Senior Citadel quant and ex-algo trading MD resurfaces in crypto

We may be in the midst of a crypto winter, but there are signs of activity in the frozen north. Not only has Barclays just taken a stake in crypto custodian Copper, but people are still moving from traditional finance to the crypto sector. Just don’t call it crypto.

“We are targeting institutional clients and so we refer to digital assets,” says Katia Babbar, co-founder of Immersive Finance, a new derivatives platform for the crypto industry. “We are building a risk management system for digital assets and decentralized finance.”

Babbar has a lot of experience with the nomenclature of traditional finance: she was previously managing director and head of electronic foreign exchange trading at Lloyds Bank in London. Her co-founder William McGhee also comes with a traditional finance pedigree: he was later a senior quantitative researcher at Citadel Europe, after a stint as global head of quantitative analysis and global head of machine learning for electronic trading at NatWest Markets. “We have built both derivatives models and derivatives risk management systems and have spent our careers working with traders to find value,” says McGhee.

Immersive Finance has been over six months in the making, and Babbar says the latest trials in the crypto market make it more rather than less relevant. “Before the crash, the spreads were good, and it was less necessary to be careful with risk management. Now we are in a different scenario where it is important to look at risk.” The founders of failed crypto hedge fund 3 Arrows Capital would undoubtedly agree: “Risk departments were very relaxed, much like the kind of risks we were taking, they told Bloomberg last week.

Babbar and McGhee have already built a series of risk models for digital asset derivatives trading. “It’s not lift and shift – you can’t take models that work in currency and move them over to crypto,” says McGhee. The intent is to allow clients to trade crypto derivatives without the huge investment in risk infrastructure typically associated with derivatives books. .

McGhee has written articles on the use of artificial intelligence to generate risk models, and machine learning has been integrated into Immersive Finance’s products. Because digital assets are still in their infancy, it has been necessary to generate synthetic data sets to run the models on. AI has also been used to make the models faster.

So far, McGhee and Babbar have five people in their core team. More hires are likely: “We want to grow in London and New York,” says Babbar.

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