Currently working at Scotiabank as an electronic ETF trader where I lead the low-touch ETF market-making initiative by enhancing our trading strategies. In 2018, I obtained my Ph.D. in Computational Intelligence and Systems and […]
This section describes the content of publications, working papers, or proprietary research with a focus on alpha generation, algorithmic trading, and statistical arbitrage. Codes and files might be attached with examples when helpful.
Here we link quantitative research to a trading system. We walk through back-testing, algorithmic trading design, optimization of the system parameters, and risk management. Many examples are provided with codes and source files for motivated readers.