Quantitative analyst who works to uncover the data generating process behind relationships in data, while paying attention to second-order effects of those relationships. Able to synthesize complex patterns into a coherent story for non-technical audience, with an emphasis on business impact. Loves working on the hardest problems with a team of top-performers.
Quantitative programmer with significant and recent experience in R, C/C++, C#, and Java. Loves Linux/Unix and the command line. Proficient at root-cause analysis on complex, distributed systems. Strictly evidence-based when troubleshooting (evaluate how available information might suggest behavior, then validate or disprove). Believes software engineering is about communication. Loves working on open-source projects with people from various cultures, locations, backgrounds, etc.
- Time-series manipulation, alignment, cleaning, storage, and modeling (ARIMA, GARCH, Monte-Carlo)
- Expert in R for data manipulation, analysis, modeling, reporting, and process automation
- Feature selection using RandomForests, and using xgboost to improve time-series forecasts
- Automated trading system research, development, evaluation, and production deployment
- Debian/Ubuntu system administration, including upgrades, RAID/LVM, user/group management, networking
- Queue-based messaging via Deltix TimeBase, Redis, Aeron, ZeroMQ, nanomsg
- ElasticSearch and Riemann-dash administration and use for monitoring real-time systems
R Consulting: training, performance profiling, parallelization, modularizing and packaging scripts
Organizing Committee Member for the annual R/Finance Conference since 2010
Saint Louis R User Group founder, organizer, and presenter since 2011
Google Summer of Code project mentor for R since 2012
UMSL Economics Department Alumni Board (2010-2014)
- Playing recreational ice hockey
- Building and maintaining open-source software
- Teaching and helping people solve problems (e.g. answering questions on StackOverflow
- Mentoring recent university graduates by providing career advice
- Brewing and drinking fantastic, single-origin coffees
Senior Quantitative Analyst
NISA Investment Advisors
October 2017 - Present
- Design derivative desk electronic trading platform; communicate project vision and roadmap; perform NPV analysis; evaluate and on-board vendors; coordinate across teams, including software development, data, hardware and networking, trade operations, and project management
- Analyze characteristics of trend following trading strategies for largest client by replicating and decomposing performance of published strategies
Senior Quantitative Analyst & Programmer
August 2013 – October 2017
- Architect, implement, and support proprietary automated futures market-making software in C# and Java
- Use public and private market data to evaluate strategy performance and infer market participant behavior
- Use R to research and evaluate strategies, and analyze production trades
Senior Portfolio Analyst & Trader
Enterprise Bank & Trust
November 2012 – August 2013
- Assist the CIO with developing the investment platform
- Develop and maintain debt and equity ranking models for individual equity securities
- Develop internal programs to extend the analytic capabilities of third-party asset allocation software
Risk Management Consultant
Wells Fargo Home Mortgage - Hedge Research and Analytics
August 2010 - November 2012
- Helped enhance and maintain models and methods to measure market risk, primarily interest rate risk associated with hedging of mortgage servicing rights.
- Assist in development, testing, and implementation of the Algorithmics risk watch system.
- Assist in the research and development of a robust system for duration/convexity measurement and construction of MBS profiles.
- Implement and test derivatives and mortgage valuation models using C++ and Python.
Risk Management Consultant
Wells Fargo Home Mortgage - Whole Loan Valuation and Analytics
January 2009 - August 2010
- Helped implement the HAMP model in Excel/VBA, including providing assistance to fellow servicers. Suggested a company-wide, web-based solution. Assisted in the deployment of said solution.
- Lead initiative to move valuation and analysis infrastructure from Excel/VBA-based solution to a distributed computing environment, which reduced run-times from hours to minutes.
- Minimized operational risk by fully integrating pieces of our valuation framework and automating the calculations of several model assumptions.
- Perform regular valuation, forecast, and return analyses on the company's whole loan portfolio -- including new acquisitions and loan modifications.
Risk Management Consultant
Wells Fargo Home Mortgage - Servicing Portfolio Management
January 2006 - December 2008
- Designed customer retention reporting infrastructure, analyzed customer transition characteristics, evaluated retention forecasting model and suggested improvements.
- Developed sub-prime ARM reset analysis, which examined post-reset default risk due to higher mortgage payments and potential inability to refinance.
- Enhanced short-term prepayment model accuracy via outlier detection and removal.
- Used R to decompose interest rate model performance from overall prepayment model performance.
- Wrote a C++ plug-in to greatly improve Stata aggregation speeds.
- Enhanced and automated production processes; making them more flexible, robust, and easier to run/debug.
Federal Reserve Bank of St. Louis
January 2004 - January 2006
- Contributed to memos and presentations on current economic / monetary policy issues and financial conditions for FOMC briefings and Federal Reserve publications.
- Co-authored "The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market" Forthcoming in the Journal of Financial and Quantitative Analysis.
- Manipulated and summarized high-frequency options, futures, and foreign exchange data in SAS and GAUSS.
- Used R to 1) estimate implied forward rates, and 2) determine optimal regression lag structure.
- Acquired and manipulated data from multiple sources (e.g. Haver, CME, TickData).
Portfolio Manager Assistant
TIAA-CREF Trust Company
June 2002 - December 2003
- Used Excel/VB to include non-traditional asset classes in asset allocation optimization tool.
- Conducted statistical portfolio analytics (risk/return, pro forma, tracking error) for client presentations.
- Automated portfolio rebalancing ticket generator in Excel/VB and recommended portfolio allocations.
B.S. / M.A., Economics
University of Missouri-Saint Louis
1999 - 2005
Mathematics Minor - calculus series, linear algebra
Finance Minor - accounting, corporate finance, investments
- Simon Kuznets Essay Award - 2002
- Elizabeth M. Clayton Memorial Scholarship
- Focus on applied and time-series econometrics
Activities and Societies
- Omicron Delta Epsilon - International Economics Honor Society
- National Association for Business Economics
- Presented at University Missouri-St. Louis Undergraduate Research Symposium