Quantitative researcher — econ PhD, financial engineering MSc.

Edmonton, AB · my.dam169@gmail.com · LinkedIn · CV

Macroeconomic Regime-Based Asset Allocation Group MSc capstone thesis; extended individually post-graduation.

• Capstone: Gaussian HMM (hmmlearn, Baum-Welch EM) and a custom MSMH-VAR(1) model (Hamilton filter, Kim smoother EM, built from scratch), plus regime-conditional portfolio optimization (cvxpy, Ledoit-Wolf and Bayes-Stein shrinkage). MSVAR outperformed HMM on a fixed-window backtest
• Extension: added macro indicators, compared PCA and PLS for dimensionality reduction (PLS preferred), replaced fixed-window with expanding-window walk-forward backtesting
• Walk-forward Sortino ratio 1.51, annualized return 11.7%, max drawdown -20.0% (Jan 2019–Dec 2025), vs. 60/40 benchmark Sortino 0.95, drawdown -25.8%; HMM now outperforms MSVAR, and uniquely detects the 1990–91 recession, which the original model and PCA-based variants miss

Tools: Python, NumPy, Pandas, Scikit-learn, Statsmodels, cvxpy

• Time series analysis and forecasting (ARIMA, GARCH, state-space models including HMM and MSVAR)
• Regression analysis on panel data
• Portfolio optimization
• Backtesting - walk-forward validation
• Dimensionality reduction (PCA, PLS)
• Computational methods: Monte Carlo simulation, dynamic programming and optimal control

Python, R, MATLAB, SQL, Stata

• MSc Financial Engineering, WorldQuant University (2026)
• PhD Economics, Paris-Saclay University (2020)
• MSc Economics and Social Sciences, Bocconi University (2015)
• BSc Economics, Trinity College (2012)