Professional Experience


Since March 2017
Freelance Data Scientist
Freelance Data Scientist, Thailand
Performing data science contracting jobs, projects include: creating recommendations system for a webshop, performing customer data analysis for a cafe, analysing GPS tracking data to identify human trajectories, optimising transportation costs for a online retailer, building a predictive model for oil and gas exploration data.
Technologies used: Python pandas, numpy, scikit-learn, tensorflow.
January 2016–September 2016
Quantitative Research Analyst
WorldQuant (Affiliate of Millennium Management), Bangkok Office, Thailand
Performing quantitative research for a global equity statistical arbitrage fund with a portfolio size of US$18 billion long and short, analysing and constructing automated trading signals from large data sets, including news, fundamental, options etc. Exploiting a variety of research techniques to develop alphas, ranging from simple statistical analysis for time series and cross-sectional data.
Results: Authored more than 100 alphas (with backtested Sharpe > 2) utilised by portfolio managers in trading strategies, received a research rating of 8+/10 for six consecutive months.
Technologies used: C/C++ and Python for implementing algorithms to find alphas.
March 2014–December 2015
Postdoctoral Researcher
Chair of Applied Stochastics, University of Duisburg-Essen, Germany
Investigating statistical inference of the Lévy density for a well-balanced Ornstein-Uhlenbeck process. Supervisor: Prof. Denis Belomestny (University of Duisburg-Essen).
Technologies used: Matlab for numerical simulations of statistical errors.
January 2010–February 2014
PhD Student
Chair of Energy Trading and Quantitative Finance, University of Duisburg-Essen, Germany
Stochastic Models for Energy Markets: Statistics, Pricing and Model Risk. Supervisors: Prof. Rüdiger Kiesel (University of Duisburg-Essen) and Prof. Fred Espen Benth (University of Oslo). PhD thesis is available here.
Technologies used: Matlab for all the computations needed to illustrate theory and process data.
June 2009–December 2009
Scientific Assistant
Centre of Mathematics for Applications, University of Oslo Norway
Conducting empirical analysis of electricity spot price modelling and developing pricing derivatives techniques in incomplete markets.
Technologies used: Matlab and R for numerical implementation of predictive models.
April–July 2008
Intern
Bayerische Hypo- und Vereinsbank, Munich, Germany
Developing, analysing and backtesting investment trading strategies at the Structured Equity and Commodity Products Department of one of the largest financial institutions in the European market.
Results: Empirically concluded that momentum and contrarian strategies outperformed for the short and medium investment horizon respectively. This finding aided internal asset managers on investment process.
Technologies used: VBA for building and testing investment strategies.

Research Interests

  • Stochastic processes and their application in finance
  • Financial mathematics
  • Energy commodity markets and valuation of energy derivatives
  • Machine learning, Deep learning

Education

October 2006–March 2009
MSc in Financial Mathematics University of Ulm, Germany
September 2001–July 2006
Diploma with Honors in Mathematical Methods in Economics
Saint-Petersburg State University, Russia
Theses
Master Thesis
Lévy-based electricity spot price modelling
Diploma Thesis
Capital valuation properties on the example of a Russian company: methods and comparative analysis
Relevant Courses
  • Applied Analysis
  • Numerical Finance
  • Probability Theory
  • Financial Mathematics
  • Financial Engineering
  • Stochastic Processes and Optimization
  • Levy Processes
  • Econometric and Simulation-based Methods
  • Stochastic Methods in Risk Management
  • Portfolio Optimization
  • Investment Banking

Skills

Programming
Matlab, C/C++, Python (numpy, pandas, scikit-learn, spark,...) R, VBA
Information Systems
Bloomberg, Reuters
Languages
  • Russian, native
  • English, fluent
  • German, intermediate
  • French, basic

Personal Development & Activities

  • Photography
  • Scuba diving, jungle trekking
  • Playing chess, ELO 1650 (social chess app, "musickisa")
  • Exploring wildlife
  • Astronomy (beginner)
  • Watching detective series
  • Playing music
  • Enjoying opera and ballet
  • Cooking some exotic dishes

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