S

Sergio Iommi

CEO

London, England, United Kingdom11 yrs 4 mos experience
Highly StableAI Enabled

Key Highlights

  • Expert in quantitative trading strategies using machine learning.
  • Developed advanced volatility forecasting models.
  • Strong background in financial time-series analysis.
Stackforce AI infers this person is a Fintech expert specializing in quantitative trading and machine learning applications.

Contact

LinkedIn

Skills

Core Skills

Quantitative TradingMachine LearningVolatility TradingQuantitative ResearchCredit TradingOptions Trading

Other Skills

CConvolutional Neural Networks (CNN)Credit DerivativesCredit IndexCryptoDeep LearningDeep Q-NetworkDerivativesEclipseEquitiesFeature SelectionFinancial EconometricsFinancial EngineeringFinancial ForecastingFinancial Time-Series Forecasting

About

sergio.iommi@gmail.com ๐–๐ž๐›-๐๐ซ๐จ๐Ÿ๐ข๐ฅ๐ž: โ€ข https://github.com/SergioIommi/ โ€ข https://www.kaggle.com/sergioiommi โ€ข https://www.youtube.com/@SergioIommi ๐“๐ž๐œ๐ก ๐’๐ญ๐š๐œ๐ค: โ€ข Languages: Python (main focus), R, MATLAB, Bash โ€ข OS/Dev/Misc. Tools/Software: Linux, Git, Poetry, Docker, Excel/VBA โ€ข Database/Datastore/API/IO: MongoDB, PyMongo, Parquet, HDF5, RESTful APIs, asyncio, aiohttp โ€ข Data Science/Scientific Computing Stack: Pandas, Numpy, Scipy, Scikit-Learn, StatsModels, Optuna โ€ข Parallel/Distributed/Cloud/GPU Computing: Google Cloud, Ray, Dask.distributed, Dask DataFrame, ML training/hyperparam optimization on Multi-CPU/Multi-GPU clusters (NVIDIA RAPIDS: cuDF/Dask-cuDF, Dask-CUDA, cuML/Dask-cuML) โ€ข Data Analytics Apps/Dashboards/Front-end: Plotly Dash โ€ข Quantitative Finance: Quantlib ๐“๐ซ๐š๐๐ข๐ง๐  ๐’๐ญ๐ซ๐š๐ญ๐ž๐ ๐ข๐ž๐ฌ & ๐€๐ฌ๐ฌ๐ž๐ญ ๐‚๐ฅ๐š๐ฌ๐ฌ๐ž๐ฌ/๐๐ซ๐จ๐๐ฎ๐œ๐ญ๐ฌ: โ€ข (Black-Box/Machine Learning/Deep Learning) Statistical Arbitrage/Systematic Macro on Futures (Commodities/Energy/Metals/Stock Indices), Cash Equities, Forex โ€ข Systematic Volatility (Volatility Risk-Premia/Volatility Arbitrage) on ETF Stock Index Options, Credit Index Options โ€ข Traded in personal capacity (macro trading/investing): Futures, Futures Options, ETFs, ETF Options, Forex

Experience

11 yrs 4 mos
Total Experience
2 yrs 3 mos
Average Tenure
2 yrs
Current Experience

Gardening leave

Gardening Leave

Jun 2024 โ€“ Present ยท 2 yrs

  • Joining new firm in Sep-2024.

Quantinuum

Senior Quantitative Researcher / Data Scientist (Quant Trading)

