Gábor Balló Email & Phone Number

Copenhagen, Capital Region, Denmark

Working on quantitative trading system.

Copenhagen, Capital Region, Denmark

+ 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.

Copenhagen, Capital Region, Denmark

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

Budapest, Hungary

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

Budapest, Hungary

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

Department Of Applied Mathematics

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.

Pécs (Remote Work)

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

Department Of Electrical Engineering And Information Systems

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

Research Institute For Symbolic Computation

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

Doctor Of Philosophy (Ph.D.), Information Technology, Quantum Information, Summa Cum Laude

PhD: + Defined the robustness of quantum error correction against uncertainties in the noise process. + Characterized the geometric.

Engineer'S Degree, Information Technology, Excellent

Activities and Societies: National Scientific Students’ Associations Conference: Special prize (2009), Institutional Scientific Students’.