Technology Specialist2015 - PRESENTMount Sinai
- Investigated algorithms for protein binding prediction. For example, given an amino acid sequence and associated MHC molecule, predict the IC50 binding value.
- Contributed to open source projects including a machine learning library and process management tool. Worked with extensive online open source reviews and collaborations.
- Researched HLA inference algorithms from whole exome sequencing. Built a probabilistic model of alignment leading to posterior allele distribution.
- Researched and developed novel compression-mapped computation schemes for efficiency.
- Researched relevant biology and bioinformatics papers.
Entrepreneur2013 - 2014Self Employed
Technologies: OCaml, Haskell, Erlang, Python, Ruby on Rails, PostgreSQL
- Acted as CTO of a small "agtech" startup. Created CRUD websites that displayed relevant pesticide information. Coordinated Amazon Turk tasks to extract and normalize data.
- Researched predictive models for optimal seed selection.
- Pursed algorithmic negotiation consultancy. Created a prototype library to describe negotiations and then find Pareto optimal solutions.
- Developed and presented several pitches. Interviewed clients and negotiators.
- Created a social media platform that leveraged Twitter into a debate platform.
Consultant2012 - 2013Bank for International Settlements
Technologies: C#, Matlab
- Consulted for the risk and economic policy research group. Developed and maintained a research and graphing framework.
- Helped to develop libraries to facilitate Matlab analysis in parallel.
- Developed features and fixed bugs as requested by bank researchers.
- Translated several thousand lines of Visual Basic to C#. Debugged STATA simulations.
- Helped to coordinate monthly Scrum and sprint planning.
Risk Developer2010 - 2012Trafigura
Technologies: F#, ML, C++, Matlab
- Priced and simulated several thousand metal portfolios, spanning numerous contract types and international markets, to drive a custom non-parametric VaR estimate, in F#.
- Priced multi-leg, curve-dependent options using Monte Carlo techniques and forward curve decompositions (F#, Matlab, C++).
- Coordinated worldwide colleagues in ensuring accuracy in price and position reporting and reconciling VaR measurements.
- Integrated price sources into a custom library, allowing us to have consistent prices across illiquid markets or during non-trading hours.
- Estimated extreme-value statistics, peak over threshold, and parametric VaR for all energy related portfolios.
Associate2007 - 2010Vermillion Asset Management
Technologies: F#, Python, Excel, VBA
- Developed tools in F# for pricing and hedging commodity related options. Tools were used in a real time and position simulation scenarios.
- Supported the quantitative aspects of an equity volatility strategy. Created tools for traders to monitor computationally demanding changes in equity options markets, inter-day and in real-time (F#, VBA, Python.).
- Implemented statistical arbitrage infrastructure for time series research. Created and traded stock strategies.
- Researched and implemented parameter estimation methods to correct for bias and variance.
- Collaborated with other traders and developers on strategies and outlook.
Quantitative Researcher / Assistant Trader2004 - 2007Jane Street
Technologies: OCaml, Excel, VBA, C++
- Modeled statistical arbitrage strategies using tick data on a custom built distributed computing environment.
- Co-developed a second generation, high performance, and automated trading platform.
- Wrote the core logic for several automated high-frequency trading strategies, using the newly developed platform.
- Was responsible for the day-to-day operation, maintenance, correctness, and disaster conditions of the automated trading systems.
- Leveraged trader input and my own trading experience to develop parameters and automated strategies to enhance performance. Corrected source code and released new versions of the strategy as appropriate.