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.
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.
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.
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.