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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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