Jan 2019 โ€“ May 2024 ยท 5 yrs 4 mos ยท London, England, United Kingdom

  • ๐Œ๐š๐œ๐ก๐ข๐ง๐ž ๐‹๐ž๐š๐ซ๐ง๐ข๐ง๐  / ๐ƒ๐ž๐ž๐ฉ ๐‹๐ž๐š๐ซ๐ง๐ข๐ง๐  ๐›๐š๐ฌ๐ž๐ ๐๐ฎ๐š๐ง๐ญ ๐“๐ซ๐š๐๐ข๐ง๐  (๐…๐ฎ๐ญ๐ฎ๐ซ๐ž๐ฌ, ๐‚๐š๐ฌ๐ก ๐„๐ช๐ฎ๐ข๐ญ๐ข๐ž๐ฌ)
  • (๐๐ฅ๐š๐œ๐ค-๐๐จ๐ฑ) ๐’๐ญ๐š๐ญ๐ข๐ฌ๐ญ๐ข๐œ๐š๐ฅ ๐€๐ซ๐›๐ข๐ญ๐ซ๐š๐ ๐ž / ๐’๐ฒ๐ฌ๐ญ๐ž๐ฆ๐š๐ญ๐ข๐œ ๐Œ๐š๐œ๐ซ๐จ:
  • R&D of quant trading strategies based on Machine Learning/Deep Learning forecasting models (tick-by-tick limit order book and trades data)
  • Worked on full stack: EDA, ETL/data pre-processing, feature engineering (market-microstructure), feature selection, model training/selection, backtesting, deployment for live trading, monitoring
  • ๐’๐ฒ๐ฌ๐ญ๐ž๐ฆ๐š๐ญ๐ข๐œ ๐Ž๐ฉ๐ญ๐ข๐จ๐ง๐ฌ / ๐•๐จ๐ฅ๐š๐ญ๐ข๐ฅ๐ข๐ญ๐ฒ ๐€๐ซ๐›๐ข๐ญ๐ซ๐š๐ ๐ž / ๐•๐จ๐ฅ๐š๐ญ๐ข๐ฅ๐ข๐ญ๐ฒ ๐…๐จ๐ซ๐ž๐œ๐š๐ฌ๐ญ๐ข๐ง๐ :
  • R&D of time-series regression models for volatility forecasting (Deep Learning RNN-LSTMs, TFT/Temporal Fusion Transformer, GARCH, SVM/SVR, time-series cross-validation for hyperparameter optimization)
  • Implemented full infrastructure for strategy design/backtesting:
  • 1) data download: API based on asyncio/aiohttp (concurrent programming approach) for efficiently download intraday data from Refinitiv
  • 2) data pre-processing: engine to parse tickers and compute implied volatility/greeks of american options (Quantlib, py_vollib_vectorized)
  • 3) backtesting: with ray (shared memory/parallel computation) to test multiple parameters for different option strategies (e.g., straddles/iron condors/etc. made of option legs with different delta-strike, time-to-expiry, etc.) and delta-hedging approaches
  • ๐“๐ž๐œ๐ก ๐’๐ญ๐š๐œ๐ค / ๐ƒ๐š๐ญ๐š:
  • Linux, Python, bash, Pandas, Numpy, Poetry, ray, HDF5, Quantlib, PyCharm, git, Docker, Atlassian JIRA/Confluence, Slack, LSEG/Refinitiv Datascope Tick-History/Elektron
Machine LearningDeep LearningStatistical ArbitrageVolatility TradingOptionsFutures+3

Self-employed

Quantitative Trading

Jan 2017 โ€“ Jan 2018 ยท 1 yr

  • ๐Œ๐š๐œ๐ก๐ข๐ง๐ž ๐‹๐ž๐š๐ซ๐ง๐ข๐ง๐  / ๐ƒ๐ž๐ž๐ฉ ๐‹๐ž๐š๐ซ๐ง๐ข๐ง๐  ๐›๐š๐ฌ๐ž๐ ๐๐ฎ๐š๐ง๐ญ ๐“๐ซ๐š๐๐ข๐ง๐  (๐…๐จ๐ซ๐ž๐ฑ, ๐‚๐ซ๐ฒ๐ฉ๐ญ๐จ)
  • ๐๐ฎ๐š๐ง๐ญ๐ข๐ญ๐š๐ญ๐ข๐ฏ๐ž ๐‘๐ž๐ฌ๐ž๐š๐ซ๐œ๐ก / ๐ƒ๐ž๐ฏ๐ž๐ฅ๐จ๐ฉ๐ฆ๐ž๐ง๐ญ:
  • Implemented trading execution infrastructure for quant trading strategies (ML/DL based)
  • R&D of statistical arbitrage strategies on crypto derivatives (mean-reversion basis-trading with Kalman filter)
  • ๐“๐ž๐œ๐ก ๐’๐ญ๐š๐œ๐ค / ๐€๐๐ˆ๐ฌ:
  • Python, Numpy, Pandas, HDF5 tick database, CCXT (API for multiple crypto exchanges), IB API with Python
Machine LearningDeep LearningStatistical ArbitrageForexCryptoQuantitative Trading

