Profile

Nine years of hands-on experience in data-warehousing and analyzing financial data products which include equities and derivatives reference data, market and pricing data, and fundamental research data from major exchanges and data vendors such as Thomson Reuters, Compustat, IBES, CRSP, FactSet, Bloomberg, SunGard, NYSE, NASDAQ, CME, CBOE, ISE etc.

Expertise in programming PL/SQL and designing database objects (tables, views, functions, procedures, triggers, defaults, constraints, etc) with MS SQL server, IBM DB2 and Oracle; Extensive use of utilities such as bcp/sqsh/isql, and db2 load/import/export in Linux/Unix for data extraction and loading.

Extensive use of shell (bash) scripts for monitoring system resources, manipulating files and data, and for integrating business components and launching application processes; Extensive use of Ruby and Perl for file/data sourcing and processing in which shell is awkward; Use of functional and analytical programming languages such as SAS/Base/Macro, R/S+, C/C++, Ruby for business application development.

Hands-on development experience on quantitative strategy models with quant teams; Full life cycle project development that involves analysis of business requirements, data collection, database object and ETL process design, data quality control, quant model coding and testing, model integration & execution, process automation and system performance tuning.

Solid knowledge on equities, derivatives and fixed income securities; Excellent performer in assuming project ownership; Detail-oriented and self-motivated with a learning attitude and a passion for success.

Key Skills

• Languages: Shell, Ruby, Perl, C/C++, SAS/Base/Macro, S+/R, PL/SQL
• Operating systems: Unix, Linux, Solaris, MS Windows
• Database platforms: SQL Server, IBM DB2, Oracle
• Tools: Autosys, CVS, Informatica, DBArtisan/Erstudio, Visio, Toad, Erwin, Confluence
• Domain knowledge: Equities, derivatives, fixed income; Securities reference data, pricing and market data, fundamental research data; Statistics, quantitative models

Education

• Ph.D. in Marine Science with concentration in Marine
• M.S. in Fluid Dynamics and Applied Mathematics
• B.S. in Physics

Career

Confidential, New York, NY 08/2007 - Present
Senior Quantitative Developer, Equity Research

As the technologist in this quantitative equity strategies team (team was part of Lehman Brothers prior to 9/2008), I have played a critical role in designing and implementing the data and modeling systems. My works include the following:

• Full life cycle project development that includes analysis of modeling needs & research objectives, data feed exploration, database object & ETL process design, data quality control, data and model integration & execution, and process automation.
• Developed database objects for the data feeds from Thomson Quantitative Analytics (QADirect/MarketQA platform); the data feeds include securities reference and mapping data, pricing data, index constituent data, fundamental and market data from Compustat, IBES, CRSP.
• Developed data warehousing systems and the relevant FTP & ETL processes for additional data feeds from FactSet, Bloomberg, SunGard and other data vendors; these data feeds include credit rating data, merger acquisition deals, corporate actions, stock institutional ownership, stock short interest data, and other market data.
• Designed and developed database objects (tables, views, functions, procedures, triggers, defaults, and constraints) for hosting modeling results and for runtime data transactions between models and external data feeds and among model components.
• Developed scripts and macros for stock ranking model, data and model integration, research report generation and format conversion; architected and implemented a dynamic quality assurance system to capture issues in data feeds and monitor abnormality in modeling components.
• Designed and developed a system to calculate the daily values of the portfolios and track the relevant portfolio performances.
• Automated the daily, weekly and monthly production processes; developed messaging systems to inform team members of the production status, data quality issues, and special events.
• Additional daily responsibilities include: 7x24 standing ready to handle production and data issues; providing data and programming support to team members; coordinating data vendors and internal IT teams; working on ad hoc projects; distributing daily research reports to clients.
• Passed 4 exams in 2007/2008 for FINRA research analyst registration (S7, S63, S86, and S87).
• Technologies: Shell, SQL, Ruby, Perl, SAS, C/C++, Linux, SQL Server, DB2 UDB, bcp/sqsh/isql, db2 load/import/export, Autosys, CVS.

Confidential, New York, NY 07/2005 - 08/2007
Assistant Vice President/Senior Developer, Electronic Trading

• Data warehousing development on securities reference and mapping data, options & futures data, index and ETF constituents, corporate action data, stock short interest & institutional ownership, pricing and other market data.
• Extensive experience dealing with data vendors such as Thomson Reuters, Bloomberg, and with exchanges such as NYSE, NASDAQ, CME/CBOT/ NYMEX, CBOE, ISE, ICE, LIFFE.
• Development of database objects such as views, stored procedures, and server-side applications for data manipulation and delivery in support of portfolio research, order routing and management, market making and execution, and algorithm trading.
• Full life cycle project development involving vendor and exchange communication, raw data collection, database/schema design, ETL design, data parsing and loading, data quality control, and system performance tuning, database objects design, and client services.
• Technologies involved: Shell, PL/SQL, Informatica, Perl, C/C++, Oracle, Q/KDB, Unix/Linux, Autosys, CVS.

Confidential, Chicago, IL 2004 - 2005
Quantitative Developer

• Performed research on bid-ask spreads and statistical analysis on historical market data.
• Conducted analytical studies on news data with focus on timing, coverage and intensity, subject hierarchy, and relationship with trading activities.
• Contributed routines to an analytical library which supported research and trading
• Developed programs for data quality control and corporate action studies.
• Developed queries/procedures and scripts for data extraction, transformation and loading
• Technologies used: S+, Shell, C/C++, SQL, Perl, Linux.

Confidential, New York, NY 2002 - 2004
Quantitative Analyst

• Built up the data and modeling infrastructure systems from scratch for this start-up financial service firm which was operating on stock selection and portfolio optimization.
• Designed the data repositories and assumed ownership of the data products which were sourced from CRSP, Compustat, Reuters, Bloomberg, FactSet, S & P, and other financial data vendors.
• Built up a mapping and reference system for different data products; Responsible for data integrity, data cleansing & quality control, and data vendor communications.
• Contributed to the development of the stock selection models by coding and testing the stock evaluation factors which were constructed from fundamental data items, earnings & estimates, pricing and other market data.
• Contributed to the construction of the analytical toolbox that was used for data manipulation, asset valuation, statistical analysis, stock ranking, and research report generation.
• Designed and implemented DOS batch processes for data and model integration, daily model execution & automation, and report creation & distribution.
• Responsible for the administration of the SAS and Windows servers
• Technologies used: SAS, C/C++, Perl, Dos, Excel/VBA, Windows NT/2000

Confidential, St. Petersburg, FL 1998 - 2002
Research Associate

• Established the historical data repositories and explored the circulation patterns, the thermal structures and the characteristics of turbulence in a few regional oceans.
• Researched different numerical modeling algorithms and the relevant stabilities.
• Developed nonlinear three-dimensional numerical models to simulate oceanic waves, tides, and circulations, and applied the models to the continental shelves along southern US coast.
• Developed an application package for data analysis, visualization, and animation.
• Programming involved: Shell, C/C++, Fortran, Matlab, and Unix/Linux.

Others

• US citizen
• FINRA research analyst registration ( S7, S63, S86, S87)
• Academic excellence awards during undergraduate and graduate studies
• Academic papers with internationally distributed academic journals and conference collections