MIGUEL ANGEL MANRIQUE R.

Company overview:

Credicorp Capital is the private capital asset manager of Credicorp Financial Group (NYSE: BAP), with operations across the Andean region and Miami. As part of the proprietary trading desk team, I led the development of:

• Designed and developed of a CPU and memory performance-based arbitrage algorithm to provide liquidity in the Chilean and Peruvian market for U.S. stocks, using the .Net framework, through Fidessa API and FIX protocol.
• Conducted technical and quantitative trading in U.S. equity Markets.
• Served as market making Back-Up for the Chilean equity market.
• Developed a multi market algorithm to provided liquidity across the principal stock market of the Andean Region.

• Developed and maintained documentation for quantitative models, process, and algorithms, facilitating transparency and regulatory compliance for internal and external purposes.
• Proposed a statistical framework for a pair trading strategy, incorporating high-dimensionality reduction techniques to identify optimal pairs within indices such as IPSA and NDX.
• Designed and implement a structured backtesting framework to evaluate current investment strategies, incorporating company-specific constrains such as FX hedging, maximum allowable cash usage, and other operational limits.
• Improved analysis and execution by developing a quantitative toolkit integrating OMS APIs such as Fidessa and Bloomberg EMSX; enhanced large-scale intraday analysis by BQuant and Blpapi, and automate drop copy processes with SQL based solutions.
• Facilitated portfolio performance review and implemented strategies for internal and external clients.
• Provided ongoing client support as part of our Market Making business through regular meetings with key CFOs and detailed report on bid-ask spread dynamics and market share performance

• Conducted research support by implementing an inflation real-time forecasting methodology in R.
• Applied machine learning models including clustering, Random Forest, and SVM for dimensionality reduction, alongside Principal Component Analysis (PCA) and Dynamic Factor Models.
• Estimated multiple forecasting models such as ARIMA, VAR, MLM, CSR, LASSO, and Adaptive LASSO (ADLASSO).
• Designed and implemented a custom data extraction algorithm using Python and JavaScript to feed input time series into forecasting models.