Nilesh Moodley Email & Phone Number

London, United Kingdom

Alpha StrategiesDeveloping quantitative trading strategies in forex CFD's that trade algorithmically. Bespoke design of a back-testing and simulation framework to validate out-of-sample results over multiple years.Data WarehousingBuilt market scanners to collect data for numerous FX currency pairs. These data are used for simulations and optimisations before the models are deployed in live trading.Execution LayerUtilised the Interactive Brokers API to design a multi-threaded trading application. This application has a built-in matching engine and order aggregation facility to minimise the cost of trading.

New York

Conducting microprice research using machine learning algorithms for high-frequency price predictions.Created a research infrastructure to facilitate large-scale back-testing and optimisations of both existing and newly designed microprices, leading to the discovery of superior pricing methods for delta one products.Managing the creation, packaging and distribution of numerous analytical python modules across the firm, such as: a data reader API, which converts a serialised data format from C++ into a Python Pandas data frame; a book building API for level- and order-based exchange feeds and a file traversal API to support an integrated research environment.Designed various trading system metrics, including quoting risk management indicators and latency monitors, which identify potential failures in the automated trading environment.

New York

Leading the US effort in a global collaboration to internalise trade flows and negate brokerage fees.Implementation of backtesting and optimisation algorithms to discover profitable, low-latency strategies via simulations that determine efficient methods of allocating risk.Market microstructure research on US Treasury and Eurodollar futures leading to the discovery of key elements critical to the design process.Designed a database management system being implemented globally to produce efficient workflow processes, resulting in improved turn-around times for data analysis and reporting.

New York

Developed and presented quantitative trading strategies to the Head of Fixed Income to uncover methods of enhancing existing trading performance and Sharpe ratios.Created a STRIPS pricing tool for the structured products desk, for maturities up to 30 years with varying payment frequencies and yield curve premium adjustments.Developed a key performance indicator that estimates the daily short covering required by the repo desk based on live trade data. This metric highlights sector-specific trading capacities to avoid breaching internal risk limits.

Durban, South Africa

Systematic TradingManaged a portfolio of $200,000 trading South African index futures (ALSI).Achieved a Sharpe ratio of 0.66, outperforming the benchmark Sharpe of 0.02, implying that $1 deposited at inception grew to $5.60 versus the benchmark growth to $1.25. Quantitative Research and OptimisationsPerformed extensive research and development into momentum trading strategies to discover market inefficiencies. Identified optimal parameter sets via a heat map analysis to maximise historical performance without over-fitting to past data.Developed proprietary indicators to allocate appropriate risk limits based on the investor’s risk appetite and the statistical properties of the trading system.

Master Of Science (Msc), Computational Finance

Activities and Societies: Student Representative 2013-2014 A graduate specialization that incorporates finance, mathematics, statistics.

Bachelor Of Science (Bsc), Actuarial Science, Statistics

An internationally recognized undergraduate degree that combines both business and mathematical rigor, equipping students.