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Strong python developer
Luke Savva
,
Balham, United Kingdom
Experience
Other titles
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I'm offering
I am a first class maths and physics graduate from University of Exeter. I have 5 years experience working as a quantitative developer primarily in python and C#. I have worked extensively with django and http://*****.** on financial applications.
Markets
United Kingdom
Industries
Language
English
Fluently
Ready for
Available
My experience
2018 - ?
job
Quantitative Developer and Analyst
Tiller Investments.
➢ Tiller investments is a digital wealth manager set up by two hedge fund managers that aims to bring institutional investment know how to private wealth management.
➢ Working in a small investment team my job role varied from providing quantitative analysis for investment committees to implementing quantitative methods as a developer primarily in MATLAB, SQL and Python but also in C++, C#, F# and JavaScript.
➢ I have been working with a number of toolboxes in MATLAB including the financial toolbox, optimisation toolbox, machine learning and statistical toolbox, deep learning and the app designer. In Python I have worked in NumPy, Pandas, Plotly, Keras, Django web framework amongst others.
➢ I have produced a suite of quantitative web apps that are used by the investment team on a regular basis. These include:
◦ Long Term Expected Returns: Utilises linear regression to make estimates of an assets long term expected return. This is used as the inputs for our MVO.
◦ Alpha estimation: Using linear regression to compare an active fund to its benchmark to analyse historic alpha.
◦ Factor Analysis: Using basic machine learning techniques this app allows the user to dynamically define a set of factors from a list of indices. This factor model can then be used to analyse an asset or portfolio to discover the drivers and provide scenario analysis.
◦ VaR/CVaR model calibration: Compares our VaR model to portfolio returns over time. This allows the user to calibrate the parameters for the model.
➢ Tiller investments allows users to pick their own thematic funds. I was responsible for the quantitative portfolio construction algorithm that guarantees suitability whilst providing clients with sufficient thematic allocation.
➢ I was tasked with implementing the views of the investment committee with quantitative precision. To achieve this I implemented a quantamental approach maximising the transfer coefficient of the IC views and our active portfolio weights.
➢ The portfolio construction methods have required a variety of different optimisation techniques. I have worked extensively with linearly constrained quadratic programming for MVO, quadratically constrained quadratic programming for thematic portfolio construction and mixed integer non-linear programming for trade cost optimisation.
➢ I have produced a set of APIs in Django/Python for risk reporting, where the API consumer provides a set of portfolio weights and the API returns factor model and risk model outputs.
➢ Working in a small investment team my job role varied from providing quantitative analysis for investment committees to implementing quantitative methods as a developer primarily in MATLAB, SQL and Python but also in C++, C#, F# and JavaScript.
➢ I have been working with a number of toolboxes in MATLAB including the financial toolbox, optimisation toolbox, machine learning and statistical toolbox, deep learning and the app designer. In Python I have worked in NumPy, Pandas, Plotly, Keras, Django web framework amongst others.
➢ I have produced a suite of quantitative web apps that are used by the investment team on a regular basis. These include:
◦ Long Term Expected Returns: Utilises linear regression to make estimates of an assets long term expected return. This is used as the inputs for our MVO.
◦ Alpha estimation: Using linear regression to compare an active fund to its benchmark to analyse historic alpha.
◦ Factor Analysis: Using basic machine learning techniques this app allows the user to dynamically define a set of factors from a list of indices. This factor model can then be used to analyse an asset or portfolio to discover the drivers and provide scenario analysis.
◦ VaR/CVaR model calibration: Compares our VaR model to portfolio returns over time. This allows the user to calibrate the parameters for the model.
➢ Tiller investments allows users to pick their own thematic funds. I was responsible for the quantitative portfolio construction algorithm that guarantees suitability whilst providing clients with sufficient thematic allocation.
➢ I was tasked with implementing the views of the investment committee with quantitative precision. To achieve this I implemented a quantamental approach maximising the transfer coefficient of the IC views and our active portfolio weights.
➢ The portfolio construction methods have required a variety of different optimisation techniques. I have worked extensively with linearly constrained quadratic programming for MVO, quadratically constrained quadratic programming for thematic portfolio construction and mixed integer non-linear programming for trade cost optimisation.
➢ I have produced a set of APIs in Django/Python for risk reporting, where the API consumer provides a set of portfolio weights and the API returns factor model and risk model outputs.
Management, Basic, UP, Manager, Framework, App, Web, Keras, Analyst, Apps, Developer, Javascript, Optimization, C, Matlab, Deep learning, Django, Machine learning, API, Python, Sql
2016 - 2018
job
Financial Systems Software Developer
Puritas ltd.
➢ My first job out of university introduced me to the financial services industry.
➢ Worked extensively in .NET and SQL as a full stack developer both front end in WinForms and SQL backend.
➢ Good communication skills were imperative to work with clients, understand requirements and deliver a quality solution.
➢ Worked extensively in .NET and SQL as a full stack developer both front end in WinForms and SQL backend.
➢ Good communication skills were imperative to work with clients, understand requirements and deliver a quality solution.
Sql, Backend, Net, Developer, WinForms, Software, Backend, ME
My education
2013
-
2016
The University of Exeter
BSc, Physics and Mathematics
BSc, Physics and Mathematics
2007
-
2013
Victoria College
Secondary, Physics
Secondary, Physics
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