Employer: 2013 – CurrentFitch Ratings - Marcello Aliverti



Name: Marcello Aliverti Nationality:ItalianContact:e-mail : HYPERLINK "mailto:marcello.aliverti@" marcello.aliverti@ tel: +393899209270website: : 2022Udemy: Ethereum and Solidity: The complete developer’s guide2021Udemy: Machine Learning A-Z: Hands-on Python2018Edx: Statistical Learning2017Data Analysis in Python with Pandas2015 – 2016CQF Certificate in Quantitative Finance 92/100 (Average exams)2008 – 2010 Fellow ResearcherKaemart Research Group at Politecnico of Milan2002 - 2008BSc Computer Science 93/110Università dell’InsubriaEmployer:2020 – 2021Personal Project: Algorithmic Trading Platform and Crypto Trader2018 – 2019BNP Paribas2013 – 2018Fitch Ratings2011 – 2013TXT e-Solution for AgustaWestlandTechnical:Core Skills: 12 years C++/C, Boost and STL, Object-Orientated Design and Concurrent Programming, OpenMP, Python, R.Secondary Skills: C#, VBA, Excel, XML,WPF, MFC, OpenSG (OpenGL scenegraph system), Qt, PL/SQL.Development Tools: Visual Studio 2012/2010/2008/2005/2003/6.0, XCode, TFS, Eventum (Bug Tracking), CVS, Microsoft Application Verifier, XMLSpy, SVN, Pycharm, Xerses.Development Platforms: Windows XP/Vista/7 , Linux Summary:With 12 years of experience, I successfully developed functionality in commercial products in C++ using STL and BOOST. I worked on real-time systems based on robotic devices, optical devices and aircraft simulation including multi-threaded and multi-process architectures where principally the data flow is over TCP/IP or UDP socket. I took part in various projects with the role of bug fixer and system integration specialist. I have worked for top financial firms as a Quantitative Developer developing algorithms in C++ based on VBA or Excel prototypes. Employment Summary:June 2021 – Dec 2021 Day Trader in CryptocurrencyI followed the cryptocurrency market to understand new technologies and also to learn the best trading technique specifics on this type of market.Feb 2020 – June 2021 Algorithmic Trading PlatformI developed a trading platform in Python with backtrader as the main trading library. The platform is composed of various parts all modular with Docker. A task manager with Airflow to automate and monitor the various trading operation like downloading all the data required for the backtesting or starting the trading session.Minio as a storage platform of the filesMlflow for the training of the machine learning modelsPostgres to record all the transactionSuperset to visualize the performance of the various algorithmsI realized various strategies some based just on technical indicators and others based on technical indicators and various machine learning techniques. May 2018 – Dec 2019 BNP ParibasMy role in this company is in the IT department as a Software Engineer. The goal of my team group is to maintain and develop new functionalities for the trader application Focus which allows to buy and sell CDS products in the market. I lead the development of new functionality for the traders which allow showing the PV in real-time of the trade. The main languages used during the development were in C++ and C#.June 2013-Apr 2018: Fitch Ratings My role in this company is in the IT department as a Quantitative Developer. The goal of my team group is to maintain and develop software for the RMBS department and provide fast computation results for analysts and investors.I used as developer principally C++ language for the algorithms and sometimes also VBA to solve some issues related to the prototype.The calculations relative to the stratification results were made by editing an XML file with XMLSpy. Project ResiInvestorResiInvestor is a platform able to provide to the investor the evaluations of pools of loans through a web service. Software architect and developer for a Cash Flow ModelI developed a software able to parse through the Xcerses library an XML as input file and generate as output a CSV file containing all the curves. The algorithm was developed starting from an excel prototype provided by the analysts. I created a software architecture based on a command pattern for easy maintenance of the algorithms.Software optimizationI optimized the use of the memory using tools such as MemPro for the tracking of the memory usage by the software and I modified the algorithm to split into multiple parts the computation of the input to avoid the memory overload. I solved also memory leaks related problems generated from the bad use of allocation of strings and objects.For the performance improvement, I also used the multithreading library OpenMP using critical sections and barriers. I developed a feature to decrease the time consumption of the load of the large assumptions using serialization and variant of the boost library. Shared MemoryI developed a shared memory as inter-process communication to exchange status messages between the web service and the mathematical core.WebService functionalityI developed new functionality using the ASP .NET in C#SQL Calculations modelCreated and developed the RMBS model in SQL based on back-calculation.Project RESIGlobalIt’s a tool that allows the analyst an evaluation of pools of loans through an excel UI.I maintained the algorithms in C++ of the country like