COMPUTER SKILLS:

Ubuntu: Python, Starting on (Scala & Julia) Splus/R, Visual Basic, C Emacs, Intellij, sed, awk, Frame Maker Interchange Format (MIF)Excel, MS Office, SQL Server, Quick Books (API, XML), Sybase, MQA, Fame Bloomberg API, Reuter Link, Market Sheet, Reuters Terminal, Telerate, SSL3

BigData: Spark, (PySpark, MlLib & Graphix), Hadoop, Databricks, Tensor FlowHELD Series 7, 55 and 63

PROFESSIONAL EXPERIENCE:

Confidential, NYC

Sr. Data Scientist

Responsibilities:

• Repricing of Bank Transactions for Confidential
• Gathered requirements for the Model & applied Machine Learning & Visualization techniques in Python

Confidential

Subject Matter Expert

Responsibilities:

• Regulatory & Compliance Analysis of Registrants

Confidential, NYC

Sr. Data Scientist

Responsibilities:

• Analyzed unstructured log Data with Python, utilizing regex, Levenshtein, Quartz & Sandra (BoA internal system) to improve trade/settlement flow, & adhere to emerging regulatory standards
• Contributed to Muni trading & operation system migration from legacy to Python based Quartz system

Confidential

Business Developmt Head (Sr VP)

Responsibilities:

• Setup local Dynamic hedging Desk for Variable Annuity for Life Insurance Industry, which required a full trading & execution cycle for derivative & ETF products for Asset Liability Risk management
• Integral part of Structured Product based Variable Annuity (spVA) solutions - functional & Data requirement processing via Python for legacy databases
• Big Data project lead: worked with Hadoop & Python to feed the calculation of VA solutions
• Market Analysis projects in Spark, Scala, & Python for the immigrants' insurance product demand pattern
• Participated in Voice of Customer (VoC) analysis project as the lead developer for automated ETL
• Structured products sales & consultation for Asset Managers & Insurance Industry lead
• Made alliances and managed major consulting firms, vendors, and asset managers
• Successfully completed joint venture with the main competitor & potential VC funding

Confidential

Senior Manager

Responsibilities:

• Sales & implementation lead for newly initiating OTC derivative Central Counter Party (CCP), Alternative Investment, and Prime Brokerage adoption in Korea
• Engaged in one RFI & four RFPs, working with 14 consultants, and won a new project worth $2m USD
• Provided regulators with rules review for alternative investments
• Developed vertical alliances with vendors (for data & derivative systems) and developers for initiating local Prime Brokerage industry
• Managed seven consultants over four months working with Credit Suisse Asset Management

Confidential

Principal Consultant

Responsibilities:

• Consulted for Confidential, Life, and Asset Management on International expansion, Darkpool, Algorithmic Trading, Private Banking, Alternative Investment, Hedge Funds, FICC, & ETF
• Allianced and benchmarked cloud operators, GPU, fund admins, & multilateral trading facility (MTF)
• Engaged in SSI’s ‘Long Term IT Innovation’ task force
• Worked with Quant Team at SAM on Proprietary model & Industry rotation models for ETF

Confidential, NY

Quantitative Consultant

Responsibilities:

• Contributed to a Russell strategy that returned over 7% in a month
• Led development effort (seven developers) of client’s pre and post trade analytics for Confidential (Dresdener’s €11m algo project) with Impact Cost Analysis, implementation short fall, enhancement (via creating new metrics of performance off) VWAP, TWAP, sniper, etc....
• Acted as product specialist for an Algorithmic Trading EMS company (Aegis) to promote competitive advantage, product alignment, encapsulation of trading business rules and data feed logical structures.
• Acted as sales and product specialist for a Risk Management company for alternative investment industry
• Consulted with leading algorithmic trading operation to advise on improving algorithm development (VWAP, TWAP, volume participation), transaction cost analysis, implementation short fall, S&P index tracking, and portfolio optimization using Splus and Python.

