Lead Quantitative Analyst
Current• Led and coordinated an index research group, overseeing the full lifecycle of multiple index families (Crypto and FX) including research, prototyping, documentation, deployment, and maintenance.• Conducted comprehensive research into limit order book dynamics using large-scale neural networks, advancing understanding of market microstructure behaviour.• Conducted exploratory research into neural network approaches for risk factor budget optimisation, establishing feasibility boundaries for ML applications in portfolio management.• Executed large-scale backtesting of client indices utilising terabyte-scale datasets, ensuring robust performance validation.• Developed and validated statistical arbitrage strategies through comprehensive backtesting and performance analysis.• Spearheaded the integration of Large Language Models (LLMs) into automated market summary report generation, streamlining reporting processes.• Contributed to team growth by actively participating in recruitment and interviews for the quantitative research group.
