Software engineer working on a market making trading team. Focusing on low latency software C++ and Python.

Created a Python package for Bayesian multivariate time series forecasting with modular code that uses NumPy, SciPy, pandas, data compression, shell scripting, GPU, JAX automatic differentiation, and Numba JIT compilation. Package will be deployed and maintained as an open-source project upon completion.

Worked in Financial Markets Group (open market operations and equities) and Note Issue (counterfeit banknotes) departments.

Formulated mathematical models (in R and Mathematica) to understand bidding behaviour, elasticity of demand, and interactions between demand and supply at repo market auctions. Designed an algorithm to extract insights from a foreign exchange database containing trillions of rows. The algorithm accounted for missing data and incorrect reporting.