Learn Data Skills
Beta
Ilya Kipnis

Ilya Kipnis

Instructor

Author/strategist

Quantstrat TradeR

Technologies

Authored Curriculum

Take a look at the content that I created on DataCamp.

My Most Recent Course

Financial Trading in R

5 hours20 Videos65 Exercises21,127 Learners

DataCamp Course Completion

Take a look at all the courses I’ve completed on DataCamp.

My Work Experience

Where I've interned and worked during my career.

The Milwaukee Company | Jun 2021 - Present

Quantitative Researcher

Contract (for now) quantitative researcher for a $1B AUM family office. Wrote and improved a quantitative algorithm managing over $10 million. Researching signals to predict riskiness of downtrending or choppy markets as pertaining to systematic asset allocation.
Show More

Bank of America | Aug 2020 - Jul 2021

Application Architect

-Created reports for client accounts with bank, for both point-in-time, and historical reporting. -Implemented python scripts for more efficient reporting and data analytics routines. -Authored parts of future employee training handbook on how to use internal company software for smoother learning curves in the future. -Designed components of a new API for trading reconciliation database.

Yewno, Inc. | Apr 2018 - Sep 2018

Quantitative Analyst Contractor

Remote quantitative contractor. • Modeled and reported effectiveness of AI-based signals. • Created uniform infrastructure to perform comprehensive reporting of investment ideas. • Modeled impact on turnover policies of proprietary strategies. • Integrated SQL queries to obtain proprietary data from complex Yewno databases. • Improved proprietary backtesting infrastructure to better reflect real-world investment constraints. • Implemented portfolio optimization backtest in R on portfolio consisting of thousands of turnover periods and hundreds of assets to analyze impact of turnover reduction methodologies. • Completed projects have gone onto be sold to outside clients.

Quantstrat Trader | Apr 2017 - Present

Volatility Trader

• Published original prototype on website in late 2014 on systematic trading research site in R. • Iterated on volatility trading system trading long and short volatility ETPs. • Implemented both an aggressive and conservative variant. • Started trading in mid 2017 and dodged VIX spike on February 5, 2018 • Captured part of the long volatility upside during March 2020 Covid-19 market crisis.

BP | Oct 2015 - Jul 2017

Front Office Developer/Quantitative Energy Analyst

• Generated ~$100 million in revenue over the course of 22 months ($30 million in the first six months). • Integrated and modified large SQL queries with RODBC. • Implemented algorithms in R to process data with tens of millions of records regarding national gasoline pricing. • Implemented data analysis algorithms in R to assist in visualization of planned and unplanned refinery outages.

Graham Capital Management, L.P. | Jun 2015 - Aug 2015

Quantitative Research Analyst

• Conducted trading research in R using momentum rotation into outperforming SPY with 9 SPDR ETFs • Researched competitive product offerings in R and assets allocated among private hedge fund products

Quantstrat Trader | Mar 2014 - Present

Author

My blog and portfolio of data science, quantitative trading research, asset allocation, R programming, and more.

Optimal Asset Management, Inc | Jun 2013 - May 2014

Research Engineer

Reported to Vijay Vaidyanathan and Monty Joshi. • Implemented R algorithms to calculate comprehensive suite of performance and risk metrics for smart beta portfolios. • Constructed systematic, multi-strategy portfolios and reports for developed and emerging market smart beta products. • Programmed software in R to create reports for $250M emerging market smart beta portfolio. • Implemented R algorithms for reporting real-time performance of $250 million emerging market smart beta portfolio. • Implemented R algorithms for portfolio reporting for smart beta product benchmark comparison.

Open Source Financial Applications in R | Jun 2011 - Present

Open Source Developer

• Implementing open-source software for the R language as it pertains to financial applications. • Examples of such can be seen on my blog, https:// www.quantStratTrader.wordpress.com , read worldwide by industry veterans • Results on blog clearly communicated, with code written for results to be easily replicated and appended by end users.

Independent | Mar 2010 - Jun 2013

Consultant

Consulted in various quantitative capacities to several different firms. Consulting included construction of funnels and networks for analyzing start-ups and other early-stage private companies, speeding up analytical processes at a high-frequency firm by close to 50%, implementing processes to aid in discovery of statistical arbitrage pairs trading opportunities, as well as conducting and teaching data visualization in R.

Cheiron Trading | Apr 2011 - Jul 2011

Quantitative Data Analyst Intern, Statistical Arbitrage Group

Coded R full time in order to improve the data acquisition process, constantly improving the robustness of the data process to ensure proper data acquisition. Analyzed historical trading results to improve trading strategies.

Lehigh University | Aug 2005 - May 2009

Student

Student at Lehigh University. Operations Research, statistics, more finance coursework than a finance major, financial engineering, and other coursework.

FIX Flyer | Jan 2009 - Jan 2009

Support Desk Engineering

Intern at FIX Flyer for George Kledaras. Built documentation for FIX (Financial Information eXchange) protocol 5.0 Tested Flyer Online for bugs, an online trade settlement program. Built test cases for FIX Flyer Ignition, a FIX protocol trade-validation simulation system in FIX Protocols 4.0, 4.2, 4.4, and 5.0. Wrote a basic manual for using FIX Flyer Ignition for future office users and clients. Assembled algorithms to translate messages across different FIX protocols in real-time using FIX Flyer's Daytona proprietary system. Also suggested several improvements to the next iteration of FIX Flyer Daytona.

Watson Wyatt | Jun 2008 - Aug 2008

Actuarial Intern

Intern at Watson Wyatt. Worked in the retirement practice in Philadelphia. Checked paperwork and filled out government forms.

Drexel University | Jun 2007 - Aug 2007

Lab Researcher

Worked on the KIAPS (Kiaps Is A Plasma Squeegee) robot concept demonstrator for NASA

My Education

Take a look at my formal education

Bootcamp Program, Data ScienceThinkful | 2020
M.S., StatisticsRutgers University | 2010
Info Systems Engineering, Operations Research, Financial Engineering, EconomicsLehigh University | 2009
Cherry Hill East | Invalid Date

About Me

Ilya Kipnis

Professional Quantitative Analyst and R programmer

Powered by

  • Curriculum
  • Courses
  • Experience
  • Education
  • About Me