| Summary
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SKILLS
Programming:
- C#
- Python (NumPy, Pandas, scikit-learn, PyTorch, Keras, matplotlib, ...)
- C++
- SQL
Analytical:
- Deep Learning (ANN, Convulsional NN, LSTM, Autoencoders, GAN, Transformers, ...)
- Reinforcement Learning (Deep Q-Learning, A3C/A2C, TDDDPG, PPO, Policy Gradients, ...)
- Machine Learning (LightGBM, XGBoost, SVM, PCA, Random forest, Cluster Analyses, ...)
- Genetic Algorithms / Evolution Algorithms
- Time-series Forecasting
- Nonconvex, multi constraints, mix float/integer optimization
Financial:
- Algorithmic trading (Med/Low-frequency strategy )
- AI/ML based trading strategies
- Technical analysis
- Risk analysis (VAR, CVAR, PCA, ... )
- Financial Time Series (ARMA, GARCH, Forecasting, ...)
- Portfolio Theory (CAPM, APT, SMART BETA, Factor investing, ... )
- FX, Stocks, CFD, Indices, Commodities, Futures, ETF
WORK EXPERIENCE
Apr 2018 - Present
Apr 2018 - Present
SENIOR QUANTITATIVE RESEARCHER
SHUAA Capital, Abu Dhabi, United Arab Emirates, - [AUM ~ $14B+]
- Built a genetic-based solution for automated generation of systematic strategies architecture and applied in-house optimization procedure for the final creation of alphas.
- Research and developed a broad set of systematic long/short quantitative trading systems med/low frequency. Strategy characteristics are 30+% annual with a max risk of 10-%.
- Implemented price forecast model, which is a core of a market-neutral portfolio strategy, generates 9% annual profit, with a max drawdown of 0.9%. (Feb 2019 – Mar 2020).
- Designed and developed a set of Quant tools for the non-convex numeric optimizer, backtesting engine, alternative data solution, technical indicators, price data feed module, and others.
Jan 2017 - Oct_2017
Jan 2017 - Oct_2017
SENIOR QUANTITATIVE TRADING ANALYST
Collective2.com, Remote, company doesn't have a physical office - Leading US P2P trading platform, that connects investors with traders.
- Designed and developed semi-automated tools for trading system research; optimized high-performance signals; Identified changes in market conditions when trading strategy underperforms;
- Designed and developed a portfolio constructing solution of trading systems.
Aug 2013 – Nov 2016
Aug 2013 – Nov 2016
CHIEF QUANTITATIVE ANALYST
FxPro.com, Limassol, Cyprus – Top 5 Retail CFD/FX Broker
- Designed and developed a set of tools for in-depth analyses of Algorithmic trading strategies and advanced model validation techniques, which is becoming one of the core technology in the award-winning automated trading platform. (Awards: "Best Automated Trading Platform 2013" from International Finance Magazine Award; and "Best Forex Product of the Year 2014" from UK Forex Awards)
- Research and developed a set of automated trading systems, implemented a collection of new technical indicators. Designed and implemented a multiserver live trading running environment with a collection of in-house risk-control modules.
- Analyzed 7.3 million clients' trading reports. One of the results developed a set of tools for dealing, which increase company profitability by 36% from $88 RPM to $120 RPM.
Oct 2012 – Aug 2013
Oct 2012 – Aug 2013
SENIOR QUANTITATIVE RESEARCHER
Life Financial Group, Moscow, Russia - AUM ~$600M USD
- Designed and developed 20+ different Mid-frequency FX/CFD/Futures strategies.
- Research and implemented an alpha equity time-series forecasts used to evaluate strategy risks and exit conditions. (Increased average profit of trades at ~15%)
- 37% PnL with max risk at 5% achieved with developed technologies and Trading systems
Jan 2011 – Jul 2012
Jan 2011 – Jul 2012
QUANTITATIVE PORTFOLIO MANAGER
FEx-Cor, Moscow, Russia - Private Asset Management Company. AUM ~$25M USD. Acquired by Investment Company in 2012.
- Developed algo-trading strategies portfolio. Become a #1 out of 1000+ trading-strategies worldwide at the "Currensee" FX/CFD P2P trading platform, which led to the company's acquisition.
- Generated profit of portfolio (JUL2011 – JUL2012) in 63% with max risk-level at 10%, managed USD25+M.
Mar 2008 - Nov 2011
Mar 2008 - Nov 2011
CO-FOUNDER
sTs - Simple Trade Solutions, Tomsk, Russia - Trade with ease with our advanced trading tools.
Mar 2008 – Dec 2011
Mar 2008 – Dec 2011
CO-FOUNDER & OWNER
3DBin, Inc, Palo-Alto, CA, USA - Web solution for making 360-view photos.
EDUCATION
Oct 2010 - Sep 2013
Oct 2010 - Sep 2013
PhD, MATHEMATICAL AND QUANTITATIVE METHODS IN ECONOMIC SCIENCES - ABD
Tomsk State University of Control Systems and Radioelectronics, Tomsk, Russia - www.tusur.ru/en
Sep 2004 - Aug 2010
Sep 2004 - Aug 2010
DIPLOMA ( MASTER equivalent ) OF COMPUTER SCIENCE - GPA: 4.6 / 5.0
Tomsk State University of Control Systems and Radioelectronics, Tomsk, Russia - www.tusur.ru/en
- Winner of Russian Business plan competition BIT from 700 companies in a country and sent by Microsoft and Intel to represent Russia worldwide in California, USA.
- In the 4th year of education managed to open a startup company in Silicon Valley 3dbin.com, and attract $0.5M Angel investments, open office in Russia and California.
- My company, Simple Trade Solutions (sTs, tools for trading), awarded by the US Civilian Research & Development Foundation as a "Best Business Model."
Certifications
Click the link to open certificate
- IELTS ( 7.0 / 9.0 ) [ IELTS BRITISHCOUNCIL ]
- Deep Learning with Tensor Flow [ IBM Cognitive Class ]
- Cluster Analysis in Data Mining [ Coursera ]
- Pattern Discovery in Data Mining [ Coursera ]
- Data Analyst with Python Track [ DataCamp ]
- Data Manipulation with Python Track [ DataCamp ]
- Data Scientist with Python Track [ DataCamp ]
- Importing & Cleaning Data with Python Track [ DataCamp ]
- Machine Learning with Python Track [ DataCamp ]
- Python Programming Track [ DataCamp ]
- Python Programmer Track [ DataCamp ]
Feel free to contact me with any questions.
klimenko.dnk@gmail.com