Spain, France, Netherlands, Germany, Australia, the UK and the US using an Excel spreadsheet and VBA code as a prototype.Assumptions Writer and ReaderI developed a tool in Python able to read and convert data from an XML file to an EXCEL sheet and vice versa for publishing purposes.Designed and developed in C++ the new European consolidation model for RMBSDesigned and developed an automation tool in Python able to interact with the excel prototype and the C++ production model. This tool has two main features:Comparison between production model results and excel prototype: loan-level results and stratificationsComparison results between different versions of the production models for impact testingJune 2011-2013: TXT e-Solutions for AgustaWestland an Anglo-Italian multinational helicopter?design and manufacturing company. The company provides also training services for the pilot with a flight simulator for his helicopter. My role in this company was as technical leader, C++ architect, developer, software integration specialist and configuration manager.Project AW129 OTS SPIKE PTT Technical leader and Configuration ManagerAs a technical leader, I supported every member of the team during the development and the integration of the software components. I maintained the software configuration of the target simulator.CMMI Level 3 Certification as a Software Developer and Software IntegratorI was involved in the process of the certification, studying and also deploying to other people the knowledge acquired during the course.Project AW139 CAE FFS (Full Flight Simulator) Level D Software architect and developer for MFD and PFD simulation of Honeywell avionic displayI used the MVC design pattern to separate the logic part from the graphics view. I used the command design patterns to manage the interaction signal received from the other simulation models. The data exchange between the model data in C++ and the graphics in C# WPF is managed through the C# marshalling. I wrote a large section of this component in C++ using the STL library and some parts in C#. I monitored the C# and C++ software developers during the coding of the logical and graphical parts. I also worked with profiling tools such as the Microsoft Performance Analysis of Visual Studio 2010 and the Microsoft Application Verifier to optimize the performance and solve problems related to memory leaks. Software architect and developer for Gateway between CAE Framework and AW Simulation ModelsThe CAE Framework is based on HLA architecture as AW Framework. This gateway is based on a memory pool. The gateway permits to set and receive data values from the CAE Framework by mapping the memory address of every single variable on a data structure. The header file contains the data structures generated with an XML file containing the name of the structures and the labels to subscribe and publish. I used for this project TinyXML to parse the XML file. I used the multimedia timer to generate the signal that invokes the callback of the AWFramework that run the simulation. The communication latency between the CAE and AW Framework was measured using the QueryPerformanceCounter.System Integrator and developer for Euronav V re-host by EuroavionicsEuronav V is a digital map system for pilot navigation. The software integration consists of the Euronav V re-host application hosted in the MFC window and the AW Framework model. I developed a C++ DLL library that allows the communication through a shared memory of the data coming from the simulation to Euronav re-host and vice-versa. I have also used the boost-shared vector to manage the interaction of the user with the device.System Integrator and developer for Cargo Hook CameraI integrated into a WPF application, a user control based on DirectShow capable of streaming the video directly from a video capture card.System Integrator for Weather Radar IntegrationI developed a C++ decoding algorithm for the standard ARINC708 to show the data on the MFD and PFD display. The data is managed through a circular buffer. I created a template for the circular buffer to reuse this functionality. The algorithm consists of a shift of bits to separate the different fields of the ARINC streaming.Avionic Simulation Software Engineer for IPS (Icing Prevention System)My role in this project was to create the IPS simulation model for the AW139 FFS. The model was developed in C++ according to the requirements of the simulator and the AgustaWestland device document.Sept 2010-April 2011 Project CubeI developed software for the moulding industry. I was responsible for the design and the integration of software libraries. As a C++ developer, I used the STL library as well as other third-party libraries (OpenSG, Qt).I developed the software in the Windows environment with Visual Studio 2005. I integrated into the Qt GUI the OpenSG passive visualization windows. The design algorithm of the 3d-mathematical-core was the porting of a Matlab algorithm to C++ language.Sept 2008-Sept 2010: Politecnico di Milano at Kaemart Research Group publications in a well-known international conference“Collaborative Mixed-Reality Platform for the Design Assessment of Cars Interior” Giandomenico Caruso, Samuele Polistina, Monica Bordegoni, Marcello Aliverti, HCI