Primary Objective -
Construct Quantitative Finance platform in R/C++ R packages for NASDAQ, LSE and ASX
o Built R based data retrieval and management system for Interactive Brokers.
o Supports the loading of a basic portfolio (global min variance) and more advance Quant models
o Must provide strategy back testing on historical data using R
- capable of supporting VECM pairs model simulation for a given portfolio
- capable of supporting PCA driven model simulation for a given portfolio
- capable of supporting Fama French factor modelling for a given portfolio
Testing Risk Management
o Integrated Market Risk Model Validation in R via Validated Market Risk Models
o Integrated VaR computation methodologies
o Integrated Unit Root testing
Capable of scaling to Hadoop and Map Reduce
User documentation and training handover via Skype or in person
Possible extensions to more advanced training, probability based time series driven neural models to be considered at the delivery of stage 1.
Timing 3 months must be live and functional.