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nikolarey

Nicolas R

@nikolarey

Quant Developer, Trading Algorithms and API Integrations

France
Français, Anglais, Espagnol
Certaines informations sont présentées en anglais.
À propos de moi
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.... Plus d’infos

Compétences

n
nikolarey
Nicolas R
hors ligne • 
Temps de réponse moyen de 1 heure

Voir mes services

API & Intégrations
I will connect your business software via API integration and webhooks
De200 $US / projetPlus de détails
Développement de robots de trading
I will build and backtest your algorithmic trading strategy in python
De400 $US / projetPlus de détails

Expérience professionnelle

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.