Nan Gu, Machine Learning Developer in Chicago, IL, United States
Nan Gu

Machine Learning Developer in Chicago, IL, United States

Member since February 22, 2020
Nan Gu has 10+ years of experience in the financial industry mining data, building predictive pricing models, and running algorithmic trading strategies. As a freelancer, he'd like to better utilize his full-stack skills in data science and engineering to help organizations achieve their goals.
Nan is now available for hire

Portfolio

Experience

Location

Chicago, IL, United States

Availability

Part-time

Preferred Environment

C, C++, R, Python, SQL, Excel, Linux, Windows

The most amazing...

...auto-code generation system I've created generates highly efficient C/C++ implementations of ML models with selected predictors from a factory of features.

Employment

  • Co-founder, Full-stack Data Scientist and Engineer

    2018 - PRESENT
    Self-employed
    • Co-founded the current firm with minimal initial resources and successfully developed stable business relationships with clients.
    • Oversaw and implemented a full-stack system to provide high-frequency trading services to selected clients.
    • Invented an in-house scheduler for cluster computing and an automated code generation system for efficient implementation from research to production.
    Technologies: C++, R, Python, Cluster machine computing
  • Equity Options Trader

    2013 - 2017
    XR Trading LLC
    • Created and managed the fully automated delta-one trading book that greatly augmented the profitability of the options trading business.
    • Architected and oversaw the next-generation automated options trading system.
    • Researched and demonstrated several new trading strategies to be fully deployed onto the next-generation trading system.
    • Performed the daily operation and risk management of existing volatility trading strategies.
    Technologies: C++, R, Python, C#, SQL
  • Financial Engineer

    2007 - 2010
    Spot Trading LLC
    • Researched and implemented several volatility surface skew models.
    • Developed the in-house option pricing engine that replaced then industry-leading vendor products.
    • Developed models and engines for real-time trading risk calculation.
    • Developed the real-time volatility surface calibration system.
    • Designed and implemented the firm's first-ever automated market-making system.
    Technologies: C++, C#, R, Python, SQL, Excel, Windows HPC

Experience

  • Minimalist Scheduler for Cluster Computing (Development)

    I recently wrote an cluster computing scheduler in Python to maximize the utilization of cluster computing resources for parallel computing. It is designed with a minimalist approach to ensure we have as much physical resources available as possible to be committed to actual computing jobs. It relies on SSH for communication and command line interface to execute tasks. The only pre-requisites are a few standard command line utility programs available out-of-the-box in any Unix-like system. It currently schedules resources based on logical CPUs. It has been used as the new parallel computing infrastructure for our massive model simulation and optimization and has greatly improved our utilization. I may consider the open-source part of it in the future.

  • R Generated Daily Report of Trading Statistics (Development)

    We use R to pull and merge trading-related data from different data sources, calculate important statistics, and generate daily email reports with PDF attachments using RMarkdown to send to a list of authorized subscribers.

  • SQL-based Daily Correlation Computation (Development)

    We implemented a set of stored procedures to calculate highly configurable pair-wise price correlations between financial instruments and set up a process to update the calculation on a daily basis. All the fine-tuned calculation algorithm, as well as the data ETL process, was entirely written in SQL. The result was widely used within the firm, including the crucial real-time automated trading system.

Skills

  • Languages

    C++, R, Python, SQL, C#
  • Paradigms

    Template Metaprogramming
  • Other

    Data Mining, Data-driven automated system architect, Machine Learning, Agile Software Development/Testing, Data Visualization, Excel, Deep Learning
  • Platforms

    Linux

Education

  • Ph.D. in Mathematics
    1999 - 2007
    Purdue University - West Lafayette, Indiana
  • Master's degree in Computational Science
    1999 - 2001
    Purdue University - West Lafayette, Indiana
  • Bachelor's degree in Information and Telecommunication
    1994 - 1999
    Xi'an Jiaotong University - Xi'an, China

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