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Quantitative reseracher/Data Scientist

Location:
Carlingford, New South Wales, 2118, Australia
Posted:
March 01, 2018

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Dr. B. K. Kannan

**, ****** *****, ***********, *** 2118, Australia +61(0) 434 006 210 ac4n1x@r.postjobfree.com

Core Competencies

Over 20 years of experience in statistical modelling, signal processing, Time-series and machine–learning algorithms

oImplemented various Linear and non-linear Machine Learning algorithms for data mining, modelling and developing trading strategies in finance and engineering applications: Regression models, NLP, SVM, PCA, clustering, neural networks, deep learning, bootstrap, Boosting, bagging.

oBuilt several automated trading strategies: Statistical arbitrage, Factor models, Multi-variate econometric time series models, Long/short equity strategies.

oApplied Bayesian signal processing, Markov models, MCMC algorithms and other advanced statistical modelling principles in wireless communication and finance

oExtensive experience with portfolio construction, stochastic simulations, linear/non-linear optimisation methods and transaction cost models

Data Science competencies:

oArchitecting and developing data bases (SQL, PostgresSQL) to handle large data sets

oSetting-up processes and hardware/software systems for data collection and maintenance in high-frequency trading applications. Data Acquisition, model buildings and report generation using Matlab, R, Python and SQL.

oImplemented various automated data cleaning and validation algorithms.

Extensive experience with portfolio construction, linear/non-linear optimisation methods, hedging various risks and transaction cost models.

Set-up QA and testing processes for engineering applications. Very familiar with SDLC and agile methodologies, and have several years of hands-on experience in unit, system and integration testing.

Lead a team of research scientists and developers in finance and wireless communications. Actively involved in IEEE standardization processes and meetings in the past. Have several years of experience in project planning and resource allocations, and coordinated and led project meetings at local and international level.

Extensively involved in preparation of business and technical documentations for engineers and programmers. Very comfortable with conducting presentations for both technical and non-technical audience.

Several years of hands-on industrial experience with the following programming languages and tools :

oC/C++ (OOP) for Windows and Unix(Linux), Boost & STL Libraries,

oR, MATLAB & Simulink, Python (associated libraries, visualizations & reporting tools)

oOracle/SQL/PostgreSQL (stored procedures), Cassandra/MongoDB, Hadoop/Map-Reduce,

oSSRS and Power BI, Excel, JIRA, Confluence, SharePoint and PlanView

Education

University of Sydney, Australia

2018 - Masters of Data Science

University of Cambridge, United Kingdom

1996 – 2000 PhD (Electrical Engineering)

Bayesian Signal Processing and MCMC techniques for Beamforming in Alpha-stable Noise

University of Sydney, Australia

1990 – 1994 BSc & Bachelor of Engineering (1st Class Hons Information Systems Engineering)

Electronics, Communication Systems, Signal Processing

Employment

JUNE 2017 – UNTIL NOW (CONTRACT JOB)

LENS – IMMERSIVE PTE LTD

SENIOR ALGORITHMIC ENGINEER

Analysed large set of image data to extract various patterns and empirical relationships in wavelet transform domains and developed context-based predictor models to improve the coding efficiency of the entropy coders (M-Coders, binary arithmetic coders).

Applied modern machine learning schemes such as Convolutional neural networks (CNN), logistic regression, SVM etc. to build various predictor models in wavelet transform domain.

Worked on various Embedded Video Coding Algorithms(Matlab/C EZW, SPIHT, EBCOT, SPECK

Designed a new architecture to improve the compression Rate of SPIHT algorithms used in the current Video Codec standards.

Researched into various quantization and rate-distortion based optimization schemes to improve the compression rates in the current video codec standards: MPEG, H.264, HEVC etc.

DEC 2015 – DEC 2016

MINERVA CAPITAL PARTNERS, AUSTRALIA

DIRECTOR OF RESEARCH

Analysed large amount of historical financial market data to extract features which were used in a neural network framework to predict the buy/sell signals. In this project, I built an automated daily trading system for ADR and DLC equity markets in US, Europe and APAC using R/Matlab/C++.