International 2011 9-14 July 2011 Orlando, FL, USA“The Role of Haptic Interfaces in the Validation of Mechanical Systems Assembly” Monica Bordegoni, Umberto Cugini, Paolo Belluco, Marcello Aliverti, HCI International 2009 19-24 July 2009 San Diego, CA, USA Project: PROGIMM leader and Fellow ResearcherI developed a distributed platform for the development and validation of products prototypes in the automotive environment using an innovative technology based on multi-sensorial interaction, virtual prototyping and parallel computation. I was responsible for the design and the integration of the software infrastructure. I developed several functionalities covering all the areas of the product. The development was in a Windows environment with Visual Studio 2005. I lead C++ developers during the coding of the robotic arm and the haptic module.As a C++ developer I worked intensively with the STL library as well as other third-party libraries: OpenSG, ViconIQ (Vicon) and ThinkCore (Think3).I designed the data message interaction between different modules and produced UML documentation.I integrated a library of real-time devices: ViconIQ (optical tracking), HapticMaster (robot arms) and also OpenSG visualization library in the system.I solved synchronization problems between visualization threads using the barrier.I implemented some CAD functionality using a cad mathematical-core (Think3) based on Microsft COM. I solved problems of latency between the cad-core and the haptic arm using system library tools.Virtools Experience:I developed Virtools applications to validate a mechanical systems assembly through the HaptionVirtuose 6DOF.I integrated some devices for the VirtoolsVR software: PowerWall, HaptionVirtuose6DOF, ARTTrackI configured the virtual reality devices through VRPN.I developed in C++ a Virtools plugin for the haptic handle using the Virtools SDK in Windows Environment using Visual Studio 2005.Project: PUODARSI developed a haptic application for the PUODARSI project. The software application provides the designer with a set of tools able to sculpt a virtual object.The development was under the Windows environment using Visual Studio 2003. This software application was realized in C/C++ using the Windows programming Environment and H3D libraries.The device Phantom and the SpaceMouse functionality are configured with the H3D libraries. The application includes a file converter from X3D format to STL format implemented entirely in C++ using the std library to parse the file and produce a new one. Project SATIN designed and developed a virtual reality device for the European community.The development was under the Windows environment using Visual Studio 2003 entirely in C++. I integrated the library OpenSG and WiiYourself using multithread and shared resources managed with a mutex. Educations:CQF Certificate in Quantitative FinanceOptimized portfolio allocation developed in PythonFinal project: “Time series analysis and Backtesting “I developed a Python program able to estimate and analyze the relationship between two financial time series. I implemented the Vector Autoregression identifying the optimal lag and evaluating the stability condition.The Engle-Granger procedure was developed for cointegration testing among pairs and makes use of the ADF test developed by myself.The cointegration factor estimated in the Engle-Granger procedure was used for the portfolio allocation using a mean reversion strategy. The bands were calculated fitting the OU process.The program provides to the user a series of charts regarding the backtesting performance making use of the Python library Pyfolio.Università dell’Insubria????????????? ????????????? ????????????? ?? Computer Science Department????? ????????????? ????????????? ???????????? Studied complexity analysis and coding of the shortest paths program in C (Algorithms and Data Structures). Algorithms were designed using Red-Black trees for data storage and Dijkstra algorithms to find the shortest paths.Java development of a concurrent and distributed software to simulate a “Sushi Boat Restaurant” (Software Developing)C development of a Fat-Manager to interact with a file of a FAT image on Linux (Operating Systems). Use intensively POSIX systems calls.????????????? ????????????? ????????????? ?? Extra work projects and interestI approached the first time algorithmic trading during the CQF course and I had a great interest to learn about this field. I studied tutorials on the website Quantopian and from other websites and so I decided to build my algorithmic trading platform to learn more about how works trading starting from an open-source system algorithmic trading library in Python called pyalgotrade. I have integrated into my platform for live trades the broker Oanda understanding the problems related to the stream of market data and orders. I have added some functionality such as data visualization of the signals and the various components of the trading algorithm with Bokeh and I have connected Telegram (the messaging app) to the trading system to send warnings and also to allow the system to respond to some commands.Languages English: fluentSpanish: fluentItalian: native ................
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