Senior Analyst, Code Review Team2019 - PRESENTLarge Consumer Bank
Technologies: Apache Hive, Hadoop, PySpark, R, SQL, Python
- Reviewed code (mostly Python and SQL) to determine if it accurately and completely met all documented requirements.
- Performed tests on the data and code to check for missing or unexpected values.
- Reran the original code and compared the output to the original output.
- Worked on projects that required a high level of skill in Python and SQL and occasionally R and even SAS; and often times requiring skill in and knowledge of Spark, Hadoop, and Hive.
VP, Portfolio Construction Group and Model Implementation Group2013 - 2018Acadian Asset Management
Technologies: SQL, StatsModels, NumPy, Pandas, Python
- Designed and built a dashboard for PMs to analyze portfolio exposures within and across strategies.
- Developed code to add transaction costs to our attribution and a web app (Bokeh) for exploring the results.
- Built an automatic testing program to run simple pass/fail tests on code where no explicit test code exists. Used Python’s introspection to find methods and method signatures to assign valid values for arguments.
- Worked on other projects including an investment strategy capacity analysis, rebalancing a schedule frequency analysis, a ranking of broker performance, an FX hedge reporting module, an access layer to alpha model data, and more.
Lead Data Scientist2012 - 2013EnterTheData
Technologies: SQL, Python, R
- Estimated the value of a marketing campaign vis-à-vis resulting sales using a time series analysis,.
- Analyzed customer retention using survival analysis to find differences across markets.
- Predicted government employment releases using lasso regression and random forests.
VP, Head of Analytics and Visualization2007 - 2012State Street Associates
Technologies: Spotfire, SQL, MATLAB, Python
- Led a collaboration between research and the securities lending business to build analytic tools to support trading.
- Worked on analysis and modeling projects including predicting hard-to-borrow securities and analyzing the relationship between real and synthetic shorts using options.
- Led a team for new holdings indicators, i.e., a trading signal for equity and fixed income.
- Managed teams that developed and released 14 new foreign exchange and equity flow indicators.
Senior Vice President2001 - 2007Bank of America
Technologies: C++, R, SQL
- Coded (using R) and back tested various improvements to the existing momentum-style strategy drawing data from MarketQA, IDC, IBES, and Compustat.
- Provided quantitative support for users of Barra’s Enterprise Performance product for return attribution.
- Designed and coded fixed income tools using R and C++.
- Developed code to calculate generic yield curves and bond asset swap spreads.
- Conducted an extensive analysis of the customer database and provided analytic research on the effects of pricing policies to support the mortgage pricing team.