Verified Expert in Engineering
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.
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.
Machine Learning Consultant
- Developed a comprehensive software package with one other engineer for a DARPA-funded client to use RL for training agents.
- Applied various RL algorithms (A2C, A3C, and PPO) to problems in robotics and control.
- Created a comprehensive rating model for a startup in the venture capital space. The model served as the basis for the launch of an early-stage venture fund.
One River Asset Management
- Researched tactical signals and monetization techniques for an equity-focused tail risk strategy, with the goal of increasing the capacity and complementing existing strategies within the firm’s flagship tail risk fund.
- Developed systematic relative volatility strategies within equities, commodities, fixed income, and FX, with a focus on non-equity volatility RV.
- Implemented trades throughout the day through Bloomberg's EMSX, OVML, FXEM, and direct chats with dealers for strategies using a variety of futures, options, and volatility swaps. Oversaw the trading for $20 million of volatility RV strategies that I manage.
Vice President | Portfolio Manager
- 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.
- 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.
Options Backtesting Engine
End-to-end Reinforcement Learning (RL) Trainer
Python, Excel VBA, Octave, C++, SQL, R, Visual Basic
SciPy, Pandas, NumPy, Scikit-learn, PyTorch, TensorFlow
Data Science, Quantitative Research
Statistics, Finance, Numerical Methods, Optimization, Machine Learning, Risk Models, Forecasting, Monte Carlo Simulations, Chemical Engineering, Mathematical Modeling, Modeling, Quantitative Finance, Quantitative Modeling, Artificial Intelligence (AI), Statistical Analysis, Data Analytics, Data Reporting, Natural Language Processing (NLP), Data Engineering, Data Analysis, Regression Modeling, Regression, Backtesting Trading Strategies, Large Language Models (LLMs), Deep Learning, Machine Learning Operations (MLOps), Recurrent Neural Networks (RNN), Neural Networks, Business Analysis, Financial Modeling, Currency Exchange, Trading, Fintech, Stock Market, Stock Trading, Stock Analysis, Algorithms, Economic Analysis, Deep Neural Networks, Robotics, Deep Reinforcement Learning, Reinforcement Learning, API Integration, GPT, GPU Computing, Cloud Architecture, APIs, Bots
Slack, MATLAB, OpenAI Gym, Apache, Amazon SageMaker
Amazon Web Services (AWS), Amazon EC2
PostgreSQL, Amazon S3 (AWS S3)
Master's Degree in Computational Finance
Carnegie Mellon University - Pittsburgh, PA
Bachelor's Degree in Chemical Engineering
Case Western Reserve University - Cleveland, OH