Python/R developer

Project Description

Overall description: Improvements in vehicle agnostic process

Applications involved:
1) Axioma Portfolio Optimizer (Portfolio Optimizer) - Commercial of the shelf (COTS) solution
2) Axioma Adapter - 'in-house' solution allowing reference data to be loaded into Portfolio Optimizer
3) Tableau reporting - tool for visualization of vehicle alignment results

Business Context: Vehicle Agnostic Alignment
By design fund investments are available to a certain number of (regions, securities, industries and etc) Vehicle concept was invented to make investment services possible for a wider range of clients. The ultimate goal for re-alignment process is to bring vehicle's return divergence as close as possible to underlying funds.
The business process of vehicle alignment by design have:
1) Intraday alignment transactions into vehicle in order to keep it within defined tolerance thresholds;
2) Continuous Vehicle Investment Decision Maker reviews of holdings and cash balances of the vehicle in relation to the fund;
3) Continuous reviews by Quantitative Research & Analytics Group (QRA) in order to determine a basket of securities / alternatives for vehicle investments;

The company successfully lunched pilot that proofed the concept of agnostic alignment in 2015-2016 and looking at phased implementation for a number of funds. As a result, some of the approaches that were suitable for pilot phase has to be adjusted.
The focus of this engagement is to allow scalability of the vehicle agnostic process as well as assistance to QRA / Vehicle Investment Decision Maker via visualized reporting platform.



Skills Required

∙ 5+ years of programming experience
∙ Practical knowledge of at least one of the following languages / tools: R, Python, SAS, SPSS, MATLAB, Java ML
∙ Experience in the following domains is a plus: analytics, data mining, machine learning, NLP
Los Angeles
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