Currently @ BMO Capital Markets as a Quantitative Developer Intern.
On the Data Cognition team doing software for equity derivatives :) Learning a lot about engineering and finance, really great place to be!
I worked on some pretty interesting things:
- Correlation between tickers using Kendal Tau. One of my biggest challenges was figuring out how to incorporate the divide and conquer method that yields a worst case runtime of $O(nlogn)$
- Options tick data API, total granular and working with a hugeeeee time series database
- Outlier detection for client impact scores. How do we decide that clients know more information than us when trading with us? How do we detect anomalies?
And many others.
Fall class of 2024 :)
model status 💅