Quant / Financial Data Scientist / R / Hadoop

Closed - This job posting has been filled and work has been completed.
Accounting & Consulting Financial Planning Posted 2 years ago

Fixed Price

Delivery by August 29, 2013




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.

About the Client

(4.49) 41 reviews

Kedron 08:23 AM

45 Jobs Posted
67% Hire Rate, 1 Open Job

Over $50,000 Total Spent
78 Hires, 3 Active

$22.25/hr Avg Hourly Rate Paid
2,097 Hours

Member Since Jun 14, 2013