Philipp Schiele

Citadel. Stanford. LMU Munich. CVXPY.
Welcome to my website! I am a quantitative developer at Citadel, where I work at the intersection of finance, optimization, and technology. Before joining Citadel, I was a post doc at Prof. Stephen Boyd’s lab at Stanford University, where I worked on software for convex optimization, with a focus on financial applications. Before coming to Stanford, I was a PhD student at the Chair of Statistics and Econometrics at LMU Munich, supervised by Prof. Stefan Mittnik. My research focuses on portfolio optimization and financial econometrics more broadly, including time series analysis, machine learning, and risk modeling. Closely related, I am a passionate contributor and maintainer of CVXPY, an open-source Python package for convex optimization. Previously, I led the quant team at Scalable Capital, where I worked on the portfolio optimization engine, as well as other machine learning and engineering topics. As you might have guessed by now, I am enthusiastic about finance, optimization, and technology.