Nick Firoozye
Also known as: Nick
Tradelink LLC, IF Resources, New York University Courant Institute of Mathematical Sciences, Harvey Mudd College, Exos Securities
About
Dr Nick Firoozye is a senior researcher at TradeLink LLC (now DV Trading), and has held an Honorary Readership at UCL where he is a Lecturer (Teaching) in Computer Science, teaches Algorithmic Trading Strategies, and advises PhD and MSc students.
He has a PhD in Mathematics from NYU, has had academic positions at IMA (University of Minnesota), Heriot-Watt, Bonn, and NYU, and an Assistant Professorship at University of Illinois, Urbana-Champaign.
He has held industry positions at Lehman, Goldman Sachs, Deutsche Bank, Nomura, and Citadel Securities amongst others, working primarily in quantitative strategies and trading.
His research interests include computational statistics, online learning, reinforcement learning and stochastic control and their applications in finance and other domains.
Employment
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Tradelink LLC Sr Researcher2024 - Present
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Exos Securities MD2019 - 2024
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IF Resources2015 - Present
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Nomura International plc MD2009 - 2017
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Citadel LLC Head of Research, PM2007 - 2009
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Deutsche Bank AG Director2002 - 2006
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Lehman Brothers Ltd SVP1995 - 1999
Education
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New York University Courant Institute of Mathematical Sciences PhD1986 - 1990
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New York University Courant Institute of Mathematical Sciences MSc1986 - 1988
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Harvey Mudd College BS? - 1986
Projects & Funding
Projects & funding information is unavailable.
Publications (48)
- Algorithms for Asset Allocators: Review Save
- Advanced Signal Filtering for Mean Reversion trading Save
- (Non-Parametric) Bootstrap Robust Optimization for Portfolios and Trading Strategies Save
- An Impulse Control Approach to Market Making in a Hawkes LOB Market Save
- When AI Trading Agents Compete: Adverse Selection of Meta-Orders by Reinforcement Learning-Based Market Making Save
- An Augmented Financial Intelligence Multi-Factor Model Save
- Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process Save
- Limit Order Book Simulations: A Review Save
- Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process Save
- Dynamic Portfolio Selection under Transaction Costs and Signal Decay Save