I created the Liquidity Intelligence application that puts the power of an SOR in the hand of a trader or product manager. I lead the research, development and sales effort and implemented it on the big xyt platform. I also helped with business development and marketing of big xyt's other products.

I built a recommendation system in Python that matches mentees with mentors, online courses and workshops.

Equity Trading Execution Products and Analytics

Algorithmic trading - execution

Optimization, selection, and allocation of models.

Market Microstructure and Statistics of High Frequency Trading.Focus on large tick futures assets. All application used futures tick data.Papers:- Large tick assets: implicit spread and optimal tick size. In Global Trading.Provided a framework linking microstructural properties of an asset to the tick value of theexchange. Introduced the notion of implicit spread for large tick assets. Quantied the tick size of large tick asset. Forecasted the microstructure after a change in the tick value.- Non-parametric Kernel Estimation For Symmetric Hawkes Processes. In The European Physical Journal B. Introduced a non parametric method to recover the kernel of a symmetric Hawkes process using Fourier Transforms.- Discrete Microstructure Noise. Introduced a simple point process model that faithfully reproduces the Signature Plot effect of the variance. Model also captures the autocovariance of tick returns.- The Nature of Price Returns During Periods of High Market Activity. In Econophysics of Order-driven Markets, Springer Verlag. Provided empirical observations about the behavior of returns across variable time scales.

Execution trading algorithms, client execution analysis and market microstructure.