Christoph Auth Email & Phone Number

Stockholm County, Sweden

Stockholm, Stockholm County, Sweden

• Developing technological infrastructure for systematic asset management
• Includes database management, implementing backtesting frameworks, automation of manual components within the existing asset management processes as well as the improvement of current models & signals used

Zurich, Switzerland

Zürich Area, Switzerland

• Institute of Data Analysis and Process Design (IDP) - Finance, Risk Management and Econometrics
• Project and Team Lead on two research projects (~1.4 Mio. CHF in Funding): a) Reinforcement learning (RL) for trade execution & factor investing b) Data integration for equity databases using transformers
• Initiator and Head of the further education course “Machine learning and deep learning for Finance”; responsible for teaching RL therein
• Co-author and maintainer of R packages for modelling and analyzing financial contracts and systemic risk

Zürich Area, Switzerland

• Carried out research and designed fully systematic equity trading strategies incorporating all aspects like data management, signal generation, risk management and portfolio construction
• Designed complete Momentum and Quality Factor Strategies
• Implemented a systematic equity screening and filtering process currently in use by two large global wealth managers

London, Großbritannien

• Implemented portfolio optimization algorithms for long-term strategic asset allocations, including expected return estimates
• Researched and designed systematic trend-following strategies

• Implemented the Continuous Wavelet Transform and Wavelet Coherence for time-frequency analysis of financial time series as working code using MATLAB
• Used the above to investigate if hedge-fund returns can be considered uncorrelated with stock-market returns across different times and frequencies
• Project has won the NAG Student Direct Award 2014 for outstanding research in financial mathematics. A full report including MATLAB code can be downloaded.

Köln Und Umgebung, Deutschland

• Provided mathematical tutoring and coursework support to both high school students and undergraduates, helping to develop their understanding of the subject and improve problem solving skills
• Teaching included one-to-one lectures, as well as group sessions

Köln Und Umgebung, Deutschland

• Researched both the bank's clients and clients' competitors through annual reports and other publicly available information
• Thus developed a database which also incorporated Credit Default Swap quotations, providing the team with necessary information to estimate risk premiums for clients

Master Of Science - Ms, Financial Mathematics, Distinction

Certificate (Coursera), Financial Mathematics, 97%

Bachelor Of Science (B.S.), Economics

Activities and Societies: AIESEC Local Committee Bonn. Team Finance. Responsible for financial transactions between international interns.

Economics

Exchange Program