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:

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

Talks

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:

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.

Delicious BBQ

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

Recent Post:

    Calibrating an Ornstein–Uhlenbeck Process

    Read enough quant finance papers or books and you’ll come across the Ornstein–Uhlenbeck (OU) process. This is a post that explores the OU process, the equations, how we can simulate such a process and then estimate the parameters.