Quant Researcher @QRT
Previously Double Degree Master student at Ensae Paris and MVA (ENS Paris-Saclay). Interested in Machine Learning, Deep Learning, Swarm intelligence.
I open source some of my projects here.
Currently working on :
- Quantools : [Financial Engineering | Visualization | High Performance Python] A tool-box for quants (ML-oriented)
- DDQL : [RL | Optimal Execution | Trading] Implementation of a paper.
Contact : lucas[dot]saban[at]ensae[dot]fr
- 1st place at 2022 Ostrum Asset Management Finance Game. Deep Recurrent Reinforcement Learning for Dynamic Portfolio Optimization.
- 1st place at the 2022 Hi Paris Hackacthon delivered by Capgemini. Segmentation and classification computer vision tasks.
- 1st place at the 2022 ENSAE's Hackathon by Eleven Strategy and Data For Good. We used computer vision, NLP and audio segmentation to evaluate Bechdel scores.
- 2nd place at the 2021 ENSAE's Hackathon by Capgemini
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Leveraging latent representations for efficient textual OOD detection. Paper, Repo (Not published)
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Large scale joint Hyperparameters and feature selection using Multi-objective heuristic optimization Report, Presentation and Repo
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Implementation of Fast Shapelet discoveries for time series classification Orignal Paper, Report and Repo
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Implementation of Double Deep Q-Learning for Optimal Trading Execution Orignal Paper, Report and Repo
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Spatio-temporel spectral clustering algorithm based on HDBSCAN for dynamic event recognition. Source is private but happy to talk about it.
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A full-stack Image Classification project using Tensorflow, Transfer-learning and CNN's. An iOS app, that I coded in swift, is the front-end part of the project. It was realized with Augustin Cramer
- A scikit-learn plugin for binary Classification tasks, delivered as a pypi package. The source is available here.
- An Ant-Search Simulation with GUI using C++ and SFML
The ants adapt to the change in their environnement. They quickly find a new path following the pheromones tracks.
- A data Visualization project using Geopandas : Gravity Law Model Applied to inter-cities traffic
