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nikolarey

Nicolas R

@nikolarey

Quant Developer, Trading Algorithms and API Integrations

França
Francês, Inglês, Espanhol
Algumas informações são exibidas no idioma inglês.
Sobre mim
I build trading algorithms and connect business systems through APIs. Quantitative background: MSc Financial Engineering (UCLA Anderson), MSc Finance (NEOMA). Data scientist at BNP Paribas, quantitative analyst in crypto asset management, now Head of Portfolio Management at a Paris asset manager leading four data scientists. I code strategies and backtests in Python, C++ and C#: momentum, triangular arbitrage, market making over WebSocket, MetaTrader order routing. I also build API integrations (CRM to accounting, webhooks) and Power BI dashboards. French, English, Spanish. EU timezone.... Saiba mais

Habilidades

n
nikolarey
Nicolas R
offline • 
Tempo médio de resposta: 1 hora

Conheça meus serviços

API e Integrações
I will connect your business software via API integration and webhooks
A partir deUS$ 200 /projetoMais detalhes
Desenvolvimento de Bots de Negociação
I will build and backtest your algorithmic trading strategy in python
A partir deUS$ 400 /projetoMais detalhes

Experiência profissional

BNP_Paribas

Data Scientist, ALM Treasury

BNP Paribas

Mar 2018 - Sep 2021 • 3 yrs 6 mos

Quantitative modelling and data science for asset and liability management. Built an econometric model to predict mortgage loan prepayment, and a model replicating client rates against financial assets to lock down margin. Implemented the Vasicek interest rate model in C++. Built a news sentiment classifier using BERT and recurrent neural networks, then a second RNN combining that sentiment with structured data to predict interest rates. Created a Dash dashboard in Python to upload and visualise data, check for corrupted datapoints and build predictive models.