David Fussell

David is an experienced data scientist who has taken a range of systems to production, is driven to stay at the forefront of research, and keen to bring machine learning to new applications.

Prior to joining Daisee, David was a Research Scientist at ClearAlts where he: developed a transparent and robust global macro index exploiting factor-based asset-timing; discovered state-reversion, the predictable alternation between trend and mean-reversion; developed delta carry, the short-term prediction of returns by fluctuations in the futures slope.

David was also a Research Scientist at Boronia Capital where he: developed a high-frequency multi-variate orderbook system with an integrated market-impact model (regression); invented a range-based variance-ratio filter that returned to profitability the core volatility strategy (bootstrapping); created a short-term mean-reversion system from the ground-up to complement the core strategy; developed a sector-based trend-following system to complement the existing trend-following systems; and also worked on execution algorithms (Q-learning), pairs-trading/stat-arb strategies (principal component analysis) and risk premia strategies (factor analysis).

David has a Doctor of Philosophy from the University of Sydney in the field of Theoretical Physics.