AI und Machine Learning im Finanzbereich und eCommerce. Big Data. Trading. Funktionale Programmierung, GPU. Numerisches Rechnen.
Aktualisiert am 31.05.2021
Profil
Freiberufler / Selbstständiger
Remote-Arbeit
Verfügbar ab: 31.05.2021
Verfügbar zu: 100%
davon vor Ort: 100%
Funktionale Programmierung
AI und Machine Learning mit Big Data
Quantitative Finance
Scala
C++
Low Latency
FIX Protocol
Crypto Currencies
Trading
English
fluent in speaking and writing
French
intermediate knowledge in speaking and writing
German
native

Einsatzorte

Einsatzorte

Schweiz, Österreich, Deutschland
möglich

Projekte

Projekte

3 Monate
2021-03 - 2021-05

Implementing FIX protocol layer

C++ Light-C Java ...
  • Analyzing and reviewing internal trading models
  • Implementing FIX protocol layer for order execution and market data recording
  • Running conformance tests on LMAX exchange on behalf of customer 
C++ Light-C Java Python
Hedge fund
US
2 Monate
2021-02 - 2021-03

Develop token economy model

Python Solidity
  • Develop token economy model and smart contract for token sales
  • Simulation engine in Python to analyze future token price evolution
Python Solidity
Blockchain company
Singapore
10 Monate
2019-12 - 2020-09

Building a gamification platform

Scala Java Flutter ...
  • Building a gamification platform to teach players about blockchain, crypto trading and crypto financial products
  • Payment layer using Chinese blockchain based on Cosmos Tendermit 
Scala Java Flutter Dart Python
Blockchain company
China, Singapore, Switzerland
1 Jahr 4 Monate
2018-08 - 2019-11

Develop an AI pipeline to use Deep Learning

Scala Python C++ ...
  • Develop an AI pipeline to use Deep Learning and online learning to analyze order books of financial exchanges and perform anomaly and price predictions 
Scala Python C++ Kafka Pulsar TensorFlow Spark Hadoop FIX ITCH
Trading company
London
1 Jahr 1 Monat
2017-06 - 2018-06

Real time financial data collection

Scala Java Kafka ...
  • Real time financial data collection
  • Financial data labeling infrastructure data for supervised learning
  • Machine Learning for price prediction and trading
  • Investigating applicability of reinforcement learning models 
Scala Java Kafka Pulsar TensorFlow Spark Hadoop FIX ITCH
Hedge fund service provider
Sweden
1 Jahr 9 Monate
2016-04 - 2017-12

Solving business critical optimization problems

F# Python Cuda-C++ ...
  • Solving business critical optimization problems with machine learning in eCommerce pricing, order fulfillment, packing, cooling of fresh groceries, logistics, user experience
  • Managed teams across different business lines with direct reporting line to CTO
F# Python Cuda-C++ Kafka Cplex
US e-commerce company
1 Jahr 3 Monate
2015-02 - 2016-04

Algorithmic trading system

C++ C# Java ...
  • Algorithmic trading, order execution, back-testing 
  • Algorithmic trading system for FX trading using novel filters 
C++ C# Java Scala R
Hedge fund
Zurich
1 Jahr 11 Monate
2013-04 - 2015-02

Quant model design & implementation of a new GPU

F# .NET ZeroC-Ice ...
  • GPU accelerated derivative pricing and risk management infrastructure integrated with SunGard Front Arena
  • Quant model design and implementation of a new GPU accelerated pricing library for structured products for a distributed computing infrastructure 
F# .NET ZeroC-Ice Flink AI?s own proprietary GPU compiler based on F# and LLVM
Bank
Zurich
1 Jahr 8 Monate
2012-01 - 2013-08

Factor model and portfolio optimization

MATLAB F# Gurobi
  • Factor model and portfolio optimization implemented with Gurobi optimizer
  • Extending Black-Litterman model with a Bayesian approach
  • Domain specific modelling language for asset management 
MATLAB F# Gurobi
Bank
Zurich
2 Jahre
2011-01 - 2012-12

