Data Sales

Dr. Roman A. Sologub

E-mail: *****.*******@*****.*** Phone: +357-********

A passionate quantitative researcher with profound knowledge of financial markets and expertise in developing high-quality derivative valuation models. Available for short-term and long term assignments for projects involving data science, statistical and numerical techniques and principles of the theory of probability, model validation and more.

Summary of Qualifications:

Ph. D. in Machine Learning and Data Analysis

Five years of experience in the field of algorithmic trading and financial models development

Profound understanding of statistical analysis, data mining and derivative valuation approaches

Excellent working knowledge of Matlab, C++, Python and VBA

SQL and relational database knowledge

Extensive experience in quantitative risk estimation methodologies and techniques

Ability to interact and effectively communicate with people from diverse backgrounds, highlighting teamwork and problem solving

Work Experience:

OBR Investments Limited, Cyprus (hedge fund regulated by CySEC)

Head of Proprietary Trading

Analyzed, designed and implemented strategies for derivatives trading (volatility, dispersion, spreads, hedging), risk-arbitrage, index-arbitrage, interest rate futures market-making

Implemented new investment tools and associated technologies

Calibrated pricing models for complex equity, fx and interest rate products

Analyzed masses of unstructured data to develop clearly understandable analysis, conducted extensive statistical analysis

Performed risk and performance analysis and presented detailed reports to the management

Implemented algorithms with turnover of up to 5% of ADTV. Performance exceeded 25% p.a. with Sharpe ratio at 2.4

07.2014 – current

Trestkom, Russia (private equity fund)

Analyst

Conducted statistical arbitrage research

Back-tested models to validate performance. Analyzed transaction costs and slippage effects, market microstructure effects

Developed algorithmic trading models exploiting derivatives pricing and arbitrage opportunities across multiple asset classes

Wrote proposals for hedge fund investment

Created models for risk estimation

The dollar profit of developed algorithms was up to 15% p.a.

06.2011 – 07.2014

X5 Retail Group, Russia

Senior Consultant

Developed innovative sales and residuals forecasting models

Produced unique results, generating a rise of more than 1% in the total turnover

Prepared reports for stakeholders

The company is Russia’s leading food retailer. Website: http://x5.ru

08.2010 – 06.2011

Education:

Ph. D. in Mathematical Sciences

Institution of Russian Academy of Sciences Dorodnicyn Computing Centre of RAS

2014

M.Sc. in Applied Mathematics and Physics

Moscow Institute of Physics and Technology (State University)

Department of Innovation and High Technology (GPA 4.7 / 5.0)

2010

Additional Education and Certificates:

CYSEC Financial Services Legal Framework: Advanced Examination

2015

Academic Interests:

Regression and Classification, Mathematical Modeling, Discrete Analysis, Model Generation and Validation, Genetic Algorithms, Category Theory. Applying Machine Learning to Stock Market Trading

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