I have recently finished my PhD in Statistical Science where I studied at University College London (UCL) and a member of the Financial Computing CDT. I also have an MRes in Computer Science and an MPhys in Theoretical Physics from the University of Manchester.
I have worked in the finance industry at large investment bank as part of an equity derivatives team that engineered software to price a large range of securities. I have also worked at a smaller firm as an intern trading ETFs across the globe
My Day Job Now
I’m a Quant at BestX and spend the day researching financial markets, which typically involves cleaning data, making graphs and trying to come up with some (hopefully) interesting insights about the world of FX, fixed income and equity trading.
Examples of my work can be found in the trade press:
- To Cross or Not to Cross
- Choppy markets revive quest for RFQs magic number
- Volatile FX markets reveal pitfalls of RFQ
- Price limits in FX algos: fill your boots
- BestX RFQ Par Introduces a New Way to Look at Hit Ratios
- How Long Should TWAP algos run?
All of which you probably need to be a subscriber to.
Outside the Day Job
I also have a keen interest in sports modelling and how statistics can be used in professional sports and gambling, I enjoy a good film, watching a boxset too quickly and a bit of a foodie. Here I am enjoying some delicious Korean BBQ.
QuestDB Part 2 - High Frequency Finance (again!)
Last time I showed you how to set up a producer/consumer model to build a database of BTCUSD trades using the CoinbasePro WebSocket feed. Now I’ll show you how you can connect to the same database to pull out the data, use some specific timeseries database queries and hopefully show where this type of database is useful by improving some of my old calculations. You should read one of my older blog posts on high frequency finance (here) as I’m going to repeat some of the calculations using more data this time.