Robert Taylor

Portfolio

• Cloak

  A zero-telemetry Privacy LLM API for sensitive applications (WIP)

  Visit Website

  Stack: Python (FastAPI), HTML, Vanilla JS, Postgres, Runpod, Podman, Debian, Full privacy stack with hardened encryption.

• Research

  Evaluating Credit VIX (CDS IV) Prediction Methods with Incremental Batch Learning

  (SSRN Preprint; Pending Submission to IEEE)

  My recent work presents a custom Attention-GRU Hybrid ANN which outperforms benchmarks and SV models in predicting the Credit VIX (CDS Implied Volatility levels). Tested on a highly volatile out-of-sample period in 2024, the research embraces incremental batch learning, contributing to improved financial risk model validation methods.

• Projects / Global Data Plc

  › Creation of a comprehensive pipeline of daily parametric market event triggers for financial securities; including momentum, IV, RV, drawdowns, mean reversion indicators, and more, and using conversation embeddings to map and align client interactions with financial securities and other content for targeted outreach to Investment Managers.

  › Development of a set of microdata indices to track Economic Activity in China, including high-frequency energy, real estate, carbon, and consumption data, together with a suite of sentiment indicators using NLP from Chinese-language publications.

  Stack: Python (SKLearn, NumPy, Polars, Pandas, PyTorch, Statsmodels, Trafilatura, BeautifulSoup), Snowflake, Salesforce, CEIC

• Projects / ARC Research Ltd

  › Modelling market risk of the underlying securities for a with-profits, unit-linked fund on a semiannual basis. I assisted in the development and implementation of proprietary techniques to accurately measure ex-post returns and mark-to-market risk. This included bespoke relative performance reports, comparing the fund's performance against selected benchmarks and peer groups. These reports featured detailed performance attribution and visualisations of the fund's relative sperformance despite its otherwise smoothed with-profits nature.

  › Conducted fee report analysis, examining the fee dispersion (including total TER breakdowns) of UK-based PWM/DFM Investment Managers across different risk mandates. This analysis provided managers with critical information about their costs in the context of hundreds of other managers, ensuring compliance and competitiveness in light of the UK's consumer duty regulation.

  › Used LOOCV-based factor analysis to identify features for a closed MVO-style private tracker fund. Additionally, I was responsible for the daily rebalancing and validation of the portfolio, ensuring optimal performance and alignment with the strategic objectives of beneficiaries.

  › Contributed to the quantitative work of a FT-featured commentary that highlighted how wealth managers could selectively present performance data to appear in the top quartile. Our detailed report examined over 200k GBP-denominated private client portfolios, revealing the significant impact of meticulous reporting period use and benchmark selection to enhance perceived performance.

  Stack: Mathematica