About Me

I’ve got a PhD in Statistical Science from University College London (UCL) and my thesis was Bayesian Nonparametric Hawkes Processes with Applications. I also have an MRes in Computer Science and an MPhys in Theoretical Physics from the University of Manchester.

I run a dashboard for crypto liquidity and pre-trade analytics: https://cryptoliquiditymetrics.com/

I’m an open source contributor with multiple projects ongoing: dirichletprocess, HawkesProcesses.jl, AlphaVantage.jl, CoinbsePro.jl, AlpacaMarkets.jl.

I’ve written guest posts for QuestDB:

• High frequency finance with Julia and QuestDB
• A tour of high-frequency finance via the Julia language and QuestDB

Want me to write for you or have something else interesting? Email me at dean[dot]markwick[at]talk21[dot]com

Talks

• Mo Dealers, Mo Problems, QuantMinds 2023
• Unique Liquidity and Measuring Execution Quality, TradeTechFX 2023
• Machine Learning Property Loans for Fun and Profit
• Simulating RFQ Trading in Julia
• Using Hawkes Processes in Julia: Finance and More!
• Optimising Fantasy Football with JuMP
• Building the BestX Event Risk Model using HawkesProcesses.jl
• State of the Market

My Day Job Now

I’m currently an electronic trading quant working on both principal and algo execution. I build models, analyse data and construct algorithms to try and get the best prices in the market with the lowest impact.

I was a quant at BestX and spent the day researching financial markets with a focus on transaction cost analysis (TCA). This involved 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:

• What Happens When a Primary FX Venue Goes Offline? - 3rd most read article of 2023 on Full FX.
• FX Markets Remained Orderly During Recent Interventions
• 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?

Some of which are behind a paywall.

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.

My blog is also aggregated on https://www.r-bloggers.com/ and https://www.juliabloggers.com/.

Recent Post:

Currency Hedging and Principal Component Analysis

Principal component analysis (PCA) reduces a dataset to its main components. When we apply it to a dataset of different currencies it helps us understand how each currency drives the overall portfolio and what currency might be a common factor.