Vice President | Portfolio Manager
2013 - 2021Newfound Research- Developed, backtested, and operated quantitative, rules-based equity, futures, and options strategies focusing on prudent risk management. Managed over $1.1 billion in the strategy suite.
- Utilized techniques such as regression (linear, nonlinear, and nonparametric), clustering, cross-validation, PCA, machine learning (random forests, genetic algorithms), and data visualization.
- Created and optimized intuitive models for complex market behavior based on financial and behavioral economic theory to add value and expand upon the firm's existing algorithms.
- Utilized Python heavily, including Pandas, NumPy, SciPy, Scikit-learn, and Seaborn, to solve problems and improve task efficiency. Focused on test-driven development and used Github for version control.
- Explained market trends and specific strategy attribution to clients. Wrote market and strategy commentaries, recorded videos, and gave webinars to actively address client concerns and facilitate sales.
- Constructed portfolios with equities, fixed income, alternatives, and derivatives using various approaches such as target volatility, long and short risk parity, and smart beta.
- Applied hidden Markov models for market states in which different investment factors outperform. Calibrated arbitrage-free volatility surfaces using stochastic volatility-inspired models. Adapted Monte Carlo methods to simulate risk more accurately.
Technologies: Python, Risk Models, Modeling, SQLProcess Engineer
2008 - 2013AECOM- Developed in-house software for process simulation and optimization, equipment sizing, and economic analysis.
- Replicated research from published papers and patents and evaluated the economic feasibility of the process.
- Managed economic and process-based studies within a larger group.
Technologies: Visual Basic, Excel VBA, Modeling, Chemical Engineering, Economic Analysis, Statistics, Optimization, Forecasting
Nathan Faber
Optimization Developer in Sanibel, FL, United States
Member since February 12, 2021
Nathan is a problem solver at heart, having worked as a chemical engineer, financial data scientist, and portfolio manager. He loves to dive into messy data sets to uncover patterns and leverage the data to benefit the business. His quantitative and qualitative analysis skills in machine learning, visualization, and model creation, paired with his attention to detail and development experience in various programming languages, make him an ideal candidate for tackling any project.
Nathan is now available for hire
Portfolio
- Newfound ResearchPython, Risk Models, Modeling, SQL
- AECOMVisual Basic, Excel VBA, Modeling, Chemical Engineering, Economic Analysis...
Experience
- Optimization 13 years
- Quantitative Research 10 years
- Machine Learning 10 years
- Risk Models 9 years
- Python 8 years
- Pandas 8 years
- Quantitative Finance 8 years
- SQL 5 years
Availability
Part-time
Preferred Environment
Python, SciPy, Pandas, Slack, NumPy, Octave, Excel VBA, C++, SQL, Apache
The most amazing...
...project I've developed is a flexible option strategy backtesting engine to create absolute return and risk management financial strategies.
Employment
Experience
- Options Backtesting Engine
A flexible options strategy specification and pricing engine. I was in charge of gathering and cleaning historical and live pricing data, abstracting the data for theoretical simulations, devising specification methods for constructing the strategy through time, and reporting both live and backtested results that included transaction costs and other forecasted implementation costs.
Skills
Languages
Python, Excel VBA, Octave, C++, SQL, R, Visual BasicLibraries/APIs
SciPy, Pandas, NumPyParadigms
Data Science, Quantitative ResearchOther
Statistics, Finance, Numerical Methods, Optimization, Machine Learning, Risk Models, Forecasting, Monte Carlo Simulations, Chemical Engineering, Mathematical Modeling, Modeling, Quantitative Finance, Quantitative Modeling, Algorithms, Economic AnalysisTools
Slack, MATLAB, Apache
Education
- Master's Degree in Computational Finance2012 - 2013Carnegie Mellon University - Pittsburgh, PA
- Bachelor's Degree in Chemical Engineering2004 - 2008Case Western Reserve University - Cleveland, OH
