Principal Data Scientist2019 - 2020Zdaly
Technologies: Machine Learning, Python, Elasticsearch, SQL
- Created software products that deliver advanced insights into their businesses, predicting sales based upon factors such as weather, seasonality, and demographics.
- Applied machine learning techniques for predictive purposes; techniques include regression/correlation, logit models, random forest models, clustering algorithms, lead/lag analysis, some NLP, multithreading, and multiprocessing.
- Optimized client retail prices based upon price elasticities and competitor behavior. Recursively propagated potential price changes throughout the entire client/competitor network and determined optimal price.
Co-Chief Investment Officer2016 - 2019EVA Capital Management
Technologies: Python, MATLAB, AngularJS, C++, SQL
- Served as the co-CIO of a quantitative asset management firm. With a business partner, laid the groundwork for company operations, hiring, and trading.
- Pitched business plan and trading strategy to potential clients and business partners and raised seed capital.
- Led the researcher and portfolio manager responsible for daily R&D and trading on a systematic EVA (economic value added)-based stock selection strategy. Managed one analyst. Implemented in both hedge fund and index/ETF formats.
- Maintained terabytes of data in a SQL database which served a C++ trading algorithm to optimize the portfolio; a C# desktop app for data manipulation; and Python, MATLAB, and R scripts for statistical analyses.
- Utilized finance frameworks such as Fama-Macbeth regression, mean-variance optimization, multifactor risk modeling, as well as ML such as NLP and clustering.
- Coded the company web site using Node.js, Angular, and Highcharts.
Head of Quantitative Research2007 - 2015EVA Dimensions
Technologies: Java, MATLAB, C#, C++, SQL
- Hire as the fifth employee at a financial company startup based around the Economic Value Added (EVA) valuation framework. Instrumental in growing revenues to over $7 million and employees to over 20.
- Created and marketed equity research reports, data visualizations, and interactive web tools to buy- and sell-side clients. Mined proprietary databases and tied statistical observations to non-technical, actionable investment recommendations.
- Researched finding areas of under/overvaluation, commenting on trends in market or factor behavior, and custom client projects.
- Led the research on many quantitative financial models, including an EVA-based global stock selection system and simulated ETFs designed to capture premia (beta) on various factors.
- Aggregated a DCF analysis, a custom-built portfolio analysis, risk, and attribution system; cost of capital models; and thematic models tying factor returns and exposures to the business and company life-cycles.
Senior Analyst2003 - 2006The Rohatyn Group
Technologies: C#.NET, C#, SQL
- Contributed as an analyst at a multi-billion dollar emerging markets hedge fund.
- Provided support for an earnings-estimates based trading model. Created a 100GB store of data; researched underlying data quality and effectiveness of various trading signals/indicators; backtested. Implemented in the master fund at $50 million.
- Created a cointegration-based pairs trading model and presented results to the trading desk weekly.
Analyst (Intern)2002 - 2003Citigroup
- Created a multi-factor model to forecast US corporate bond spreads utilizing equity market information.
- Presented results to the entire fixed-income research division for discussion.
- Received internship credit for my master's in financial engineering program at Berkeley.
Associate1999 - 2001Nomura Securities International
- Worked for the quantitative unit in an internal fund-of-funds.
- Created a custom performance attribution system (Brinson-based).
- Automated the pricing of options in the portfolio.