Quantitative Trading Intern, Fixed Income Relative Value
Current• Ideated, implemented, and back-tested statistical arbitrage strategies—interest rate butterfly mean reversion trading models for US Treasuries and British Gilts factoring for repo rates and slippage from the bid-ask spread.• Deployed a grid search algorithm to fine-tune parameters, continually adjusting for new market dynamics.• Built a custom Python library to back test and validate proprietary strategies over a large dataset dating back to 1994, ensuring optimal historical… Show more • Ideated, implemented, and back-tested statistical arbitrage strategies—interest rate butterfly mean reversion trading models for US Treasuries and British Gilts factoring for repo rates and slippage from the bid-ask spread.• Deployed a grid search algorithm to fine-tune parameters, continually adjusting for new market dynamics.• Built a custom Python library to back test and validate proprietary strategies over a large dataset dating back to 1994, ensuring optimal historical performance through various economic cycles and maximizing future returns.• Created a real-time forward rate model using the Quantlib library to optimize repo agreements—eliminating the current Excel spreadsheet model.• Automated large data set collection for testing models to optimize algorithms using the Bloomberg BLP API. Show less
