Quantitative finance

This section of the website outlines different quantitative finance exercises undertaken at Verdigris. These were undertaken purely for interest, and have not been commissioned by clients.¬†Please leave a comment or contact me if you’d like to discuss these.

Verdigris does, however, undertake algorithm development for some of its clients. An example of this required Verdigris to develop an algorithm to maximise a client’s trading revenues subject to a specific set of constraints. To do so, Verdigris spec’ed the algorithm, coded a prototype using past trade data, and worked with a third party software engineering house to implement the live algorithm.

In past roles, I have also written a debt pricing engine and a tool to test the impact of different transactional pricing strategies for a private bank, as well as an fx attribution algorithm for an investment bank. I also developed an algorithm based on Bayes to calculate the probability a client would take up a specific product, given his similarities with existing clients for an insurance company.

I’m currently developing a multi-exchange algo trading framework. This involves acquiring data, hypothesizing parameterising and back-testing strategies, and developing a trading engine which hooks into the various exchanges and executes the trades.



Framework for writing a trading algorithm
I’ve been lucky enough to have some spare time to look at projects of my own this year, so I
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Exercise on stock pair selection using South African data
The premise for the long/short stock pair arbitrage trade The long/short stock pair trade is a well-known arbitrage trade, which
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