Expert Services and Consulting in Quantitative Finance and Financial Data Science

Financial Data Science Expertise – Selected Engagements 

Short-term equity signal construction (U.S. asset manager)

Developed a suite of signals (R, Matlab) for short-term equity trading around market open using boosted trees and random forests with market technicals

Course on modern machine learning methods in quantitative finance (varying length and scope)

  • Principles of machine learning, supervised and unsupervised learning in quantitative finance
  • Applications of reinforcement learning to trading
  • Implementation and testing of machine learning-based models (Python, Pandas, scikit-learn, Keras, PyTorch, TensorFlow)

Course in statistical methods (hedge fund; 15 weeks)  

  • Developed and delivered a customized 15-week course on statistical modeling techniques, including probability theory, hypothesis testing, inference and estimation. Extensive coverage of linear regression models

Workshop series on statistical arbitrage (hedge fund; 15 weeks)

  • Designed and delivered a novel workshop series on techniques used in statistical arbitrage and quantitative trading
  • Topics included intermediate statistical techniques, pairs trading and mean reversion, forecasting regressions, relative value strategies, backtesting, risk management of portfolios of strategies (Python, Matlab)

Black-Litterman portfolio optimization and machine learning (asset managers and hedge funds; varying length and scope)

  • Portfolio construction methodologies with and without transaction costs (Python, Matlab, MOSEK, CVX). Addressing estimation errors in model inputs through Black-Litterman, Black-Litterman-Bayes and other Bayesian techniques
  • Usage of modern machine learning techniques to generate forecasts on the security- and factor-levels

Training program in quantitative finance (Chinese research company; 6 weeks)

  • Developed and delivered a 6-week intensive training program on quantitative finance in VBA for a leading independent educational and research company in China
  • Topics included fixed income analytics, optimal portfolio selection, option pricing, and interest rate models