Marie-Louise Ferguson

Research & Data Analyst

About Me

Hello! I am a Research and Data Analyst with over 3 years of experience working in Capital Markets in Fintech and Market Regulation. I am currently at the Ontario Securities Comission in the derivatives branch, where I work as a Research & Data Analyst. Previously to this, I was a Consultant Data Scientist at First Derivatives, where I was stationed at Numerix and the Canadian Securities Administrators.

I hold a Bachelors degree with a Statistics Specialist and Math Major from the University of Toronto & I am currently working towards my Masters in Financial Engineering.

Thanks for stopping by!

Latest Projects

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Fama French Factor Modelling of QQQ Excess Returns

A project on modelling QQQ's excess returns using Fama & French's 3 and 5 factor models and robust/non-robust regression.

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PCA of the Canadian Yield Curve

A project on analyzing the Canadian Yield Curve through Principal Component Analysis.

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Interest Rate Models - Vasicek vs CIR

A project on modelling short term interest rates using the Vasicek (1977) and Cox-Ingersoll-Ross (1985) risk-neutral Interest Rate Models, using Monte Carlo simulations.

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US Treasury Bonds Exploratory Data Analysis

An exploratory elementary data analysis of US Treasury bond data from various sources.

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Work Experience

Research & Data Analyst - Ontario Securities Comission (OSC) (Nov 2024 - Present)

  • Research & Data Analyst within the Derivatives Division - Trading & Markets
  • Conduct OTC derivatives research and data analysis of the Canadian market across asset classes
  • Develop python scripts to download/aggregate transaction data from data vendors such as Refinitiv, ICE, CME & DTCC
  • Create Tableau and PowerBI Dashboards to summarize large raw datasets, to show market trends and statistics
  • Create Tableau Server automations and alerts to ensure daily database processes and file loads run smoothly
  • Participate in UAT testing using SQL for transaction/position database development
  • Maintain and investigate derivatives database accuracy of transaction data reported from market participants
  • Conduct data & valuation reporting audits of market participants to verify accuracy of reported derivatives transactions under the OSC Trade Reporting Rule
  • Support Ontario's OTC Derivatives policy development through data analysis of the market
  • MAssist in data sharing agreements and responding to surveys from central banks and international organizations

Data Scientist- FD Technologies (Jun 2021 - Jun 2023)

  • Capital Markets Consultant in Data Science & Analytics
  • Spent time stationed at Numerix and the Canadian Securities Administrators (CSA)
  • Completed internal training in Python, AWS, UNIX, Software Testing, SDLC, Excel, Market Data & Financial Mathematics

Market Data Analyst - Numerix (Sep 2021 - Feb 2023)

  • Market Data Analyst within the Numerix Data Management (NxDM) Team
  • Design, define & implement automations to improve daily market data delivery to the Risk team, reducing SLA’s by 5 hours for The Jefferies Group and Bank of Singapore.
  • Ensure completeness of daily BAU data deliveries and resolve data integrity issues on a timely basis
  • Manage release of NxDM updates in pre-prod/prod with coordination from development
  • Leverage cross functional relationships with external data vendors, such as Refinitiv, ICE & OptionMetrics, ensuring data quality and availability
  • Leverage cross functional relationships with external data vendors, such as Refinitiv, ICE & OptionMetrics, ensuring data quality and availability
  • Create and maintain core documentation in Confluence on data requirements, proxy rules and calculation methods
  • Maintain Database accuracy and mapping tables for tickers

Software Quality Assurance Tester - Canadian Securities Administrators (CSA) (Jul 2021 - Sep 2021)

  • Performed software testing for the actor fraud detection dashboard project.
  • Smoke test dashboards after software updates to find bugs
  • Communicate issues with dashboards to developers for the next generation in SDLC.

Teaching Assistant - University of Toronto (May 2019 - Dec 2020)

  • Taught lectures of 50+ students focused on advanced Statistical methods in 5 higher level courses. Grade assignments, exams and invigilate through course duration.
  • Courses: STA256 (Probability I), STA260 (Probability II), STA348 (Stochastic Processes), STA215 (Intro to Applied Statistics) & STA258 (Statistics & Applied Probability)