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Dr Ekaterina Abramova

eabramova@london.edu www.abramova.ml

I specialise in the Reinforcement Learning branch of Machine Learning, with a particular focus on solving
nonlinear optimal control problems with unknown dynamics and continuous state and action spaces. My
interests are in Deep Learning, Algorithmic Trading, Statistics and the application of Machine Learning
and Econometric techniques to financial data analysis and forecasting.

EDUCATION
Imperial College London, Dept. of Computing 2010 - 2016
PhD in Artificial Intelligence and Machine Learning
Birkbeck, University of London, Dept. of Economics, Mathematics and Statistics 2009 - 2010
MSc in Financial Engineering, Distinction
Modules: Applied Statistics and Econometrics, Mathematical Methods for Financial Engineering, Risk
Management and Pricing.
Birkbeck, University of London, Dept. of Economics, Mathematics and Statistics 2008 - 2009
Graduate Diploma in Financial Engineering, Distinction
Modules: Mathematical Finance, Quantitative Techniques, Econometrics, Computational Techniques,
Financial Markets, Introduction to Programming in C++.
Loughborough University, Dept. of Chemistry 2001 - 2004
BSc in Chemistry with Forensic Analysis, 1st Class Honours
Modules: Analytical, Organic, Inorganic and Physical Chemistry.

RESEARCH EXPERIENCE
London Business School 2017 - 2019
Postdoctoral Researcher (Visiting), Econometrics. Principle Investigator: Prof Derek Bunn
”Estimating Dynamic Conditional Spread Densities to Optimise Daily Storage Trading of Electricity”.
Research on modelling and forecasting electricity price spreads between different hours of the day,
formulated with dynamic density functions based upon skewed-t and similar representations. The four
latent moments of the density functions are dynamic and conditional upon exogenous drivers, thereby
permitting the mean, variance, skewness and kurtosis to respond hourly to factors such as weather and
demand forecasts. From these spread densities, the optimal daily operation of a battery storage facility
is determined, while taking into account the risk associated with the spread arbitrages.
Funding: London Business School Research Grant.
Imperial College London 2010 - 2016
Postgraduate Researcher, Machine Learning. Principle Investigator: Dr Aldo Faisal
PhD Thesis: Combining Reinforcement Learning and Optimal Control for the Control of Nonlinear
Dynamical Systems.
Developed a novel hierarchical algorithm comprised of a high-level reinforcement learning agent and
continuous low-level optimal controllers. The agent has no a priori knowledge of the system’s dynamics
and learns to control nonlinear dynamical systems from experience. A single cost function provides a
closed loop feedback system in which the reinforcement learner utilises linear quadratic regulator costs.
Funding: EPSRC Scholarship.
Birkbeck, University of London 2009 - 2010
Graduate Researcher. Supervisor: Dr Steve Miller
MSc Dissertation: Financial Markets Forecasting using Neural Networks in C++.
Programmed a multilayer feedforward neural network from first principles, back-tested on the standard
non-linearly separable XOR problem, and applied the network to forecasting financial time series data.
TEACHING EXPERIENCE
Adjunct Assistant Professor Start: Aug 2019
London Business School, Department of Finance
Adjunct faculty teaching position involving development and delivery of lectures on topics of Machine
Learning, Programming and Statistics across several School departments. Responsible for designing all
of the content delivered during lectures, programming lab work, group and individual assignments.
Skills Practitioner, Applied Python Programming 2018 - Present
London Business School
Successfully developed, deployed and delivered a number of courses across MSc and MBA programmes,
with consistent evaluation rating of 4.5/5.
Graduate Teaching Assistant 2010 - 2018
London Business School
Assisted students with theoretical and programming questions during workshops on: Time Series An-
alytics & Forecasting, Data Analytics for Finance, Data & Time Series Analytics (EViews and Excel).
Imperial College London
Prepared practical (lab) Machine Learning assignments, designed grading schemes, graded assessments,
and was in charge of a team of TAs to provide in-class / lab theory and coding assistance to students.
Imperial College Business School
Data Structures and Algorithms (Python), Statistics and Econometrics (R), Database Technologies
(SQL), Advanced Analytics and Machine Learning (Matlab), Computational Finance (C++).
Imperial College, Dept. of Bioengineering; Dept. of Computing
Machine Learning and Neurocomputation, Brain Machine Interfaces, Modelling in Biology (Matlab).

