process automation. ● Advanced Excel, VBA, Power BI, Office, etc. ● Version control. ● Linux, Ubuntu. ● Latex. ----------------------------------------------------------------------------------------------------------------------- ● Patent Development and Writing. ● Project Management, collaboration with remote partners. ● Proprietary trading, Indices , Stocks, Equity derivatives, Commodity Markets.
• Initially reported to the CIO (Chief Information Officer) leading multiple data science projects (Quantamental Analyses, Satellite Imaging, Yield Modeling, Trading Dynamics, Macro Drivers, etc.). • Under the sponsorship of the CEO, I built an end-to-end systematic trading system (data pipelines, model selection, validation, high freq. proprietary execution algo, and monitoring) to model and trade a portfolio of 60+ of the most liquid futures globally. Collaborated with the leaders of LDC prop-trading ex-EDESIA hedge fund, and senior prop traders in the Strategic Trading Unit. • Ran a vast amount of statistical research across all asset classes. Explored and combined tens of millions of potential signals, from price/volumes dynamics to macro and fundamentals (time-horizons from minutes to weeks, intraday dynamics, liquidity, implied volatilities, fund positions, cross-asset dynamics). Mid Freq. Strats have out of sample/walk-farward Target Sharpe > 2 . • Modeled market reactions to economic releases Macro and S&D: e.g. WASDE/USDA reports for commodities; Econ News Central Banks, NFP, CPI, PMI etc. for all asset classes. • Built high-frequency execution algos (market microstructure / order book signals) for 60+ of the most liquid futures globally: CME/NYMEX/GLOBEX/ICE/EUREX
• Diversified portfolio of strategies: quant global macro, trend following, high freq., volatility. • Part of a team producing strategy research, implementation, trade execution, portfolio management, risk-allocation and performance reporting. Reported directly to the founders and the CEO. • Collaboration with the former Head of Research of IKOS (multi-billion Hedge Fund with 15ys track record). • Cross-asset: Interest Rates, FX (G8), Equities, ETFs, Volatility (VIX), Commodities (Energy, Metals, Agri, Softs).
Quant Global-Macro Hedge Fund • Quant Research and Analysis of new strategies across asset-class (Interest Rates, FX, Equities, Commodities). • Multidimensional Systematic modelling of key market drivers across asset-class (both drift and volatility). • Risk-modelling at strategy, portfolio and fund levels, both under normal and extreme conditions (tails). • Day-to-day Portfolio Management; Pricing and Trading of listed and OTC products: Futures, Options, Fx Fwd, IRSwaps, Swaptions. Vanilla and Exotics; Greeks monitoring, Hedging, etc. • Dev. a Quantitative-Trading-and-Risk-Management System for Real-time monitoring of Greeks and detailed PnL explanation at the trade, strategy, portfolio and fund levels.
One of the largest liquidity provider of IR futures. • Worked on the full life cycle of trading strategies: idea generation, statistical analysis, live implementation an ongoing adaptation. • Started new profit streams in interest rates, bond and commodity futures. • Collaborated to the improvements of the proprietary trading platform, directly generating PnL. • Keywords: Statistical Arbitrage, Market Microstructure,Market Making, Tick-Data.