"Connecting financial applications with science and technology"
PhD in Statistics | Quantitative Researcher | Author
I'm a statistician and quant researcher passionate about connecting financial applications with science and technology. My professional journey spans quantitative research, portfolio management, and trading of quantitative investment strategies across investment and private banks, hedge funds, and family offices.
- Quantitative investing and asset allocation
- Modeling of financial markets and instruments
- Statistical and Machine Learning methods
- Modern computational and programming tools
- Stochastic volatility models
Quant of the Year – Risk Awards 2024
Profile on Risk.net
For a complete list of publications and blog posts, visit artursepp.com
QuantInvestStrats (qis)
Quantitative Investment Strategies (QIS) package implements Python analytics for visualisation of financial data, performance reporting, analysis of quantitative strategies.
Features:
- Financial data visualization
- Performance reporting and analytics
- Quantitative strategy analysis
- Portfolio construction tools
OptimalPortfolios (optimalportfolios)
Implementation of optimization analytics for constructing and backtesting optimal portfolios in Python.
Features:
- Portfolio optimization algorithms
- Risk budgeting implementation
- Backtesting frameworks
- Performance attribution
StochVolModels (stochvolmodels)
Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including Karasinski-Sepp log-normal stochastic volatility model and Heston volatility model.
Features:
- Karasinski-Sepp log-normal stochastic volatility model
- Heston model
- Monte Carlo simulations
- Analytical valuation of European call and put options
BloombergFetch (bbg-fetch)
Python functionality for getting different data from Bloomberg: prices, implied vols, fundamentals.
Features:
- Bloomberg data fetching wrapper
- Price data retrieval
- Implied volatility data
- Fundamental data access
- Built on xbbg package integration
VanillaOptionPricers (vanilla-option-pricers)
Python implementation of vectorised pricers for vanilla options
Features:
- Black-Scholes log-normal option pricing
- Bachelier normal option pricing
| Package | GitHub Stars | GitHub Forks | Total Downloads | Monthly Downloads | Weekly Downloads |
|---|---|---|---|---|---|
| QuantInvestStrats (qis) |  |
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| OptimalPortfolios (optimalportfolios) |  |
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| StochVolModels (stochvolmodels) |  |
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| BloombergFetch (bbg-fetch) |  |
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| VanillaOptionPricers (vanilla-option-pricers) |  |
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- 🌐 Website: artursepp.com
- 📧 Email: artursepp@gmail.com
- 🐦 Twitter: @artursepp
- 💼 LinkedIn: @artursepp