Yury Roslavlev

Launched and developed the quant department of the company. Established and advised several quant vehicles with a fully automated systematic trading approach using a direct market access. Products advised included a sub-portfolio of a macro hedge fund, three dedicated equity long/short hedge funds, a systematic currency overlay strategy for a private equity/real estate fund, and a range of single managed accounts.

As independent quant consultant I advised on several portfolios on US and Russian equities markets. The cooperation was not limited by providing market signals or advisory but also the project management support from scratch. The scope included IT integration, marketing and sales support, autotrading solutions development and implementation, supporting end-users.

-Developed the framework (C/C++) for backtesting, optimization, monte carlo simulation and performance/risks calculation for the portfolio of the quant strategies -Launched the strategy on Russian equities for clients based on systematic trend following models -Created dynamic strategies / stocks reshuffle approach for US markets -Developed the set of trend-following, mean reversion and pattern recognition strategies for US and Russian equity markets

-Developed the tool for generating market performance reports based on Excel/VBA/Bloomberg -Developed the Automated Trading Software for market-making activities on the futures and on the options market based on Excel/VBA/Bloomberg/NI API

Department of Probability and Mathematical Statistics

Department of Probability and Mathematical Statistics