Used a multi-variate regression model to develop a statistical arbitrage system to trade global futures markets. This project involved analysing multi-dimensional financial market data and identifying mean-reverting features (from the model) to predict the market movements.

Implemented constrained portfolio optimisation and VaR models, and few other performance metrics related algorithms to automatically re-balance portfolio weights, and monitor and control down-side risks.

Implemented tick/interval database (in postgresSQL) and automated data filtering algorithms in the data base for equities and futures market data.

Assist CEO and directors in the planning of future research directions and staff resourcing

Managed a team of programmers, researchers and traders.

JAN 2015 – DEC 2015

VERIFONE AUSTRALIA PTY LTD

SENIOR BUSINESS ANALYST (MANAGER)

Involved in requirement gathering from different clients from banking industries and preparing appropriate use cases and process flow diagrams.

Prepared BRDs, FRDs and other Technical Design Specifications (TDS) documents for various Terminal (Payment) applications for technical and management team members.

Streamlined existing SDLC QA(Agile & Waterfall) Framework to improve efficiency, reliability and performance

Analysed project requirements and advice management on needed infrastructure and human resources.

Set up a resource allocation system (PlanView) from scratch and trained management team.

SEP 2013 - NOV 2014

HOTWIRE PE GROUP

SENIOR RESEARCH SCIENTIST

Worked towards developing a Bitcoin exchange platform

Prepared detailed specifications for the matching engine and order book for programmers

Developed a prototype program for order book (CLOB) in UNIX (C++)

Wrote research proposals on virtual currency, Elliptic-curve cryptography and related block chain applications for research grants

Worked with external researchers to develop risk models: operational, market and credit for a virtual currency economy

MAY 2012 - APR 2013

AXT PTE LTD, HONG KONG

PORTFOLIO MANAGER

Analysed a large amount of financial market data and designed a pattern based predictor model based system for trading Asian equities & FX markets using Matlab, R and C++ (OOP)

Back-tested over 10 years of historical tick data

Developed a PostgreSQL database and relevant stored procedures.

Implemented a portfolio optimization scheme based on various risk and performance measures: VaR, SRs, drawdown

FEB 2007 – DEC 2011

BORONIA CAPITAL PTY LTD, AUSTRALIA

QUANTITATIVE RESEARCH SCIENTIST

Responsibilities:

Research and development in algorithmic (high frequency & inter-day) arbitrage trading systems for futures markets: equity indices, bonds, currencies and commodities

oFull cycle of trading system development: data mining, model selection and validation, back-testing and writing specifications for final production systems.

oExecuted various multi-variate ARMA, GARCH and CVaR modelling and validation algorithms in R/Matlab/C++

oDeveloped various filters: SMA/EWMA/Kalman filters etc.

oFormulated a dynamic/adaptive strategy selection scheme.

Macro models for trading bond and energy futures. Alpha generation from:

Yield curves, PMI/survey signals, world indices

Implemented non-linear constrained portfolio optimization schemes where constraints were Transaction Cost, Slippage, VaR, SRs and drawdowns.

Devised research ideas and directions for future trading systems

oAdvanced filters: Kalman, adaptive and Gaussian filtering schemes

oCointegration system in the Bayesian framework.

oMarkov switching models for arbitrage trading systems.

oAlpha-stable noise and their applications in finance .

Lead research & IT staff to conduct performance and risk analysis

Achievements:

Designed and back-tested a Cointegration based HF trading systems which is in production.

Developed and back-tested six macro-model trading systems which are in prop-testing phase at the moment.

Designed/Optimised the filtering and strategy selection schemes so that the system can be used across various futures markets: US/Europe/Asia

Developed a number of new portfolio optimization schemes and Risk Measurement metrics: VaR, Sharpe ratios (SRs), drawdown, other risk adjusted metrics.

