Quant (AVP) | Feb 2023 – Present | Barclays, London, UK
- Quant at Quantitative Analytics Treasury.
- Main developer of the following Tier 1 projects: Trading Wind Down and Funding in Resolution (Liquidity projection and Collateral Encumbrance Forecasting, Systematic booking of trades in FX, Repo and Reverse Repo for Fixed Income Financing, Automated Collateral Allocation, Covering the whole Trading and Banking Book).
- Maintainer of the following Tier 1 projects: Income Forecast (Net Interest Income, Structural and Product Hedges, Computation of Hedging Cost, Automated booking of trades for linear amortization using bullet rates swaps,), Net Interest Income Sensitivity.
Junior Quantitative Researcher | Oct 2020 – Nov 2022 | Ikos RT, Limassol, Cyprus
- Alpha signal generation in a systematic intraday cross-asset framework in highly liquid future contracts (Indices, Bonds, FX, Commodities).
- 4 successful strategies (Realised Sharpe ratios: 3.5, 1.8, Simulated: 1.3, 1.1) | Proficient with volatility carries, calendar-spreads, spreads, and mispricing models | Holding periods from hours to weeks (MF / LF). | Minutely adjusted.
- Extensive use of Machine Learning and Statistical Models.
Ph.D. Candidate | Feb 2017 – Sep 2020 | Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean, Greece
- Thesis Title: “Non-linear analysis of stochastic and chaotic Multivariate Time Series” (Not completed) | Research concentrated on volatility estimation models.
- Provided the mathematical definition and proof of Low-price effect, an 80+ year open problem.
- Published 3 papers, 1 chapter in iSTE Wiley Book, 1 conference proceedings, 12 talks in International Conferences, Seminars and Summer schools (2 of which as invited speaker), reviewer for 6 scientific journals and books, and Teaching Assistant in 12 undergraduate and 4 master courses.
Private Tutor for university students | Oct 2008 – Sep 2020 | Freelancer, Greece
- Delivering private tutorials on undergraduate and postgraduate Mathematics, Physics, Engineering (Mechanical, Software and Civil) and Finance students. | Preparing students for Mathematical Olympiads.