SUMMARY:

I have built and led successful market making, portfolio management, and intraday algorithmic trading in domestic futures and equities. To enable these projects I have built data management and data science platforms for statistical studies and model training of historical market data.

TECHNICAL SKILLS:

Platforms: Data science tools include my python, numpy/scipy, and Wolfram Mathematica. I’ve also coded projects in matlab, R, C#/F# .NET and VB/Excel, C and C++.

PROFESSIONAL EXPERIENCE:

Quantitative Trader / Data Scientist

Confidential, Chicago

Responsibilities:

• Build platform for archiving and retrieving historical data from cash and futures markets
• Implement platform for model training on historical data in python
• Build trade desk analytics tools to visualize live models

Quantitative Trader / Data Scientist

Confidential, Chicago

Responsibilities:

• Built historical market data warehousing platform python on Linux
• Built data analysis packages python to train price forecast models and risk models
• Designed clustering and factor identification modules using PCA and agglomerative hierarchical clustering
• Built model visualization modules in Wolfram Mathematica
• Published risk analytics for firm - wide futures trading in domestic futures options
• Implemented stat arb and spread arb trades in domestic futures

Quantitative Trader / Data Scientist

Confidential, Chicago

Responsibilities:

• Built historical market data warehousing platform python on Linux
• Built data analysis packages python to train price forecast models using vector autoregression
• Used SVM optimization to select models, Wolfram Mathematica
• Implemented stat arb and spread arb trades in domestic futures managed a team which varied over my time there, mostly containing one junior quant trader a senior developer and a mid-level developer. This also included rotating teams of interns from masters in finance programs.

Quantitative Trader

Confidential, Chicago

Responsibilities:

• Designed intraday trading algorithms for futures trading. Models were implemented in Wolfram Mathematica and scala.
• Introduced algorithms for improving both market making and market taking trades.
• Implemented vector autoregression forecasting models in Wolfram Mathematica
• Traded and improved intraday algos in domestic futures

Quantitative Portfolio Manager and Data Scientist

Confidential, Chicago

Responsibilities:

• Developed a trade backtesting and optimization platform using quadratic programming libraries in matlab and python/scipy.
• Implemented trade optimization and live trading algorithms using C#/.NET
• Managed a team of 3 PhD quant developers and shared resource of two senior developers to develop modeling and trading execution software.
• Developed intraday trades in futures and equities which trade for profits of multiple ticks per trade with holding times of hours, domestic futures and ETFs.

Senior Financial Engineer

Confidential, Chicago

Responsibilities:

• Developed strategies for high-frequency trading, market making, in futures.
• Developed price modeling, trading methodology, and trading software for futures market making with direct market access. mostly in python with numpy/scipy.
• Developed trading strategies domestic futures portfolios. Trading averaged 30,000 contracts/day with average net profit of $1 / contract trading agriculture products, plus equity, treasury, and currency futures. Trading my strategies brought net profits to Ketchum trading of $7mln in each of 2011 and 2012.
• Implemented price forecasting, surface fitting, and visualization platform deployed to trade desk, in Wolfram Mathematica.
• Developed historical data replay and archive platform in C#/.NET.

Senior Software Engineer (consultant)

Confidential, Chicago

Responsibilities:

• Developed server side implementation of trading algorithms for technical programs and spread trading in futures on CME in C#/.NET
• Developed predictive analytics and visualization in Wolfram Mathematica
• Managed client relationships for technical issues and code requirements.

Portfolio Manager (consultant)

Confidential, Northbrook, IL

Responsibilities:

• Developed analysis and backtesting platform in ruby.
• Maintained historical data using SunGard FAME time series database
• Managed historical fundamental data from CompuStat
• Developed platform for daily execution of trades in equities

Senior Software Engineer (consultant)

Confidential, Chicago

Responsibilities:

• Developed core code to implement trading algorithms in C++
• Developed GUI functionality in C# .NET
• Developed a suite of utilities for post-trade analysis in perl
• Developed tools for monitoring the timing (latency) of various measures of trade execution in perl.

Quantitative Trader

Confidential, Chicago

Responsibilities:

• Developed intraday trades using signals from the equity options markets to signal underlying trades.
• Developed backtesting and analytics platform in perl
• Published signals and analytics over web using CSS technology.

Senior Associate

Confidential, Chicago

Responsibilities:

• Developed risk platform in C++
• Did risk analysis for equities portfolio in matlab
• Led junior quantitative analysts in design of risk platform and publication of analytics to trade desk.