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# Algorithmic Trading and Quantitative Strategies ## Roger Hamam ### Academic Background - Ph.D. Degree in Applied Mathematics, specialized in stochastic control and applied probability (Queen's University, Canada). - Master's Degree in Financial Engineering (HEC Montréal, Canada). - Master...

# Algorithmic Trading and Quantitative Strategies ## Roger Hamam ### Academic Background - Ph.D. Degree in Applied Mathematics, specialized in stochastic control and applied probability (Queen's University, Canada). - Master's Degree in Financial Engineering (HEC Montréal, Canada). - Master's & Bachelor's Degree in Electrical Engineering (École Polytechnique de Montréal, Canada). ### Industry Experience - Algorithmic Trader and Quantitative Strategist at various hedge funds and proprietary trading firms. - Over 15 years of experience. - Areas of expertise include quantitative analysis, derivatives pricing, portfolio optimization, risk management, and high-frequency trading. ### Research Interests - Stochastic Control & Reinforcement Learning. - Optimal Execution. - Market Microstructure. - Statistical Arbitrage. - Pairs Trading. - Volatility Modeling. - Deep Learning. - Alternative Data. ### Skills - **Programming languages:** Python, R, C++, Java - **Software:** pandas, NumPy, scikit-learn, TensorFlow, Keras, PyTorch, Bloomberg, Refinitiv ### Contact - Email: [email protected] - Website: [https://www.quantandfinancial.com](https://www.quantandfinancial.com) ## Education ### McGill University, Montreal, Canada **Instructor** (January 2023 - Present) - IFIN 466 Algorithmic Trading and Quantitative Strategies. - Develop and teach a new course on algorithmic trading and quantitative strategies. The course covers a wide range of topics, including: - Quantitative analysis and statistical modeling. - Algorithmic trading strategies such as: - Pairs trading - Statistical arbitrage - Optimal execution - Backtesting and performance evaluation. - Risk management. - High-frequency trading. - Machine learning. - Alternative data. - The course is designed for students who are interested in pursuing a career in quantitative finance. ## Work Experience ### Proprietary Trading Firm, Montreal, Canada **Quantitative Trader** (January 2014 - December 2022) - Developed and implemented algorithmic trading strategies for various asset classes, including: - Equities. - Fixed income. - Currencies. - Commodities. - Conducted research and analysis to identify profitable trading opportunities. - Managed risk and ensured compliance with regulatory requirements. - Collaborated with other traders and researchers to improve trading performance. ### Hedge Fund, New York, NY **Quantitative Analyst** (January 2010 - December 2013) - Developed and implemented quantitative models for: - Derivatives pricing. - Portfolio optimization. - Risk management. - Conducted research on financial markets and developed new trading strategies. - Supported portfolio managers with trading decisions. ## Publications - Hamam, R., & Chevrier, J. (2016). Optimal switching with finite fuel and asymmetric information. *SIAM Journal on Control and Optimization*, *54*(4), 2127-2153. - Hamam, R., & Forssell, U. (2011). Solving an optimal decision-making problem in the pulp and paper industry. *European Journal of Operational Research*, *214*(3), 615-623. - Hamam, R. (2009). Essays on impulse and switching stochastic control problems. (Doctoral dissertation, Queen's University). ## References - Available upon request.