- Senior DeveloperSilverbear2016 - PRESENT
Technologies: C#, Dynamics CRM, SQL Server, DotNetNuke, TFS, Octopus Deploy
- Built tools and extensions for Microsoft Dynamics CRM and to DotNetNuke website portal.
- Sat on a company-wide technical architecture board to decide on best development tools and processes.
- Identified accumulated technical debt within the code base and communicated the benefits of reducing it to senior management.
- Formulated and implemented an incremental plan to refactor the existing code base to improve product reliability and developer productivity.
- Developer, Founder, and DirectorMalbec Trading2015 - 2015
Technologies: C#, CUDA
- Drove the business to provide investment advisory and management services for a specific client.
- Developed the full life-cycle of all systems, implemented primarily in C# .NET.
- Developed high reliability real-time signal generation, portfolio optimization, and trade execution systems.
- Built custom data compression algorithms to allow fast random access to large quantities of historical trade data (~10 billion ticks) from exchanges for back-testing tools.
- Created GPGPU machine learning optimization algorithms written in CUDA exploiting SIMD architecture to allow massively parallel evaluation of millions of trading strategies per second.
- Developed rich WinForm GUIs for data analysis and visualizations using a model-view-controller framework.
- Utilized custom statistical and cross-validation methods to address over fitting in machine learning algorithms.
- Built all systems on top of a functional reactive data flow programming library designed and implemented over the course of four years. Key features are the lazy and partial re-evaluation of nodes in the function composition graph and higher order functions allowing self-modification of the graph.
- Developer, Research Analyst, & Portfolio ManagerCallisto Asset Management/Solo Capital2011 - 2015
Technologies: C#, CUDA, Excel VBA
- Built a custom back-testing platform with emphasis on cross-validation to prevent over-fitting.
- Created tools to view, clean, aggregate, and update 18+ years of historical tick data.
- Built real-time automated trade generation and routing for the FIX engine for execution.
- Made and documented a scientific discovery of novel trading strategies using machine learning and statistical inference methods to maximize robustness.
- Produced many human understandable models diversified across time and market.
- Equity Derivatives TraderJP Morgan2009 - 2011
Technologies: Excel VBA, SQL, Propiatery tools
- Priced and hedged financial derivatives.
- Coded an Excel VBA system to construct and maintain a relative value arbitrage portfolio for single stocks vs. index options correlation positions.
- Implemented a correlation relative value arbitrage book.
- Built tools and conducted research projects to identify market inefficiencies.
- Senior DeveloperLehman Brothers2007 - 2008
Technologies: C#, Java 6, SQL (Sybase, Oracle)
- Enhanced features, extended functionality, fixed bugs, and maintained an extensive existing code base for systems providing risk and PnL numbers to traders and risk managers.
- Successfully improved speed and reliability of live data for a trading desk.
- Provided overnight support for extensive batch processing systems integrating with numerous internal and external counter-parties.
- Developer, Founder, and DirectorMagio2003 - 2007
- Designed and implemented bookings management software for hotels, conference centers, and activity centers.
- Led the development team working with a business partner.
- Created a C# ASP .NET web interface with SQL Server back-end allowing staff to make bookings, create invoices, print confirmations, and generate customizable management reports.
- DeveloperCitigroup2002 - 2003
Technologies: C#, Java, C++, Perl, Tibco, SQL (Sybase)
- Worked on systems providing risk and PnL numbers to traders and risk managers in equity derivatives.
- Provided overnight support duties for batch processing systems.
- Developer & ResearcherUniversity of Bristol1999 - 2002
- Worked on an industrial sponsored research project as part of my final two years of a mechanical engineering degree.
- Modeled abstractions of the engineering design process that was used to organize and retrieve information about actual engineering projects.
- Implemented the project in Java using POET (an object-relational database mapping) with Oracle back-end.
- Continued to work on the project as a contractor for 2 years after graduation.