Matlab

ML-based Clustering System for Large Data Sets (2019)

Iterative clustering algorithm operating on large dataset not fitting into RAM, processing took days.

Ellipsoidal Toolbox for MATLAB (2013-2018)

Ellipsoidal Toolbox for MATLAB is a standalone set of easy-to-use configurable MATLAB routines and classes to perform operations with ellipsoids and hyperplanes of arbitrary dimensions.

MxBerry Core (2014-2018)

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)

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 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.

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.

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.

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.