Working on quantitative trading system.

+ Edited the MOSEK Portfolio optimization cookbook (up to version 1.5): docs.mosek.com/portfolio-cookbook/index.html+ Created code examples for users:github.com/MOSEK/PortfolioOptimization+ Provided technical guidance, consultancy, and support to many financial customers.+ Held presentations on portfolio optimization at workshops and events.+ Research on popular methods and new ideas related to portfolio optimization.+ Became an expert in conic optimization, in particular portfolio optimization.

Providing research, analytics, development, and consulting services in quantitative finance, applied mathematics, and data science topics. Projects:+ Developed systematic trading strategy search.+ Worked on Python scripting of C-Trap optical tweezer (as visiting researcher at University of Copenhagen). + Created tools for option trading analytics, strategy backtesting.+ Created webpage for computation of various entropies for hearth rate signals. (http://entropycalc.com)+ Wrote data processing scripts to automatize work for accounting company.+ Wrote scripts in Qiskit for research on quantum circuits.My freelancer profile: https://www.upwork.com/fl/gaborballoTechnical environment: Python (pandas, numpy, deap, bluelake, flask, qiskit), AmiBroker AFL

Accomplishments:+ Upgraded and maintained code for tied asset coverage optimization, added secondary objectives. Later refactored the code to make it more memory efficient.+ Completely refactored code for Solvency II report production to make it more automatic, more structured, more self contained, and easier to use for analysts.+ Developed Python code from scratch for automatizing ESG, that is capable of processing large amount of data to produce hundreds of factsheets under several minutes.+ My algorithm to do mapping of fund or currency level FX hedges to shareclasses is in production in the core of the framework to this day.+ Put effort into structuring the framework, separating input processing from internal format conversion, making code more object oriented, manual tasks automatized in general.+ Worked with multi-asset class financial data in a startup team environment, where I gained working knowledge of equity, fixed income, options, FX forwards, etc.Responsibilities:+ Regulatory reporting (Solvency II, Swiss investment guidelines, PKG, COVIP, ESG factsheets).+ SCR calculations and fund-of-fund look-through from raw fund accounting data.+ Develop and maintain reporting framework in Python and MATLAB.+ Analyse, clean, enrich client data, write conversion interfaces, map CIC and NACE codes, map FX hedges to shareclasses.+ Compute optimal tied asset coverage for insurance companies according to regulation.Technical environment: Python (pandas, cvxpy), MATLAB, QuantLib, Git

Accomplishments:+ Created more than 200 algorithmic strategies for stock markets, based on 30+ datasets.+ Used datasets on fundamentals, earnings, analyst estimates, options, short interest, market news sentiment, supply chain, etc.+ Researched trading ideas based on machine learning.+ Created strategy postprocessing operators, Bash scripts, and Python tools to facilitate daily work, that the whole group could use.Responsibilities:+ Formulate trading ideas, develop algorithm code in C++.+ Analyse various datasets in search of predictive signals.+ Run backtests for strategies, evaluate algorithms based on performance measures.+ Combine trading algorithms to portfolios using various weighting methods.Technical environment: C++, Python, Linux shell scriptingCourses:+ Data Science: Data to Insights, MIT Professional Education

Accomplishments:+ Studied the structure of Bell inequalities using geometric and linear programming approach.+ Developed MATLAB program to compute optimal inversion channel for a given decoherence process+ Studied quantum channels with memory. + Built up a course on C/C++ and program design+ Built up a course on LaTeXResponsibilities:+ Teaching: C/C++ and Python programming, Mathematical analysis, LaTeX, Linear algebra, Probability theory, Operations research, Information theory+ Research: Quantum information theory.

Accomplishments:+ Learned about database clusters, database management systems.Responsibilities:+ Manual testing of UI+ Automatic testing using Python scripts+ Write bug reportsTechnical environment: Python, Bash, various Linux distributions, VirtualBox, Vagrant, Git

Research activity: + Used MATLAB to get numerical insight on the eigenfunctions of a discretized integral operator.+ Developed a Python program to help visualize the exclusion distances between disk-sector shaped particle pairs.+ Analytically derived the eigenfunctions of a nonsymmetric integral operator to gain insight into the ordering properties of disk-sector shaped particles in a narrow tube. Project activity:+ Used MATLAB for the comparison of classification methods on audio signals.+ Developed a vehicle sound classifier program in MATLAB.+ Developed a sound classifier in MATLAB to detect chainsaw noise in forest environment. Teaching activity:+ Held practice for control theory, digital signal processing, and C/C++ programming courses for engineering students.Gained: Research skills, project work in teamTechnical environment: MATLAB, Python

Project activity:+ Took part in a project studying knowledge based user activity recognition methods with applications in smart home energy saving.+ Reviewed relevant literature, and summarized approaches to user activity recognition, and energy saving. + Described model for simulating user behaviour in a smart home. + Studied existing Mathematica simulation program for directions of further development.Gained: Experience in a foreign team environmentTechnical environment: Mathematica + Prepared and gave a lecture on results.Gained: Experience in a foreign team environment.Technical environment: Mathematica