SUPERVISION EXPERIENCE
PhD Supervision
Volatility Forecasting of Stock Market Returns 2018
MSc Supervision
Momentum Strategy for Investing and Portfolio Allocation 2019
Multilayer and Recurrent Neural Networks with Multiplicative Synapses 2018
Continuous Reinforcement Learning for American Option Pricing 2016
Continuous Reinforcement Learning for Efficient Anaesthesia Control 2015
Reinforcement Learning for Artificial Muscle Limbs 2014

AWARDS

PhD Awards Cognitive Robotics Conference: Best Presentation Award 2014


Google: PhD Poster Competition Award 2014
Imperial College Graduate Research Symposium, Highly Commended Poster 2014
Cosyne Conference: Qualcomm Travel Award ($500) 2013
BSc Awards Departmental Prize for Best Academic Performance 2003

DATA ANALYTICS SKILLS

Programming Languages Python, R, MATLAB, C++, SQL, EViews


Python Packages Numpy, Pandas, Scipy, Scikit-learn, Statsmodels, Matplotlib
Software & Tools LaTeX, Jupyter Notebook, Microsoft Office

CONFERENCES AND PUBLICATIONS


Invited Talks
Computing Department Seminar, Imperial College London 2013
Bioengineering Department Seminar, Imperial College London 2013
Publications
· Abramova, E., Bunn, D., 2019. Estimating Dynamic Conditional Spread Densities to Optimise Daily
Storage Trading of Electricity. [POM Special Issue / CEMA Conference]. arXiv:1903.06668 [stat.AP]
· Abramova, E., Dickens, L., Kuhn, D., Faisal, A., 2019. RLOC: Neurobiologically Inspired Hierar-
chical Reinforcement Learning Algorithm for Continuous Control of Nonlinear Dynamical Systems.
arXiv:1903:03064 [cs.LG]
· Abramova, E., 2016. (PhD Thesis) Combining Reinforcement Learning and Optimal Control for the
Control of Nonlinear Dynamical Systems
· Abramova, E., Dickens, L., Kuhn, D. and Faisal, A., 2012. Hierarchical, Heterogeneous Control of Non-
Linear Dynamical Systems using Reinforcement Learning. In European Workshop On Reinforcement
Learning, at (Vol. 951, p. 2012)
· Abramova, E., Faisal, A. and Kuhn, D., 2011. Combining Markov Decision Processes with Linear
Optimal Controllers. In ICCSW (pp. 3-9)

Oral Presentation
Commodity and Energy Markets Association Annual Conference, CEMA 2019
International Cognitive Robotics Workshop, COGROB 2014
Posters
International Cognitive Robotics Workshop, COGROB 2014
Computational and Systems Neuroscience Conference, COSYNE 2013
European Workshop on Reinforcement Learning, EWRL 2012
Champalimaud Neuroscience Symposium, CNS 2012

WORK EXPERIENCE
NYSE Euronext LIFFE, London, Market Services Analyst 2007 - 2010
Responsible for interest rate, equity, and commodity futures and options contracts traded via the
exchange, which included Index Options: FTSE, AEX, Cac40; STIR Options: Euribor, Sterling, Mid-
curves, Gilt; and Commodity Futures: Corn, Wheat, Rapeseed. Daily duties included :
· Opening and closing of the financial markets, and managing dynamic price limits
· Establishing and publishing contract settlement prices
· Conducting front line market surveillance and referring suspicious activity
· Suspending trading, invalidating trades and broadcasting messages
· Resolving customer queries via telephone calls and emails

Marex Trading, London, Proprietary Financial Futures Trader 2005 - 2007


Executed proprietary intra-day, outright and spread-based positions in global bond, money market and
equity futures. Products traded intraday: Euribor, Eurodollar, Short Sterling, Bund, Bobl, Schatz,
10-Yr, Gilt, Eurostoxx50, Dax, DJI, S&P500 and FX. Based decisions on fundamental analysis, such as
economic data releases, monetary policy announcements, unexpected global events, and technical anal-
ysis such as trends, cycles, moving averages, and candlesticks chart analysis. Daily duties included :
· Event driven trading requiring fast decision-making and prolonged concentration
· Instantaneously reacting to Bloomberg, Reuters and Squawk market moving news
· Macroeconomic based daily research and technical analysis using CQG and Bloomberg
· Trade decision and execution using Trading Technologies electronic front
· Continuous assessment of risk exposure and adhering to allocated tolerance levels

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