Part of the Equities Electronic Trading quant research team. The team develops algorithmic solutions for the single stock and portfolio execution businesses. Brief summary of contributions (so far):• Implemented a covariance matrix calibrator using the Graphical Lasso procedure described in Friedman et al. Resulted in improved performance (for the single stock replicating portfolio use case) compared to existing prod models.• Did an end-to-end study, from data gathering to inference, comparing 2 portfolio execution solutions. Identified the value added/subtracted by features that are present in one but not the other.

Part of the Rates Pricing and Risk Strats team. The team developed the infrastructure around yield curve construction and risk analytics for the Rates business. Brief summary of contributions:• Optimized the infrastructure for calculating risk transformation matrices. Resulted in 50% reduction of runtime (averaged across all overnight jobs) and significant reduction in BAU support work for the team.• Developed reactive spreadsheets for Sterling Gilts traders with live risk and position numbers and for EMEA US Treasury traders with on the fly yield curve calibration using live market data.

Laid the groundwork for the development of a data driven executive dashboard to analyse the threats and opportunities presented by localisation and micro payments.