GPU accelerated derivative pricing & risk management

F# C# .NET ...
  • GPU accelerated derivative pricing and risk management infrastructure integrated with SunGard Front Arena
  • Generic infrastructure for calculation of sensitivities
  • Distributed computing infrastructure 
F# C# .NET ZeroC-Ice Flink AI?s own proprietary GPU compiler based on F# and LLVM
Bank
Basel
2 Jahre 9 Monate
2009-11 - 2012-07

Option pricing model design

Scala Java C
  • Distributed derivative pricing infrastructure for structured equity products, FX derivatives and commodity futures integrated with Sophis Risque   
  • ML tool to automate structured product design
  • Option pricing model design
Scala Java C
Investment bank
Zurich
4 Monate
2011-07 - 2011-10

Validation

C#
  • Validation, back-testing, and stress testing hedging strategy for ETF fund
C#
Bank
Zurich
1 Jahr 1 Monat
2010-03 - 2011-03

Building & implementing energy derivative pricing

C++ MATLAB
  • Building and implementing energy derivative pricing and simulation models, future and forward curve for gas and electricity for risk Control and trading support 
C++ MATLAB
Energy trading company
Karlsruhe
1 Jahr 9 Monate
2008-04 - 2009-12

Pricing library for equity derivatives

C++ CUDA-C++
  • Pricing library for equity derivatives with Monte Carlo, PDE and quadrature methods on GPUs
C++ CUDA-C++
Independent software vendor
Zurich
7 Monate
2009-05 - 2009-11

Local volatility model implementation

CUDA-C++
  • Local volatility model implementation for Monte Carlo and PDE pricing, including calibration 
CUDA-C++
Bank
Zurich

Aus- und Weiterbildung

Aus- und Weiterbildung

1996

PhD in Mathematics

Minors in Physics and Computer Science 

Kompetenzen

Kompetenzen

Top-Skills

Funktionale Programmierung AI und Machine Learning mit Big Data Quantitative Finance Scala C++ Low Latency FIX Protocol Crypto Currencies Trading

Produkte / Standards / Erfahrungen / Methoden

Summary
Self-employed technology expert with deep and broad industry experience in finance, eCommerce, defense, engineering, blockchain. Solid mathematical background. Strong communication skills and innovation capabilities.

Technologies

  • Scala, Java
  • Python
  • C#, F#
  • C, C++, Fortran, CUDA-C++
  • Dart, Flutter
  • R, Mathematica, MATLAB, LaTeX
  • LLVM
  • Solidity, Truffle
  • Big Data stacks Spark, Kafka, Flink 
  • ML stacks TensorFlow, Keras
  • Optimization stacks Gurobi, Cplex, IPOPT, GAMS, AMPL
  • Rest, WebSocket, FIX, ITCH, OUTCH
  • Cryptography, mostly ECC
  • MPI message passing, ZeroC Ice
  • Cloud AWS, Azure, Digital Ocean

Projects

  • Software engineering 
  • Numerical computing
  • High performance computing 
  • Mathematical modelling 
  • Data analysis and machine learning modelling 
  • Crypto token economy design
  • Software review and auditing including Solidity smart contracts 

Professional Career
01/2008 ? today

Customer: [on request]

Role: Founder and Owner

Tasks

  • Software development
  • Machine learning applications
  • Software audits and technical reviews
  • Consulting projects
  • Maintaining proprietary CUDA compiler for F# and C#

2002 ? 2008

Customer: Zurich Kantonalbank, Zurich

Role: Managing competence center for high performance financial computing

Tasks

  • Building economic capital calculation engine with C++, Python, R and using MPI for communication to run on large inhouse CPU cluster
  • Structured product pricing models and implementation in C++ and Python

2002 ? 2002

Customer: Arthur Andersen, Zurich

Role: Acquisition and client relationship management

Tasks

  • Consulting projects in finance and risk management
  • Working on several high-profile international projects, including Enron

1999 ? 2001

Customer: KPMG, Zurich

Role: Consulting in risk management and asset liability management 

Tasks

  • Risk system implementation and integration

1997 ? 1999

Customer: CSK Switzerland AG

Role: Manager financial risk services

Tasks

  • Responsible for strategic alliance with Algorithmics Inc. 
  • Managing team for risk system integration with focus on Algorithmics software suite 

