Gautam Kishore

Developed tactical hedging model for MXASJ universe, outperforming index by 28%. Developed intraday trading strategy based on Reinforcement learning, improving desk profits by 8.7%. Managed $10 Million weekly rebalanced Macro Quantamental portfolio (Sharpe 2.47). Led development of a reusable Factor ML library (scikit-quant) and codebase overhaul to Python.

Led “Crowd sourced Hedge fund” initiative. Developed custom data obfuscation model to securely distribute proprietary hedge fund data. Developed custom ensemble package for financial time series modelling. Client work included leading “Spare Change Micro-Investing” initiative for J P Morgan Chase and developing a Robo-Advisory framework for different bank verticals.

Developed framework for improving hit ratio of any trading strategy using time series classification. Researched and developed time series (TS) to image encoding techniques for Financial TS-classification.

Traded fixed income markets of Canada and US. Developed pricing models for short term interest market of Canada using OIS curve. Developed model for finding correct Eurodollar strategy prices using order book exploitation.

Developed an NLP model to augment user ratings with keywords/tags extracted from reviews.