Algo Trading

Algo Trading

This project involved the development of a series of quantitative trading systems - using a number of different techniques. From conception, back-testing, through to implementation this involved analysis of a number of different asset classes (equity futures, cash equities, FX), timeframes (1 minute, daily), and geography (US, Europe, Australia).

Quantitative objectives and techniques included:

  • Outlier identification
  • Kalman Filters
  • Ensemble Empirical Mode Decomposition (EEMD)

Project Details

When: 2005-2012

Model: Custom built

Client: Multiple (confidential)

Technologies: C++, Python, C#, F#, Pandas


Data Marketplace

Managed Fund Analytics

High Frequency Trade Cost Analysis

Low Latency Trading

Algo Trading

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London, UK