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Senior
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0
jobs
Strong Data Science/Statistics profile specialising in finance
Afrasiab Mirza
,
Experience
Other titles
Skills
I'm offering
Brilliant at getting insights from data.
Excellent ability to communicate complex ideas in simple terms.
First-class data visualisations.
Excellent ability to communicate complex ideas in simple terms.
First-class data visualisations.
Markets
United Kingdom
Language
English
Fluently
Ready for
My experience
2018 - ?
job
Quantitative Researcher
LMR Partners.
• Responsible for alpha research including development of tools and methodology.
◦ Primarily focused on developing medium-frequency (30 min to daily) equity signals (Sharpe 1.5+)
◦ Built Signal Generation and IC/Correlation analysis toolset
◦ Built simulation-based back-testing framework (incorporates costs, hedging and vol. adjustment) at the daily and intra-day frequency
• Developed toolset for portfolio construction:
◦ Wrote and optimization layer (both myopic and multi-period) via second order cone programs solved via MOSEK
◦ Created a set of risk models used inputs in the optimizer (also built risk-model assessment tools)
◦ Build a set of cost models to capture impact and trading costs plus slippage
• Built data processing and quality management tools.
◦ Created a framework to map vendor symbology to our own (e.g. map Barra, FactSet, S&P, and I/B/E/S).
◦ Systems includes an automated mechanism for assigning mapping along with manual over-rides for exceptions, and daily reports on data quality
• Technical: Java, Matlab, Python, GIT, SQL.
◦ Primarily focused on developing medium-frequency (30 min to daily) equity signals (Sharpe 1.5+)
◦ Built Signal Generation and IC/Correlation analysis toolset
◦ Built simulation-based back-testing framework (incorporates costs, hedging and vol. adjustment) at the daily and intra-day frequency
• Developed toolset for portfolio construction:
◦ Wrote and optimization layer (both myopic and multi-period) via second order cone programs solved via MOSEK
◦ Created a set of risk models used inputs in the optimizer (also built risk-model assessment tools)
◦ Build a set of cost models to capture impact and trading costs plus slippage
• Built data processing and quality management tools.
◦ Created a framework to map vendor symbology to our own (e.g. map Barra, FactSet, S&P, and I/B/E/S).
◦ Systems includes an automated mechanism for assigning mapping along with manual over-rides for exceptions, and daily reports on data quality
• Technical: Java, Matlab, Python, GIT, SQL.
Sql, Python, Java, Git, Research, Matlab, Management, Researcher, Quality Management, Data quality, Testing, Development, Assessment, Processing, Framework
2012 - ?
job
Lecturer, Banking and Finance
University of Birmingham.
• Research focused at the intersection of macroeconomics and finance
• Expertise in Time-series, Cross-sectional and Bayesian Econometrics
• Teach Banking and Finance to MSc. Financial Economics/MSc. MBF/IBF
• Director, B.Sc. Money, Banking and Finance
• Expertise in Time-series, Cross-sectional and Bayesian Econometrics
• Teach Banking and Finance to MSc. Financial Economics/MSc. MBF/IBF
• Director, B.Sc. Money, Banking and Finance
Research, Finance, Banking
2003 - 2007
job
Systems Architect
Sears Canada.
• Responsible for end-to-end design and implementation of new Merchandise Optimization System ($15 million budget, J2EE/Oracle/DB2/COBOL/MQ)
• Developed web-based supplier management system ($2 million budget, J2EE/Oracle)
• Developed web-based supplier management system ($2 million budget, J2EE/Oracle)
Design, Oracle, Budget, DB2, Management, Cobol, J2EE, Implementation, Web
2002 - 2003
job
Developer
Compaq.
Built on web-based supplier chain integration system (PHP, SQL)
Php, Sql, Integration, Developer, Web
2001 - 2002
job
Support programmer
CIBC.
Supported commercial banking hardware/software within bank branches
Banking, Support, Hardware, Software
My education
?
-
2014
Queens University
Doctorate, Economics
Doctorate, Economics
?
-
2002
University of Toronto
BSc, Physics
BSc, Physics
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