Confidential

Head of Quant Analytics

Responsibilities:

• Wrote Russell rebalance strategy for client consumption
• Analyzed firm’s and clients’ proprietary trading strategies and models
• Developed Pre-trade and Post-trade analytics with Impact, Volatility, slippage, shortfall using Python & VB
• In charge of Blind-bidding and agency trading book with average AUM of $60m
• Implemented rule based decimalization trading and market making strategies based on quantitative long/short model by working closely with quant model developers and IT team members written in C++.
• Directed seven IT and three quants staff for program trading systems implementation and regulatory review
• Traded successful Russell rebalance strategy (33% in and 14% out return for long/short book)
• Evaluated and critiqued on risk and performance analysis of firm’s proprietary trading strategies (earnings, reversal, and pairs trading) and Decimalization effects by developing GUI based back testing and monitoring applications in C#.
• Conducted regulatory review on the firm’s principal, proprietary, and agency trading & monitored adherence
• Managed and developed algorithms for customer facilitated Guaranteed Market on Close trades with IT
• Published Research on Russell Rebalance to clients & facilitated guaranteed close & agency trades.
• Traded S&P growth & value index constituents additions & deletions
• Published reports on Russell Rebalance, ETF strategy, Market Microstructure changes as Market Change, Industry Sector relative value, etc…
• Developed automated optimization routines for Barra and historical correlations
• Committee member of Trading GUI and implementation of trading procedure of new Bear Box (Execution Management System)

Confidential, New York

Proprietary Program Trading Desk Quantitative Vice President

Responsibilities:

• Performed return contribution & risk analysis for factors like section, industry, shocks, earnings, volatility
• Developed multi-threaded GUI based trade monitoring application in VB with real-time data feeds from Reuters, position updates, graphical and tabular interactions.
• Implemented non-linear Impact Cost model and Opportunity Cost model for Risk Blind Bidding. Impact Cost model was built on tick by tick data downloaded from C-API to Bloomberg and matching it to executions done by traders, which calculated of actual Impact Cost using Splus & Python
• Formulated real-time Volume Weight Average Price (VWAP) and interval VWAP mechanism for usage in client trading (overseas) and DOT strategy execution (Dot system captures institutional clients flow into Merrill)
• Developed on real-time trading model based on bid/ask size & spread, past transaction/impact cost, historical patterns, industry/sector momentum.
• Developed automated VWAP execution strategy by looking at non-synchronous trading, curvature of volume, interval risk, impact cost, binomial price volatility, real-time monitoring using Splus and Python
• Developed dividend projection model for usage in EFP, Basis trade and index arbitrage: the model accounted for future increases, jumps, manual intervention, special dividend using Python
• Ran & compared simulated model vs. actual portfolios based on technical analysis, trading execution studies, earnings studies, industry/sector rotation performance
• Managed two quants and several IT staff on distribution of client pre and post trade analytics application written in VB, which included heat maps, RT updated graphs, user interactive tables, which was distributed to 30+ client sites.

Confidential, New York

Derivative and Equity Portfolio Analysis Quantitative Analyst

Responsibilities:

• A stock selection System based on 400 different Style, Technical, Options, Earnings, Value, Growth, Risk, Insider, Institutional, and Industry indicators screened for trading candidate identification.
• Used to identify technical momentum added option writing/buying strategies for trading desk. Alerted changes in earnings and value effect strategies for institutional investors on daily basis, for example. Portwatch was used by nearly 300 clients.
• Used by institutional investors to check to their own portfolio against prospectus benchmarks defined in prospectus for deviations via t-test, Wilcox.test, Cook’s distance. HOLMES was used by quantitative sales people to pinpoint risk in client portfolio and also to select optimal Index replication portfolio, focus sales strategy
• Familiar with International Accounting Standard and GAAP adjustments, since definition of earnings differ significantly due to the different accounting standard around the world.
• Oversaw production of Daily Index Derivative Reports: Reports contained daily Implied rate, Mispricing, Fair Value of Index Futures, & Implied Volatility of Options on major international financial markets
• Wrote and maintained Index Futures and Option Pricing model.
• Constructed Black Scholes and Binomial Model with American exercise and discrete dividends to calculate implied volatility and spread trading strategy with cost/benefit analysis
• Programmed sanity checks, ensured data integrity, and wrote conversion C to postscript for publishing
• Contributed to monthly publication