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Leonid Rozenberg

Leonid Rozenberg

New York, NY, United States
Member since April 26, 2017
Leonid is an experienced developer who specializes in numerical tools, using various functional languages (OCaml, F#, Haskell, Erlang) as well as platforms more suited towards computation (Matlab, Python) and statistics (R). He has extensive experience in finance and is knowledgeable about modern machine learning techniques.
Leonid is now available for hire
  • Linux, 15 years
  • OCaml, 14 years
  • Functional Programming, 14 years
  • Statistics, 10 years
  • Machine Learning, 10 years
  • Unix Shell Scripting, 10 years
  • F#, 6 years
  • Mac OS, 5 years
New York, NY, United States
Preferred Environment
OSX, Linux, Windows
The most amazing...
...project I've worked on is a large Hidden Markov Model for posterior allele distribution inference.
  • Technology Specialist
    2015 - PRESENT
    Mount 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.
    Technologies: OCaml
  • Entrepreneur
    2013 - 2014
    Self Employed
    • 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.
    Technologies: OCaml, Haskell, Erlang, Python, Ruby on Rails, PostgreSQL
  • Consultant
    2012 - 2013
    Bank for International Settlements
    • 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.
    Technologies: C#, Matlab
  • Risk Developer
    2010 - 2012
    • 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.
    Technologies: F#, ML, C++, Matlab
  • Associate
    2007 - 2010
    Vermillion Asset Management
    • 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.
    Technologies: F#, Python, Excel, VBA
  • Quantitative Researcher / Assistant Trader
    2004 - 2007
    Jane Street
    • 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.
    Technologies: OCaml, Excel, VBA, C++
  • OCaml Math Library (Development)

    A reformulation of common mathematical, statistical, and machine learning routines written in OCaml. The intent is to use sophisticated types to inform the logic and semantics of the routines and algorithms.

  • Languages
    OCaml, F#, Visual Basic for Applications (VBA), R, SQL, Haskell, Erlang (OTP), Erlang, C++, Python, Octave, C
  • Paradigms
    Functional Programming, Object-oriented Programming (OOP)
  • Frameworks
    Machine Learning, Django, Ruby on Rails (RoR), .NET
  • Tools
    Vim Text Editor, Microsoft Excel, MATLAB, gnuplot
  • Platforms
    Linux, Mac OS, Windows, Unix
  • Other
    Regression Models, Classification, Statistics, Unix Shell Scripting, Bayesian Statistics, Matrix Algebra, Bioinformatics
  • Libraries/APIs
    Scikit-learn, SciPy, Pandas, BLAS, LAPACK
  • Storage
    PostgreSQL, SQLite
  • Bachelor of Science degree in Computer Science
    1999 - 2004
    California Institute of Technology - Pasadena, CA
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