MSc MTF Distinction!

I just completed the MSc Mathematical Trading and Finance in Cass Business School with Distinction (First Class)! It was a challenging and rewarding year. It's now time to start applying my knowledge into practice. More exciting moments are to come!

Low-Latency Summit 2011

I will be attending the Low-Latency Summit 2011 - Winning Strategies for Deploying Low-Latency Technologies. I attended the Summit last year and I got a good insight about technologies used for low-latency and what are the right low-latency choices in order to stay ahead in Electronic Trading. This year the opening will be by Pete Harris (Publisher & Editor of Low-Latency.com) and Benjamin Stephens (Electronic Trading & Quantitative Prime Brokerage Origination at Nomura International)

14-10 Club @ the Royal Institution

I received an invitation to join the 14-10 Club and I will be attending their meetups from October onwards. This club is for finance professionals who have a background in science and mathematics and want to keep their interests alive!


"The Royal Institution was founded in 1799 to promote the application of science. Fittingly, it is now turning its attention to modern applications of science and maths and is delighted to be welcoming the finance community into the fold, through the 14-10 club. The club takes its name from the outstanding achievement of the Royal Institution, where 10 chemical elements were discovered and 14 Nobel Prizes won.


At the clubs monthly gatherings you will hear from scientists and mathematicians on topics as varied as cosmology, artificial intelligence and multi-dimensional mathematics- as well as from the top names in finance. The Royal Institution has put together a first class programme for the club's first six months. You will meet cosmologist John Barrow (Cambridge University); theoretical ecologist and past Government Chief Scientific Advisor, Lord Robert May (Oxford University); head quant at Barclays Capital and Risk magazine 'Quant of the Year 2011', Vladimir Piterbarg and Nobel Laureate and behavioural economist, Professor Daniel Kahneman (Princeton University)."

Further information can be found online at www.rigb.org/14-10club.

Back in Action!

It's been a long time since my last post, but I am back! I have been very busy working in a financial software house and studying the CQF (Certificate in Quantitative Finance) in parallel. I finally finished the CQF with exams average 97.8% :D and I am very excited about the future!

I have accepted an offer from Cass Business School for the MSc in Mathematical Trading and Finance (full time). The classes are all in the evening. That is very convenient as I can work during the day. The following are the modules at each term.

Term 1:

• Derivatives 1
• Mathematical Finance and Stochastic Calculus
• Advanced Financial Econometrics
• Quantitative Asset Pricing

Term 2:

• Derivatives 2
• Numerical Methods
• Risk Analysis and Modelling
• Structured Equity and Energy Derivatives

Term 3:

One elective and a Business Research Project which I can do in a company. The following are the electives.

• Advanced Financial Engineering and Credit Derivatives
• Fixed Income Arbitrage and Trading
• Advanced Options Trading
• Trading and Hedging in the Foreign Exchange Market
• Advanced Financial Modelling and Forecasting
• Technical Analysis and Trading Systems.
• Mergers, Acquisitions and Divestments
• Finance in Emerging Markets
• Behavioural Finance
• Market Microstructure and High Frequency Econometrics
• Matlab
• Private Equity Investment

 They already gave us preparation material for the induction section in Advanced Mathematics and Advanced Statistics.

I want to apply what I have learnt so I will be starting a project on my own. I will keep you updated! Excitement continues!

First-Class obtained!

I finally received my university results. I got First Class Honours :) I can't wait for the graduation ceremony :D 

Real-Time Sound Enhancer

As part of my coursework for the Sound Processing module I built a real-time sound enhancer, using the FMOD Ex library. It implements a band reject filter while splitting the signal in two bands at an adjustable frequency between 100 and 3000Hz and merging the two bands together. 8 additional harmonics are added on the lower band using Chebyshev waveshaping (Chebyshev Polynomials).

The user can at real time adjust the split frequency, the level of the lower and upper band and the odd and even harmonics. There are also the functionalities of bypassing the effects, playing and stopping the sound and uploading new input sounds from the file system.

The countdown has started!

The last semester of my university degree has started and I am very satisfied with the choices of modules I made. The two modules are Software Agents and Sound Processing.

The Sound Processing one contains physics and mathematics. We will be looking at Fast Fourier Transform (FFT). In the first lecture I revisited waves in physics and all the related formulas, learnt the anatomy of the human ear, coded waves, unified them and reproduced their sounds using MATLAB.

For the Software Agents module I will have to build a system with an agent (or a Multi-Agent system) that learns from the environment. I will focus on Machine Learning and more specifically on Reinforcement Learning.

I am also progressing with my dissertation, implementing the fitness function of the genetic algorithm.