Projects

MxBerry Core (2014-present)

Core library for boosting a development in Matlab. The library was originally developed as an auxilary library for [Ellipsodal Toolbox for Matlab](project/ellipsoidal_toolbox) project back in 2014.

PgMex (2014-present)

PgMex is a high-performance PostgreSQL client library for Matlab that enables a Matlab-based application to communicate with PostgreSQL database in the Matlab native way by passing data in a form of matrices, multi-dimensional arrays and structures. The library is written in pure C which gives a significant performance boost for both small and data-heavy database requests. Both Windows and Linux platforms are supported.

Equity Deep Learning/StatArb Portfolio Management System (2016–2018)

Deep learning-based semi-automatic trading system for US stock market.

Equity Index Volatility and Correlation Trading System (2013–2015)

ML-based semi-automatic market making and position trading system utilizing statistical arbitrage opportunities in volatility index – equity index future spreads on US market.

Risk Analytics Engine (2015–2016)

Broker-side stress-testing and optimization system for both aggregating and scaling multiple traders/strategies operating with options, futures, ETFs and stocks into a single portfolio for a better profitability/risk ratio for a broker.

Algorithmic Trading Development Environment: BEST Studio (2010–present)

Simulation platform for trading finance. It can simulate exchange functionality, exchange behavior, smart order routers, client behavior, market data sources and all interactions between them with a high degree of realism and consistency. A high-frequency exchange simulator uses a set of ML-based models to replicate a realistic behavior of the market. An integrated order-matching engine allows for tested trading strategies be surrounded by a realistic trading environment which can simulate various stress-testing scenarios (including exotic ones) while still keeping things realistic.

Equity/Index Options StatArb Portfolio Management System (2008-2013)

Semi-automatic trading system built for US options market making and position trading using a relative value implied volatility modeling based on a statistical forecasting of co-movements of implied volatility surfaces.

High Fidelity Exchange Simulator (2007–present)

Exchange Simulator built for major European investment bank program trading desk which models reaction of market participants on user intrusions (activity that is absent in historical data files) by replaying historical orders flow, processing orders submitted by users according to exchange rules and modeling the market response on these user orders using probability-driven empirically justified models. The simulator uses a set of ML-based models to replicate a realistic behavior of the market. Having a wide range of behavioral settings allows to simulate various (including exotic) scenarios while still keeping things realistic due to an integrated order matching logic and fine-tuned ML models.

Tick Data Storage & Analysis project (2007–2009)

Infrastructure built for US proprietary trading firm for storing and analyzing tick data and order entry data in backtesting and real-time modes, providing an environment for defining and operating value-added metrics calculations in real-time and on historical time spans.

Energy StatArb Portfolio Management System (2004–2007)

Energy StatArb Portfolio Management System. Semi-automatic trading system built for US energy hedge fund for generating trading recommendations on the market of energy/energy resources futures based on methods of Theory of Probability, Mathematical Statistics and Theory of Graphs, Time Series Analysis.