Projects

Implementation Shortfall model (2006–2007)

Model built for major European investment bank program trading desk provides an approach towards calculating optimal order execution schedule based on "implementation shortfall" (ISF) minimization.

Market Impact Model (2006–2007)

Model built for major European investment bank program trading desk provides an approach towards making a quantitative estimates of influence of a market participant on market itself.

Tick data comparison tool (2004)

The tool developed for major European investment bank program trading desk provides means for comparing tick data recorded from multiple sources thus allowing estimating a tick data relative quality.

Behavioral testing environment for proprietary intraday trading system (2003–2004)

The environment built for Major European investment bank provides means for backtesting of trading strategies incorporated into existing intraday trading system realizing arbitrage opportunities by trading with combinations of equity baskets and equity index futures.