Politecnico di milano

Researcher

Jan 2015 โ€“ Jan 2017 ยท 2 yrs ยท Milan, Lombardy, Italy

  • ๐ƒ๐ž๐ž๐ฉ ๐‹๐ž๐š๐ซ๐ง๐ข๐ง๐  ๐Ÿ๐จ๐ซ ๐…๐ข๐ง๐š๐ง๐œ๐ข๐š๐ฅ ๐“๐ข๐ฆ๐ž-๐’๐ž๐ซ๐ข๐ž๐ฌ ๐…๐จ๐ซ๐ž๐œ๐š๐ฌ๐ญ๐ข๐ง๐  / ๐๐ฎ๐š๐ง๐ญ ๐“๐ซ๐š๐๐ข๐ง๐  (๐…๐ฎ๐ญ๐ฎ๐ซ๐ž๐ฌ, ๐…๐จ๐ซ๐ž๐ฑ)
  • ๐๐ฎ๐š๐ง๐ญ๐ข๐ญ๐š๐ญ๐ข๐ฏ๐ž ๐‘๐ž๐ฌ๐ž๐š๐ซ๐œ๐ก:
  • Successfully adapted deep learning models (deep RNNs/recurrent neural networks, LSTMs, RNN-MLP hybrids) to forecast financial time-series from market-microstructure features and obtain alpha signals for quantitative trading strategies. Compared results with econometric models (VAR/Vector Auto-Regression).
  • ๐๐ฎ๐š๐ง๐ญ๐ข๐ญ๐š๐ญ๐ข๐ฏ๐ž ๐ƒ๐ž๐ฏ๐ž๐ฅ๐จ๐ฉ๐ฆ๐ž๐ง๐ญ:
  • Built datafeed recorders to collect tick-by-tick (limit order book and trades) data used for training the DL models
  • Built AutoML infrastructure to discover quant trading strategies by comparing time-series forecasting models across products/frequencies with a strict focus on overfitting avoidance (data pre-processing, feature engineering, feature selection, training of models, model comparison/selection, parametric backtester)
  • ๐“๐ž๐œ๐ก ๐’๐ญ๐š๐œ๐ค / ๐€๐๐ˆ๐ฌ:
  • Python, Numpy, Pandas, Keras, Scikit-Learn, StatsModels, HDF5, MATLAB, R, DTN IQFeed MATLAB API, IBrokers R API, Dukascopy (forex liquidity aggregator)
Deep LearningMachine LearningFinancial Time-Series ForecastingQuantitative Research

Goldman sachs

2 roles

Credit Index Options Trader

Jan 2012 โ€“ Jan 2014 ยท 2 yrs ยท London, United Kingdom

  • Credit index options market-making
  • R&D of volatility arbitrage strategy on credit volatility
Credit IndexOptionsVolatility TradingVolatility ArbitrageCredit TradingOptions Trading

Summer Intern - Securities Division (FICC & Equities)

Jan 2011 โ€“ Jan 2011 ยท 0 mo ยท London, United Kingdom

European central bank

Intern - Euro Area Macroeconomic Developments Division (EAM)

Jan 2011 โ€“ Jan 2012 ยท 1 yr ยท Frankfurt Am Main Area, Germany

MatlabFinancial EconometricsTime Series Forecasting

Education

Politecnico di Milano

Master of Engineering (MEng) โ€” Mathematical Engineering

Korea Advanced Institute of Science and Technology

Graduate Exhange Program โ€” Applied Mathematics

Politecnico di Milano

Bachelor of Engineering (BEng) โ€” Computer Engineering

Liceo Scientifico Medi, Montegiorgio

Diploma di Maturitร  Scientifica

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