Open-Source Contributions

  • Boost.MPI C++ library for distributed computing
  • Boost.Accumulator C++ library for incremental statistical calculations

Branchen

Branchen

  • Finance
  • eCommerce
  • Defense
  • Aviation

Einsatzorte

Einsatzorte

Schweiz, Österreich, Deutschland
möglich

Projekte

Projekte

3 Monate
2021-03 - 2021-05

Implementing FIX protocol layer

C++ Light-C Java ...
  • Analyzing and reviewing internal trading models
  • Implementing FIX protocol layer for order execution and market data recording
  • Running conformance tests on LMAX exchange on behalf of customer 
C++ Light-C Java Python
Hedge fund
US
2 Monate
2021-02 - 2021-03

Develop token economy model

Python Solidity
  • Develop token economy model and smart contract for token sales
  • Simulation engine in Python to analyze future token price evolution
Python Solidity
Blockchain company
Singapore
10 Monate
2019-12 - 2020-09

Building a gamification platform

Scala Java Flutter ...
  • Building a gamification platform to teach players about blockchain, crypto trading and crypto financial products
  • Payment layer using Chinese blockchain based on Cosmos Tendermit 
Scala Java Flutter Dart Python
Blockchain company
China, Singapore, Switzerland
1 Jahr 4 Monate
2018-08 - 2019-11

Develop an AI pipeline to use Deep Learning

Scala Python C++ ...
  • Develop an AI pipeline to use Deep Learning and online learning to analyze order books of financial exchanges and perform anomaly and price predictions 
Scala Python C++ Kafka Pulsar TensorFlow Spark Hadoop FIX ITCH
Trading company
London
1 Jahr 1 Monat
2017-06 - 2018-06

Real time financial data collection

Scala Java Kafka ...
  • Real time financial data collection
  • Financial data labeling infrastructure data for supervised learning
  • Machine Learning for price prediction and trading
  • Investigating applicability of reinforcement learning models 
Scala Java Kafka Pulsar TensorFlow Spark Hadoop FIX ITCH
Hedge fund service provider
Sweden
1 Jahr 9 Monate
2016-04 - 2017-12

Solving business critical optimization problems

F# Python Cuda-C++ ...
  • Solving business critical optimization problems with machine learning in eCommerce pricing, order fulfillment, packing, cooling of fresh groceries, logistics, user experience
  • Managed teams across different business lines with direct reporting line to CTO
F# Python Cuda-C++ Kafka Cplex
US e-commerce company
1 Jahr 3 Monate
2015-02 - 2016-04

Algorithmic trading system

C++ C# Java ...
  • Algorithmic trading, order execution, back-testing 
  • Algorithmic trading system for FX trading using novel filters 
C++ C# Java Scala R
Hedge fund
Zurich
1 Jahr 11 Monate
2013-04 - 2015-02

Quant model design & implementation of a new GPU

F# .NET ZeroC-Ice ...
  • GPU accelerated derivative pricing and risk management infrastructure integrated with SunGard Front Arena
  • Quant model design and implementation of a new GPU accelerated pricing library for structured products for a distributed computing infrastructure 
F# .NET ZeroC-Ice Flink AI?s own proprietary GPU compiler based on F# and LLVM
Bank
Zurich
1 Jahr 8 Monate
2012-01 - 2013-08

Factor model and portfolio optimization

MATLAB F# Gurobi
  • Factor model and portfolio optimization implemented with Gurobi optimizer
  • Extending Black-Litterman model with a Bayesian approach
  • Domain specific modelling language for asset management 
MATLAB F# Gurobi
Bank
Zurich
2 Jahre
2011-01 - 2012-12

GPU accelerated derivative pricing & risk management

F# C# .NET ...
  • GPU accelerated derivative pricing and risk management infrastructure integrated with SunGard Front Arena
  • Generic infrastructure for calculation of sensitivities
  • Distributed computing infrastructure 
F# C# .NET ZeroC-Ice Flink AI?s own proprietary GPU compiler based on F# and LLVM
Bank
Basel
2 Jahre 9 Monate
2009-11 - 2012-07

