Investment Data Scientist/Developer Resume

TECHNICAL SKILLS

Quantitative Skills: Numerical pricing techniques, multi - tier trees, matrices, iterative methods, R/S analysis, Continuous and finite stochastic simulations, Ampl optimizers, and various time series

Financial Knowledge: Derivatives pricing, bond pricing, portfolio optimization techniques, and various trading strategies

Computer Skills: Html, Java, R, VBA, SQL, Python (pandas, numpy, scipy), VB.NET, MS SQL Server Matlab, C, Visual C++, Ampl (CPLEX, LP Solvers), SAS, Perl, Scheme, JavaScript, Oracle, MS Access, Sybase, Unix, and Kornshell

PROFESSIONAL EXPERIENCE

Confidential

Investment Data Scientist/Developer

Responsibilities:

Analyzed quantitative investment strategies of small-caps using leveraged ratios and value ratios. We compared scenarios with different ratios and price effects (adjusting/ignoring), using logit regression models.
Designed, built, maintained and expanded the hedge-fund database for fundamental research data, investor/accounting data, and market price data in SQL Server using 3NF standards
Developed a platform for upstream data sourcing and transformation (using C#, stored procedures), and the integration into downstream data from 3rd party API’s (Bloomberg, BackStop, Enfusion), and the development of processing analytics on the accuracy of data processing
Lead data sourcing projects in collaboration with portfolio managers and researchers, to quantify the impact value of new data on research and models
Redeveloped legacy code into smaller modules that are easier to update for junior developers and easy to monitor for the analytics teams, the emphasis on a flexible platform that allows for quick updates and experimentation, while maintaing legacy processes
Build in C# and R, a stock screener for domestic and international stocks using fundamental ratios (ROIC, Earnings Yield, Current Ratios, etc.)
Developed an R program to calculate cost of capital, for stocks in all the major indices
Worked on implied volatility program in C# and R, using non-normal distributions
Built a C# program that connected to a 3rd party API to source fundamental loan data, and combine it with in house propietary data to run monte-carlo simulations in the hedge-fund’s propietary simulator
Devloped a daily exposure and performance system using SQL Server and MS Reporting services for a multi-strategy hedge fund
Design and developed an alpha generation tool in Java, that utilized Earning Power Value and price volatility, to generate and backtest trading ideas

Confidential

Quantitative Analyst

Responsibilities:

Purchaser Price Parity modeling, testing for reversion trends, auto-correlation
Emerging market Early Warning System, constant monitoring of macroeconomic variables to ensure no outlier events are taking shape
Time-series analysis, stationary/non-stationary, distribution analysis
Short-term momentum strategies/long-term carry strategies
FX linked commodity valuations based on short-term volatility

Confidential

Quantitative Desk Analyst

Responsibilities:

Developing basic models and simulations for pricing different HY bond strategies and CDO’s
CMBS DSCR analysis
CDO OC/IC ratio analysis, coverage test analysis (geography, property type, etc)
Collateral analysis (technical & fundamental), includes traditional bonds, airplanes, shipping containers, medical technology, etc.
CDO and ABS cash-flow forecasts based on historical and quantitative analysis
Track and measure industry standards and trends in regard to structuring, collateral, and spreads
Extensive use of Intex (desktop & web)

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