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
- 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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Easy Neural Nets and Finance - Part 1
I’m fortunate enough to be participating in a lecture series at work that covers deep learning and its applications in finance. This will be a series of posts documenting what I learn and implementing the ‘homework’ (I’m 32, how am I still getting homework?) using Julia and Flux.