Option pricing model design

Scala Java C
  • Distributed derivative pricing infrastructure for structured equity products, FX derivatives and commodity futures integrated with Sophis Risque   
  • ML tool to automate structured product design
  • Option pricing model design
Scala Java C
Investment bank
Zurich
4 Monate
2011-07 - 2011-10

Validation

C#
  • Validation, back-testing, and stress testing hedging strategy for ETF fund
C#
Bank
Zurich
1 Jahr 1 Monat
2010-03 - 2011-03

Building & implementing energy derivative pricing

C++ MATLAB
  • Building and implementing energy derivative pricing and simulation models, future and forward curve for gas and electricity for risk Control and trading support 
C++ MATLAB
Energy trading company
Karlsruhe
1 Jahr 9 Monate
2008-04 - 2009-12

Pricing library for equity derivatives

C++ CUDA-C++
  • Pricing library for equity derivatives with Monte Carlo, PDE and quadrature methods on GPUs
C++ CUDA-C++
Independent software vendor
Zurich
7 Monate
2009-05 - 2009-11

Local volatility model implementation

CUDA-C++
  • Local volatility model implementation for Monte Carlo and PDE pricing, including calibration 
CUDA-C++
Bank
Zurich

Aus- und Weiterbildung

Aus- und Weiterbildung

1996

PhD in Mathematics

Minors in Physics and Computer Science 

Kompetenzen

Kompetenzen

Top-Skills

Funktionale Programmierung AI und Machine Learning mit Big Data Quantitative Finance Scala C++ Low Latency FIX Protocol Crypto Currencies Trading

Produkte / Standards / Erfahrungen / Methoden

Summary
Self-employed technology expert with deep and broad industry experience in finance, eCommerce, defense, engineering, blockchain. Solid mathematical background. Strong communication skills and innovation capabilities.

Technologies

  • Scala, Java
  • Python
  • C#, F#
  • C, C++, Fortran, CUDA-C++
  • Dart, Flutter
  • R, Mathematica, MATLAB, LaTeX
  • LLVM
  • Solidity, Truffle
  • Big Data stacks Spark, Kafka, Flink 
  • ML stacks TensorFlow, Keras
  • Optimization stacks Gurobi, Cplex, IPOPT, GAMS, AMPL
  • Rest, WebSocket, FIX, ITCH, OUTCH
  • Cryptography, mostly ECC
  • MPI message passing, ZeroC Ice
  • Cloud AWS, Azure, Digital Ocean

Projects

  • Software engineering 
  • Numerical computing
  • High performance computing 
  • Mathematical modelling 
  • Data analysis and machine learning modelling 
  • Crypto token economy design
  • Software review and auditing including Solidity smart contracts 

Professional Career
01/2008 ? today

Customer: [on request]

Role: Founder and Owner

Tasks

  • Software development
  • Machine learning applications
  • Software audits and technical reviews
  • Consulting projects
  • Maintaining proprietary CUDA compiler for F# and C#

2002 ? 2008

Customer: Zurich Kantonalbank, Zurich

Role: Managing competence center for high performance financial computing

Tasks

  • Building economic capital calculation engine with C++, Python, R and using MPI for communication to run on large inhouse CPU cluster
  • Structured product pricing models and implementation in C++ and Python

2002 ? 2002

Customer: Arthur Andersen, Zurich

Role: Acquisition and client relationship management

Tasks

  • Consulting projects in finance and risk management
  • Working on several high-profile international projects, including Enron

1999 ? 2001

Customer: KPMG, Zurich

Role: Consulting in risk management and asset liability management 

Tasks

  • Risk system implementation and integration

1997 ? 1999

Customer: CSK Switzerland AG

Role: Manager financial risk services

Tasks

  • Responsible for strategic alliance with Algorithmics Inc. 
  • Managing team for risk system integration with focus on Algorithmics software suite 

Open-Source Contributions

  • Boost.MPI C++ library for distributed computing
  • Boost.Accumulator C++ library for incremental statistical calculations

Branchen

Branchen

  • Finance
  • eCommerce
  • Defense
  • Aviation

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