Sep 2020 – Present · 5 yrs 6 mos · Toronto, Ontario, Canada

• Found and proved upper and lower bounds for various properties in semi-random processes with k-choices
• Numerically computed bounds using differential equations in Mathematica and Maple
• Applied combinatorial and algorithmic techniques to formulate and solve for the hopping number in random d-regular graphs
• Approximated trajectories of random processes by modelling them as systems of differential equations in order to understand and generalize the behavior of the underlying processes
• Computed first and second moments to prove tightness and error ranges of proposed solutions

Oct 2018 – Nov 2019 · 1 yr 1 mo · Calgary, Alberta, Canada · Remote

• Coded and executed trading algorithms in Python including market-making and spot/futures arbitrage
• Unified trading APIs across different exchanges, created end-to-end functionality for reading price/volumes and making trades
• Ran simulations to track and measure risks across market scenarios

Aug 2016 – Present · 9 yrs 7 mos · Toronto, Ontario, Canada

• Created a market-making algorithm for stocks and ETFs, using Interactive Brokers API in Python.
• Ensured code and data quality to render reproducible work.
• Backtested trading algorithms, evaluating various metrics such as annualized return, Sharpe and Sortino ratios, and maximum drawdown.
• Automated price parsing, order placement and scanning across all stocks using custom designed filters.
• Achieved a realized annualized return of 87.30% over the course of 2 years with a Sharpe ratio of 5.71.
• Succeeded in coding a robust trading framework, with embedded error and exception handling.
• Identified and acted upon market inefficiencies discovered through conducting strategy & market research.
• Generated diversified risk-adjusted returns through multiple uncorrelated strategies.
• Conducted statistical analysis on large datasets with millions of records using Numpy and Pandas.

Jul 2016 – Aug 2016 · 1 mo · Amsterdam Area, Netherlands · On-site

• Calculated the extent of bidding or offering in the options market on any given day by creating a scalpability measure to determine two-way Vega flow
• Simulated position retreat in MATLAB and Python to manage build up of Greeks in one-sided markets
• Simulated Trading and Market Making on EUROSTOXX 50 options by defining a parametrized volatility surface

May 2015 – Aug 2015 · 3 mos · Toronto, Canada Area

• Created a Jump Diffusion model and Variance Gamma model to price energy derivatives as part of a research award granted by Ryerson University
• Priced and Hedged Energy Derivatives under Levy Processes in MATLAB using Monte Carlo Simulation