Published two conference and two journal papers

SEP 2006 – FEB 2007

SIGNAV PTY LTD., AUSTRALIA

SENIOR ENGINEER

Develop firmware for GPS receivers: Embedded C/Assembly programming, GUI development

Prepared an internal research white paper on detection of interference and mitigation of multipath interference for GPS systems

NOV 2005 – SEP 2006

UNIVERSITY OF NEW SOUTH WALES, AUSTRALIA

RESEARCH FELLOW

Developed a software GPS receiver in C++, OOP: Acquisition, Tracking, Demodulation, Navigation Solutions

Prepared detailed design and implementation documents

Conducted various system performance testing and evaluations

MAR 2005 – AUG 2005

THISS TECHNOLOGIES PTE LTD., SINGAPORE

CONSULTANT

Modelling a CDMA Burst modem for a satellite based communication system & analysing system performance

Preparing design and implementation documents

Modelled the whole system in MATLAB & Simulink, Joint frequency / time synchronisation, IS2000 Turbo Encoder, MAP Turbo Decoder

JAN 2000 – MAR 2005

INSTITUTE FOR INFOCOMM RESEARCH, SINGAPORE

SCIENTIST

Conduct research and lead task groups on research projects

Seminars to industries / academia

Publish new results in international conferences and journals, participate in IEEE standardisation activities

Academic Positions

MAR 2005 – JUL 2006

UNIVERSITY OF SYDNEY, AUSTRALIA

EXTERNAL LECTURER

Preparing Lecture/Tutorial and Lab materials for a 3rd year course on Communication Systems

Setting and Marking Exam/Quiz questions

Student Consultations

Conducting Exam review and preparing course report

JAN, 2001 – DEC, 2004

NATIONAL UNIVERSITY OF SINGAPORE, SINGAPORE

ADJUNCT ASSISTANT PROFESSOR

Taught graduate courses and supervised both undergraduate and postgraduate students

Set and mark exam questions

Examine graduate and undergraduate thesis

Taught a graduate course on “Adaptive & Spatial Signal Processing for Advanced Wireless Communications” for three years

Presented my work in several international conferences and IEEE standardization meetings.

Professional memberships

Member of IEEE (Institute of Electrical and Electronics Engineers)

Fellow of Cambridge Commonwealth Society

Volunteer experience

TPC member of ICCS’2006

Secretary of the IEEE Comms. Chapter, Singapore, 2001-2003

Treasurer of the 7th ICCS’02

Reviewer for IEEE conference and journal papers

Awards

IEEE region -10 best paper in 2004

Postgraduate scholarships by NSTB, Singapore in 1997

Postgraduate awards by Cambridge Commonwealth Trust, 1997

Full Merit undergraduate scholarships by AIDAB, Australia during 1990-1994

Publications

(Shortlist from 50 publications)

Peters G. W., Kannan. B, Lasscock. B, Mellon M. and Godsill S. (2011) ``Bayesian Cointegrated Vector Auto-regression models incorporating alpha-stable noise for inter-day price movements via Approximate Bayesian Computation". Bayesian Analysis. [arXiv:1008.0149v1]

Peters G. W., Kannan B. and Lasscock B. (2010) ``Model selection and Adaptive Markov Chain Monte Carlo for Bayesian Cointegrated VAR Models".Bayesian Analysis.

Peters G.W., Kannan B., Lasscock B. and Mellen C. (2009) ``Rank Estimation and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR Models". 15th International Conference on Computing in Economics and Finance.

Lasscock B., Peters G.W. and Kannan B. (2011) ``Rank Estimation in Cointegrated Vector Auto-Regression Models via Automated Trans-Dimensional Markov chain Monte Carlo". CAMSAP-Special Session, [arXiv: 0912.4729].

S. Niranjan, A. Nallanathan and B. Kannan, “Accurate Modelling of Multiple Access Interference and BER Derivation for TH and DS UWB Multiple Access Systems”. IEEE Trans. On Comms., Vol5, No.10, October 2006.



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