Jan 2020 – Nov 2021 · 1 yr 10 mos · Zurich, Switzerland

• High-fidelity C++ simulator for Eurex, CME, XNSE, BVMF, Binance, and Huobi.
• Rule-based (<<100 ns wire-to-wire latency) futures market making.

Mar 2016 – Nov 2019 · 3 yrs 8 mos · Amsterdam Area, Netherlands

• Market making of equity index and fixed income futures based on reinforcement learning (Q-lambda with neural network function approximator, target network, and potential-based reward shaping) based trading algorithms.

Nov 2015 – Present · 10 yrs 6 mos · London Area, United Kingdom

• Machine learning based optimization of Youtube advertising and ad campaign performance tracking.

Oct 2015 – Mar 2016 · 5 mos · Zürich Area, Switzerland

• Partially shared cryptographic digital ledger to transform back-office processes in the financial industry and financial markets.

Jan 2013 – Oct 2015 · 2 yrs 9 mos · London Area, United Kingdom

• Market making of European cash equities on dark pools.

Oct 2011 – Oct 2012 · 1 yr · London Area, United Kingdom

• Quantitative studies of European and US markets (and subsequent adaptation into trading strategies) regarding market microstructure, limit order book dynamics, venue idiosyncrasies, lead-lag relationships, correlation term structure, latency analysis, ...

Sep 2009 – Oct 2011 · 2 yrs 1 mo · London Area, United Kingdom

• Senior quant in European proprietary high-frequency trading group. Pan-european index arbitrage and futures & cash equity market making.

May 2007 – Jul 2015 · 8 yrs 2 mos · Zurich, Switzerland

• Teach class "Molecular Fluid Mechanics".

Sep 2000 – May 2007 · 6 yrs 8 mos · Zurich, Switzerland

• Teaching:
• Teaching class "Compressible Fluid Mechanics"
• Numerical research:
• Molecular Dynamics (MD) simulations of shock waves propagating through dense Argon and Nitrogen. Subsequent data analysis to determine profiles of macroscopic properties (density, velocity, temperature) across shock front, shock thickness, moments of the velocity distribution function, velocity correlation function, radial distribution function, and distribution of molecular orientations.
• Experimental research:
• Laser diagnostic measurements in supersonic, chemically reacting flows.
• Design of scientific payload to be flown on ESA's EXPERT mission (European eXPErimental Reentry Testbed) to study shock wave boundary layer interactions.

May 2007 – Aug 2009 · 2 yrs 3 mos · Dublin, Ireland

• Development (research, implementation, backtesting) of low-latency, liquidity-taking trading strategies for European equities. The strategies per se and signals (mostly microstructure-based) are not particularly noteworthy, but I found an elegant way to take into account the differences across the universe (spreads, tick size, ...) without overfitting by optimising models on a stock by stock basis.

Sep 2001 – Mar 2002 · 6 mos · Zurich, Switzerland

• Application of Data Envelopment Analysis to performance benchmarking of financial institutions.

Sep 1995 – Jun 2000 · 4 yrs 9 mos · Pasadena, CA

• Development on laser diagnostic techniques in GALCIT's T5 hypervelocity shock tunnel.

Oct 1991 – Sep 1992 · 11 mos · PzArtBtl 295, Immendingen, Germany

• Defending the fatherland from behind a desk.