About Me
I am a quant researcher focused on execution at both the high (parent) and low (order routing) level. I also dabble in market-making and alpha signals when there is a spare 5 minutes at work.
Previously, I was a quant at BestX and spent the day researching financial markets with a focus on transaction cost analysis (TCA). Hopefully I shared some interesting insights about the world of FX, fixed income and equity trading and built some cool product features.
I have 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
- Disruption or Optimisation? AI’s Role in the Future of Trading, Fixed Income Leaders Summit 2025
- From Capitol Hill to the FX desk: How US policy impacts FX execution, TradeTechFX 2025
- 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
Articles
- 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:
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      Premier League Survival – How Many Points Are Enough?
      
It’s been an interesting start to the Premier League. All of the promoted teams (Sunderland, Leeds and Burnley) are outside the relegation zone, with Wolves and West Ham struggling at the bottom. So I want to look back at the other seasons and work out the average number of points throughout the season that characterises relegation teams, and how many points do you need to avoid relegation?