HEAD OF ALGO DESK
June 2021 - Current
Responsible for implementing a global algorithmic infrastructure for several divisions of the bank, ranging from quantitative strategies on the buy side, to automated market-making on the sell side.
SENIOR QUANT RESEARCHER
HEAD OF INFRASTRUCTURE
2019 - 2021
US equity quantitative strategy development, responsible for the automated-trading infrastructure. Modeling by stochastic processes, implemented automated investment framework, back-testing analytics and broker bridging. Technology stack based on C# with more quantitative—focused implementations done in F#.
SENIOR QUANT DEVELOPER
Agile development in the data lake project, Luxembourg. C# coding, Oracle DB interfaces, interconnection of quant APIs from the bank, REST functions over ASP.Net Web API. F# for specific type parsing problems and quant matters, Tableau for data analysis.
2017 - And earlier
Senior responsibilities. Designed mathematical models of the company and turned that into code, beginning from Excel VBA to C# over the years. Models based on stochastic processes governed by Boltzmann equations and other probabilistic approaches used for THE pricing and hedging of financial instruments, risk computations and market-predictive tools.