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Lucian Craciun

Lucian Craciun

Quantitative Researcher / Data Scientist

LexAlpha Quant

Technologies

My Portfolio Highlights

My New Course

Introduction to Python

My New Project

Dr. Semmelweis and the Discovery of Handwashing

My New Track

Python Fundamentals

Data virtuoso, transforming raw numbers into a masterpiece of understanding.

My Work

Take a look at my latest work.

course

Introduction to R

course

Introduction to Python

course

Intermediate Python

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.

Dark Forest Technologies | May 2022 - May 2023

Team Lead Quantitative Researcher

· Managed a team of 3 quants, conducted interviews, set research directions, planning & milestones · Designed systematic daily frequency long-short equity strategies on a broad range of data categories and various modules for cost optimization, turnover reduction, performance & liquidity enhancing, achieving a ~1.4 Sharpe Ratio over a 6-months out-of-sample period; performed alpha research on a set of topics including factors, insiders, shorts, fundamentals, sentiment and price-volume · Developed a complex framework for signal generation including features for data ingestion, robustness checks, a wide range of transformations, an operators & parameters optimizer, visualization tools and other complementary instruments used in alpha research · Created grouping datasets using ML algorithms for hedging risk at a granular level within the universe
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Lemon.io / Giraffe Money | Dec 2021 - Apr 2022

Freelance Data Scientist

- Built a live quotation data extraction script for a number of major tokens in Opensea - Developed an NFT prediction model for a set of major collections and other complementary tools

eMAG, Naspers Group | Mar 2020 - Mar 2022

Senior Data Scientist

· Developed a forecasting model for predicting the daily GMV (gross merchandise volume) per external seller and total marketplace using boosting algorithms · Designed a tool for estimating the marketplace sellers’ monthly health indicator values (suspensions based on different service quality metrics) taking advantage of DeepAR & CatBoost algorithms · Built a credit scoring model and designed pipelines for selecting & computing default probabilities of the clients in order to offer them alternative financial options (delayed / instalments payments) · Produced a classification model in order to find clients who are not FCR (first-contact resolution) after interacting with the customer care department · Developed a Passive Aggressive Regressor model tailored for the Black Friday annual event aiming to

Two Sigma AlphaStudio | Apr 2020 - Nov 2021

Quantitative Research Consultant

· Collaborated with experts from Two Sigma on developing and implementing cutting-edge research ideas at the intersection of data science, technology and finance for generating alpha trading signals · Developed pieces of research, proposed and cleaned datasets, designed trading features and created scripts for the optimization of the research pipeline and automated feature scoring

WorldQuant | Feb 2018 - Feb 2020

Senior Quantitative Researcher & Deputy General Manager

· Developed algorithmic daily rebalancing long-short neutral trading signals on US, Europe, Japan and other markets, on different asset classes (Equities, ETFs), using a wide range of data categories (fundamental, analyst, price-volume, news, consumer, alpha model, financial derivatives etc.) · Constructed trading strategies consisting of up to 000’s of alpha signals by taking advantage of alpha operations (shifting the vector of positions corresponding to the instruments), alpha manipulations modules (dynamically adjusting the signal weights and combination methodologies – e.g. Markowitz min-var. optimization, gradient decent) and trading modules (optimizing trading cost, netting, crossing) · Built alpha operations for twisting alpha vectors, improving their performance (Sharpe Ratio, returns, turnover, correlation with the alpha pool) considering seasonality components, earnings calendar, liquidity, costs & risk components (e.g. PCA neutralization for reducing different exposures) etc. · Co-designed an automated framework to search for random alpha signals & different tools for summarizing results and automating workflow · Co-developed a visualization-driven framework that allows for easy and interactive data cleaning, anomaly detection, as well as converting alternative data via different machine learning techniques · Conducted recruiting interviews & co-led several groups of new researchers and interns, providing initial training, allocating workloads and ensuring their task’s timely and effective completion · As the Deputy GM of the Romanian office, part of the working group who designed the strategic initiatives and assessed the innovation projects at EMEA level

PwC | Jul 2017 - Feb 2018

Senior Management Consultant

· Performed a benchmarking study for a key Utilities company in Romania, serving as the main analysis for the size of their national Distribution System Operators, as part of a DSOs area transformation · Co-designed the Lean implementation strategy for the New Connection process, performing several analyses, workshops and interviews with key personnel; organized 3 focus groups with final customers

BCR (Romanian Commercial Bank), Erste Group | Feb 2017 - Jul 2017

Rating Models & Risk Parameters Statistician

· Involved in credit risk data collection for estimation, calibration, validation and monitoring of risk parameters & rating models; part of an ERSTE Group working entity responsible for redevelopment of methodology and re-estimation of the Probability of Default parameter · Responsible for calculation of expected risk margins for pricing the credit related products · Developed SAS scripts and performed analyses for IFRS 9 parameters estimation · Worked on several ad-hoc tasks related to the IRB application

A. T. Kearney | Aug 2016 - Feb 2017

Business Analyst

· Delivered analyses on costs, span of control, activity of the employees and investigated prospective business cases as part of a transformation project for one of the biggest Romanian oil & gas companies · Performed several interviews with key stakeholders from different corporate departments in order to design a new customer care concept, a selling strategy and optimize the resources for a top utilities firm

My Education

Take a look at my formal education

Master of Mathematics, Op. Research, Statistics & Economics – Actuarial & Financial Mathematics in Mathematics & StatisticsUniversity of Warwick | 2016

About Me

Lucian Craciun

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