Lucas Krenn Email & Phone Number

Research and development of part-of-speech machine learning models (including conditional random fields) used to parse and clean various unstructured fixed income quotes for later use in alpha generation. Development of automation and web-scraping tools used to assist in the decision making processes of various projects and for report generation.

Mcmaster University

The MIRC was founded as McMaster's first student research team to use the mathematics, statistics and computer science material taken from the undergraduate curriculum to conduct quantitative research in algorithmic trading strategies and better equip students with the industry skills necessary to work in a quantitative field.

Research and development of WALLACE: a genetic algorithms-based model that uses a proprietary branch of Evolutionary Computing to mimic the process of selective breeding and natural selection in order to optimize portfolios with various mandates. Development of tools and documentation related to the everyday requirements of a start-up hedge fund.

Independently tested a hypothesis that claimed the feasibility of cross-sectional momentum trading strategies on sector/country aggregates after considering constraints, volatility-targeting, and transaction costs.Developed independent research ability by taking ownership of the project in its entirety.

Toronto, Ontario, Canada

Assisted in developing a liability-driven investment tool used to calculate a client's probability of achieving their retirement goals given various assets and liabilities (VBA)Created a web-scraping tool that stores various geopolitical and economic events to be categorized algorithmically and analyzed for market implications (R)Created a historical factor-based tool which analyzes future expected market risk and return given current or hypothetical positions of economic indicators (VBA)

Toronto, Ontario, Canada

Responsibilities include carrying out the valuation of various types of derivatives (including mortgages, morgage-backed securities, commodity and interest rate swaps, warrants, options, and fixed-income products), gathering data from Bloomberg to be used in valuation models, preparing reports to be sent to clients.Developed understanding of complex derivatives, their respective valuation models, Bloomberg software, MS Office Suite, and time management skills. Greatly improved both problem solving skills and ability to work independently.

The Mathematical Investment Research Council was approached by Bearing Capital Partners to create a small team to develop and implement a strategy for locking in/paying out insurance on volatility using exchange traded instruments such as SVXY. The strategy involves a model which sifts through and optimizes the combination of various indicators related to the behaviour of uncertain markets and the instruments traded.

13-75 Rosedale Avenue

Effective instruction of piano, guitar, and drums lessons to students ranging from children to adults. Development in communication, professionalism, punctuality, and teamwork while participating in concerts and in bands.

Toronto, Ontario, Canada

Creating and optimizing machine learning models using Python (and packages such as Numpy, Scikit-Learn, Pandas, and Matplotlib) to discover, analyze, and forecast relationships between major Canadian macroeconomic factors and key performance indicators related to TD's credit card business.

As a mathematics tutor, I develop and refine lessons tailor made to the learning styles and speed of each individual student. This position helps further develop effective communication, planning, and teaching abilities.

Master Of Mathematical Finance (Mmf)

B.Sc., Honours Mathematics And Statistics (Co-Op)

Summa cum Laude

Ossd, Instrumental Music Arts

Activities and Societies: Chair Trumpet of Symphonic Band, Lead Snare of Drumline, Keyboardist of Jazz Band, Keyboardist of Jam Club.