About Me

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 run a dashboard for crypto liquidity: 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

• 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:

• 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:

Easy Reinforcement Learning - The Multi Armed Bandit

This is another draft that’s been sitting on my laptop and I was sitting on the Eurostar on the way to TradeTech and thought I’d try and formalise it into a blog post. This is all about reinforcement learning and a basic model that can be easily implemented in Julia. This post is me walking through and implementing the 2nd chapter of Reinforcement Learning: An Introduction.