My journey into nuclear physics PhD studies encompassed several ventures into quantitative finance, igniting a newfound passion for the field. By the close of 2007, my career path had pivoted from the realms of nuclear physics to the dynamic world of applied quantitative finance. This transition was marked by fruitful collaborations with Wall Street experts, tackling real-world issues in portfolio management. The remarkable journey of Emanuel Derman from a physicist to a leading figure in quantitative analysis, chronicled in his work "My Life as a Quant," greatly inspired me. It was an unexpected honor to meet Professor Derman at Columbia University shortly thereafter. The hands-on experience in quantitative finance and the prospect of making a similar transition as Derman bolstered my move towards the finance sector.
Profile
Milestones
2007-2008
2008-2010
2010-2012
2012-2017
2017-2022
2022-Current
Selected papers
Review of QIS in traditional finance
The search for new and sophisticated sources of investment return, the appeal of lower-cost quantitative strategies that offer the continuing promise of outperformance coupled with the ...
Learn moreCombining ESG Ratings with News Sentiment Generates...
ESG ratings as a stock screener for downside protection can be significantly improved when combined with sentiment indicators derived from news and social media. Following a statistical approach ...
Learn moreSentiment Data Outperforms During Coronavirus Crisis
News sentiment can enhance alpha strategies, along with augmenting risk management models for downside protection during periods of crisis. Following a statistical approach, where by.
Learn moreGenerating Alpha from Insider Transactions
Insider transactions data can provide valuable insights that are not directly accessible in the public domain. It provides investors with insights into how C-level executives interpret their own ...
Learn moreEstimation of mean reversion in Oil and Gas markets
The presence of mean reversion was investigated from historical data of Henry Hub, WTI Crude and Brent Crude spot prices for the time frame 1990-2008. It was analyzed with in the scope of single ...
Learn moreAnalytical one-factor pricing model for energy vanilla options
One-factor model for forward prices was used to price vanilla options. The mean reversion rate and forward volatility were extracted from available market prices of calls and puts via calibration process ...
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