Quantitative Strategist2014 - 2021Algo Trading Firm
Technologies: Python, Django, Sanic Web Server, MongoDB, Machine Learning, Stock Market, Cryptocurrency
- Developed a comprehensive risk system incorporating live P&L, position and order tracking, trade reconciliation, and liquidity management.
- Created tools to detect and track signatures of recurring market activity.
- Built flexible, high-performance trade signal platform incorporating tick data collection.
- Researched pair and basket trading strategies for equity cash and futures.
- Created platform for identifying trading opportunities based on seasonality and special events, including recommended bet size based on Kelly criterion.
- Developed neural net framework for calibration and fast calculation of risk exposures of American options.
- Used natural language processing to classify earnings and rating revision announcements.
Vice President2010 - 2011Barclays
Technologies: Python, C++, Java
- Transitioned legacy credit library into multi-asset library rolled out across bank for intraday pricing and risk reporting.
- Supported large-scale grid-based credit pricing engine.
- Coordinated with global quant and emerging markets teams on day-to-day analytics queries and issues.
Vice President2007 - 2008DBS
Technologies: Python, C++, SQL
- Developed robust pricing methodology able to correctly price structured credit products during severe market dislocation.
- Oversaw transition from spreadsheet environment to Python and C++ based pricing library integrated with booking system.
- Developed pricing capability for illiquid credit options.
Senior Software Developer1998 - 2006Wall Street Analytics
- Implemented lattice models for pricing interest rate derivatives.
- Developed bootstrapping methods for constructing Libor and US Treasury yield curves.
- Developed pricing methodology for CDO deals using Student copula.
- Implemented mortgage analytics and integrated prepayment models.