Patrick Aschermayr

Patrick Aschermayr

Quantitative Researcher at Brevan Howard

Hi there! I am currently employed as a Quantitative Researcher at Brevan Howard. Prior to joining Brevan Howard, I successfully completed my PhD in Statistics at the London School of Economics. During my doctoral journey, I was advised by Kostas Kalogeropoulos and Pauline Barrieu.

My PhD studies primarily focused on the application of Sequential Bayesian Learning for State Space Models. This involved developing methodologies to estimate model parameters in both batch and time series settings, with a particular emphasis on latent variable models.

In addition to my academic pursuits, I have actively contributed to the open source community. You can find some of my notable contributions here. Furthermore, if you would like to review my detailed qualifications and professional experiences, you can download a copy of my CV here.

Experience

 
 
 
 
 
Quantitative Researcher
July 2023 – Present Geneva, Switzerland
 
 
 
 
 
Portfolio Manager & Analyst
September 2016 – June 2018 Zurich, Switzerland
 
 
 
 
 
Intern
Deutsche Bank
April 2016 – June 2016 Frankfurt, Germany
 
 
 
 
 
Intern
Deutsche Asset Management
October 2015 – March 2016 Frankfurt, Germany

Education

 
 
 
 
 
London School of Economics and Political Science
PhD in Statistics
September 2018 – April 2023 London, UK
 
 
 
 
 
ETH Zurich, University of Zurich
MSc in Quantitative Finance
September 2016 – June 2018 Zurich, Switzerland
 
 
 
 
 
Vienna University of Economics and Business
BSc in Economics and Business
September 2012 – June 2015 Vienna, Austria

Skills

Statistical Machine Learning

Bayesian Statistics, Parameter Estimation, Prediction

Algorithms

Markov Chain Monte Carlo, Sequential Monte Carlo, Variational Inference/Optimization

Models

Latent Variable Models, State Space Models, Epidemic Models, Copula

Computing

Julia, R, Python

Deployment

Linux, Distributed Computing, Version Control

Soft Skills

Critical Thinking, Adaptability, Problem Solving

Communication

Oral (Teaching, Seminars, Conferences), Written (Papers, Editing, Blogging), Project Management (PhD Thesis), Teamwork (Collaborations)

Projects

*
State Space Models Everywhere
Blog series introducing HMMs and HSMMs

Open Source

*
Baytes.jl
Framework for Sequential Bayesian Inference
ModelWrappers.jl
Framework to represent parameters as (nested) tuples or vectors

Contact