DMITRY KLIMENKO

Quantitative Researcher

klimenko.dnk@gmail.com
Portfolio with a few of my Quantitative projects

Summary
Experienced in all aspects of medium-low frequency trading. From building infrastructure to developing models, alpha generation, managing risks, AI/ML, risk management, and systematic trading.

Master of Computer Science
Ph.D. in Mathematical and Quantitative Methods in Economics

Greencard holder (by EB-1A/E11, Extraordinary ability in Quantitative Research) [Read More]
SKILLS
  • Programming:
    • Python (Numpy, Pandas, Numba, scikit-learn, PyTorch, matplotlib, ...)
    • C / C++
    • C#
    • Design of Architecture for complex solutions.
    • Distributed multiserver calculation GPU(CUDA) & CPU.
    • Live-trading systems.
  • Analytical:
    • Mathematical and Statistical methods.
    • Deep Learning (CNN, Transformers, GAN, VAE, RNN, LSTM, GRU)
    • Reinforcement Learning
    • Neuroscience-inspired DNN technologies (AI Memory units, dynamic RL-based attention, self-prediction training, and advanced neural net architecture.)
    • Machine Learning
    • Genetic / Evolution Algorithms.
    • Nonconvex, multi-constraints, numeric optimization.
  • Financial:
    • Systematic trading MFT/LFT (1 min. - month)
    • Equity, FX, CFD, Indices, Commodities, Futures, ETF, Crypto
    • Stat-arb, market-neutral trading based on predictions made by statistical models fed by Alphas, market, and alternative data (+NLP).
    • Technical Analyse
    • Portfolio Constructions
    • Financial Time Series Forecasting
    • Risk analysis (VAR, Robustness test, Overoptimization checks, Trading strategies validation)
WORK EXPERIENCE
Mar 2023 - Present
Mar 2023 - Present
QUANTITATIVE RESEARCHER
QuantsFund, Florida, USA
  • Equity Long/Short market-neutral trading system powered by ML and in-house developed Quant tools for factor selection, time-series forecasting, and computed results validation.

  • ETF trading system processes a set of Equity time-series using statistical and quantitative models.

  • Developed a method and array of tools that use the distinctive properties of financial time series to estimate the predicting power of the inspected factor.

  • Architected, coded, and deployed a multi-server CPU/GPU(CUDA) computation system for massive analyses of large-scale financial data. Modular system with developed quant-analyses nodes, new experimental methods, and ML tools.
June 2021 - Jan 2023
June 2021 - Jan 2023
QUANTITATIVE / AI RESEARCHER INSPIRED BY COMPUTATIONAL NEUROSCIENTIST ( Self-Funded Project )
Non-Compete period up to the end of 2022, Florida, USA - mimic Brain components and apply scientific / engineering methods to solve challenging AI/ML/Quant tasks.
  • Aiming to solve diverse Quantitative trading questions, initiated a self-funded research project. Inspired and reverse engineer the insights I get from computational Neuroscience.[Read More]
Apr 2018 - May 2021
Apr 2018 - May 2021
SENIOR QUANTITATIVE RESEARCHER
SHUAA Capital, Abu Dhabi, United Arab Emirates - [AUM ~ $14B+] - Leading and Oldest (founded 1979) Asset Management and Investment Banking Company. Initially, I joined ADFG, which acquired SHUAA in 2019.
  • Presented a vision of a Quantitative Machine with an extendable suite of modules for researching, developing, and implementing diverse trading strategies semi-automatically. Powered by novel AI/ML/Quant technologies.
  • Built a comprehensive quant-infrastructure, including data module, custom fast and accurate backtesting engine, multiserver computation grid, in-house multi-constrained stochastic numeric optimization module, time-series forecasting solution.
  • Stat-arb, portfolio Equity strategy, Intraday Equity CFD strategy, med-frequency ETF, futures, CFD, FX trading with 30%-70% annual profit and allowed max. risk levels at 10%. Calmar ratios: 3.0 – 5.0.
  • Generated market-neutral Long/Short, always fully invested US equity conservative portfolio strategy bypassing COVID market shock with an all-time max drawdown of 0.9%, generating 31% annual profit. (Feb 2019 - May 2021)
  • Established a new legal entity in 2019 with Dmitry as the head of Quants dedicated to developing "The Quant Machine" project.
  • In 2021, a notable UAE financial institution acquired the company for its technologies.
Jan 2017 - Oct_2017
Jan 2017 - Oct_2017
SENIOR QUANTITATIVE TRADING ANALYST
Collective2.com, Remote - Leading US P2P trading platform, that connects investors with traders.
  • Developed semi-automated tools for trading system research leveraging the latest advances in Artificial Intelligence and Machine Learning technologies.
  • Proposed solutions to identify changes in market conditions when trading strategies underperform and utilized AI/ML algorithms to facilitate improved performance.
Aug 2013 – Nov 2016
Aug 2013 – Nov 2016
CHIEF QUANTITATIVE ANALYST
FxPro.com, Limassol, Cyprus – World Leading Retail CFD/FX Broker
  • Pioneered an analytical environment, which became a new standard in FxPro. 70+ in-house analytical modules, API, and easy visual editing for customizing report templates. Advanced analyses of clients' training and systematic strategies revealed valuable business insights.
  • Deployed solution for massive analysis of client trading activity to identify market shift signals and abnormalities in advance. Risk and Dealing departments could be prepared days ahead.
    The system alerts substantial anomalies on EURCHF weeks before the SNB 2015 crush event. FxPro remained operational that day, while many major and oldest retail brokers worldwide didn't surpass the shock. ( How Forex Brokers Went Bankrupt Overnight amid EURCHF Flash Crash - Infographic )
  • MFT trading on FX, Futures, Equity CFD, and Commodities. Trading based on ML/TA signals and In-House Forecasting Engine.
  • Examined 7.3 million clients' trading reports. Uncovered precious business insights led to delivering dealing system modifications. Consequently, the Dealing department revenue increased 36% from $88 RPM to $120 RPM (Revenue Per Million volume)
  • Engineered software for in-depth analyses of trading strategy reports. Determine trading style, and generate trading forecasts to identify Risk probabilities, hidden risk scenarios, and appropriate enhancement ideas to provide the final report.
    Became the core part of award-winning products. (Awards: "Best Automated Trading Platform 2013" from International Finance Magazine Award; and "Best Forex Product of the Year 2014" from UK Forex Awards)
Oct 2012 – Aug 2013
Oct 2012 – Aug 2013
SENIOR QUANTITATIVE RESEARCHER
Life Financial Group, Moscow, Russia - AUM ~$600M USD

  • Designed and developed 20+ different Med-frequency FX/CFD/Futures strategies. 37% PnL with max risk at 5% achieved.
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 July 2012.
  • Developed systematic-trading strategies portfolio. Become TOP out of 1000+ trading strategies worldwide at the "Currensee" FX/CFD P2P trading platform. Generated profit of portfolio (JUL2011 – JUL2012) 63% with max risk-level at 10%, managed $25M+.
    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
    MASTER 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 analyses competition BIT from 700 companies in a country and one of two selected by Microsoft and Intel to represent Russia worldwide in California, USA. (Became the top 20 projects worldwide)
    • Awarded by the US Civilian Research & Development Foundation as a "Best Business Model." (Project: Simple Trade Solutions (sTs), tools for trading)