Javier Sabio González

Javier Sabio González (Madrid, 1982) has focused his professional career on the application of innovative mathematical and computational techniques to spur growth and efficiency in the financial trading business: from the pricing and risk management of derivatives, to the development of algorithmic trading strategies and the application of machine learning techniques to financial datasets.

He graduated in Theoretical Physics from Universidad Autonoma de Madrid, and holds a PhD in Theoretical Condensed Matter Physics  from Universidad Complutense de Madrid. In his PhD thesis he researched about the electronic properties of graphene, a novel two-dimensional material, and the dynamics of low-dimensional quantum systems.

Javier Sabio joined BBVA in 2010 as a Quantitative Analyst in C&IB Global Markets in the area of credit derivatives. In this role, he developed pricing and risk management mathematical models for credit derivatives like exotic Credit Linked Notes and Collateralized Debt Obligations. He became head of the team in 2013.

In 2014, he joined Citibank as a Vice-president in Credit Flow within the Market Quantitative Analysis division in London. In this role, he developed analytics for pricing and risk management of flow credit products like credit default swaps, bonds, credit indices and options in credit indices. He also applied statistical and machine learning models to analyze market data, infer prices in illiquid markets and construct market indicators. During this period, he developed a keen interest in Algorithmic Trading and, particularly, in the foundations of Algorithmic Market Making.

In 2017, he rejoined BBVA C&IB Global Markets as Head of the newly created Advanced Analytics & Algorithmic Trading team, which is responsible for developing scientific, data-driven, solutions for trading and sales teams in Global Markets, covering the Equity, Fixed Income and FX asset classes. The team designs and implements trading algorithms for execution and market-making, and machine learning models to be used by traders, sales and trading algorithms in decision-making.

Javier Sabio also has a strong interest in research and education regarding Algorithmic Trading and Machine Learning in the financial markets. He lectures on Algorithmic Trading at IE University and Universidad de Alcalá, and currently is a PhD supervisor of two academic theses that further dive into the mathematical and statistical foundations of Algorithmic Market-Making.

CORPORATE EXPERIENCE

• Executive Director – Head of Advanced Analytics & Algorithmic Trading (BBVA C&IB Global Markets), 2016 – Present

• Vice-president – Credit Quantitative Analyst (Citi), 2014 – 2016

• Associate – Quantitative Analyst Credit & IR Hybrids (BBVA C&IB Global Markets), 2010 – 2014

 ACADEMIC EXPERIENCE

• Adjunct Professor of Algorithmic Trading at IE University (Master in Business Analytics & Big Data), 2022 – Present

• Lecturer on Algorithmic Trading at Universidad de Alcalá (Master in Financial Engineering and Fintech), 2022 – Present

• Adjunct Professor of Algorithmic Trading at IE University (Tech MBA), 2021 – Present

• Lecturer on Algorithmic Trading at Universidad de Alcalá (Master in Finance), 2018 – 2019

ACADEMIC BACKGROUND

• Degree in Economics (UNED), 2017

• PhD in Theoretical Condensed Matter Physics (Universidad Complutense de Madrid), 2010

• DEA in Condensed Matter Physics (Universidad Autonóma de Madrid), 2007

• Degree in Physics (Universidad Autónoma de Madrid), 2005

Coauthored of seven academical papers, currently codirecting two doctoral theses.