Nathan Faber, Optimization Developer in Sanibel, FL, United States
Nathan Faber

Optimization Developer in Sanibel, FL, United States

Member since November 26, 2020
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 Research
    Python, Risk Models, Modeling, SQL
  • AECOM
    Visual Basic, Excel VBA, Modeling, Chemical Engineering, Economic Analysis...

Experience

Location

Sanibel, FL, United States

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

  • Vice President | Portfolio Manager

    2013 - 2021
    Newfound 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, SQL
  • Process Engineer

    2008 - 2013
    AECOM
    • 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

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 Basic
  • Libraries/APIs

    SciPy, Pandas, NumPy
  • Paradigms

    Data Science, Quantitative Research
  • Other

    Statistics, Finance, Numerical Methods, Optimization, Machine Learning, Risk Models, Forecasting, Monte Carlo Simulations, Chemical Engineering, Mathematical Modeling, Modeling, Quantitative Finance, Quantitative Modeling, Algorithms, Economic Analysis
  • Tools

    Slack, MATLAB, Apache

Education

  • Master's Degree in Computational Finance
    2012 - 2013
    Carnegie Mellon University - Pittsburgh, PA
  • Bachelor's Degree in Chemical Engineering
    2004 - 2008
    Case Western Reserve University - Cleveland, OH

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