My current role primarily involves in-depth analysis and research of data from Canadian marketplaces. I mainly work on collaborative research concerning market microstructures and sector trends. With a background in pure mathematics, I am passionate about applying pure maths, statistics, and linear algebra to optimize algorithms in space-time. I also leverage mathematical theories to create trading strategies and to understand the market. I recently came across this video which led me to the paper “Randomized Matrix Decompositions using R” by N. Benjamin Erichson et al., an excellent example of how mathematical theory can enhance software capabilities.
Born and raised in Panama, my passion for quant finance has brought me to Toronto. I'm always open to chat. My CV can be found here, and feel free to reach out to me for anything at jaenmarcos15@gmail.com.
Some of my most recent projects:
- Dynamic ETF Pair Trading Strategy in kdb+, python and R.
- 200 q problems and solutions to have fun with.
- A Multi-order type orderbook in kdb+ and python.
- 50 q functions for basic intraday market analysis with a focus on market quality, systemic risk and anomaly detection targeted to novice q users.
- Predicting Realized Volatility with Machine Learning in Python.