Experience

Teza Technologies

• United States
• Capital Markets
• 1 - 100 Employee

• Director Quantitative Research and Developement

  • Aug 2018 - Present

  Infrastructure development: - market data, execution, high-performance analytics Research: - quantitative strategies Markets: - electronic trading (HFT) equities, derivatives, fixed-income Infrastructure development: - market data, execution, high-performance analytics Research: - quantitative strategies Markets: - electronic trading (HFT) equities, derivatives, fixed-income



Amherst

• United States
• Investment Management
• 400 - 500 Employee

• Senior Quantitative Developer

  • May 2015 - Aug 2018

  Researched and developed quantitative technologies for valuation and risk-management of fixed-income products and derivatives. Mentored and trained junior and advanced quants and developers. Built a term-structure modeling system which provides company-wide interest rate forecasts. Implemented stochastic multi-factor Libor Market Model (LMM/BGM) and its fast calibration. Provided daily oversight for the complete set of simulated forward rate paths used for all cash flow valuations across multiple business units. Architected and led development of the company supercomputer (~200 TFlops, blade servers and Intel Xeon Phi Series parallel cards). Built scalable system programming software: parallel job dispatcher, distributed caching database server and other critical infrastructure components for the supercomputer. Designed and implemented high-performance parallel algorithms for modeling and valuation of mortgage-backed securities (MBS): loan-level prepayments, pool-level aggregation, cash flow and other financial functions. Developed valuation models for the Commercial Real Estate (CRE/CMBS) products. Developed OAS valuation frameworks. Show less



Trimble AgileAssets

• Software Development
• 1 - 100 Employee

• Solutions Developer

  • Nov 2014 - May 2015

  Developed, integrated and customized technologies for large-scale enterprise information management systems (EIMS). Enhanced the architecture for the global industrial asset management company which delivers solutions for state, national and international infrastructure engineering and systems. Developed, integrated and customized technologies for large-scale enterprise information management systems (EIMS). Enhanced the architecture for the global industrial asset management company which delivers solutions for state, national and international infrastructure engineering and systems.



RGM Advisors, LLC

• United States
• Capital Markets
• 1 - 100 Employee

• Quant Researcher

  • Sep 2010 - Aug 2014

  Researched fundamentals of predictability of high-frequency (HFT) financial time series. Investigated statistical arbitrage, microstructure and other strategies for ultra-short, short and medium time scales. Developed and implemented advanced algorithms for signal selection and aggregation. Built automated process for signal generation and model back-testing and calibration to trade electronically the universe of all US and European exchange-traded futures contracts. Introduced advanced set of profit-additive trading signals for futures, options and equities completely new to the company. Show less



Interactive Brokers

• United States
• Financial Services
• 700 & Above Employee

• Senior Software Engineer

  • Mar 2008 - Sep 2010

  Developed the real-time risk margining services for hundreds of thousands options, futures and bond products offered on major world exchanges. Implemented efficient algorithms that calculate position margins using scenario-based risk-arrays (CME SPAN) methodology. Developed and built a fair-value futures pricing algorithm and a service allowing calculation of proper risk margins and positioning of bid/ask quotes for liquid and non-liquid contracts. Developed quantitative software for valuation of equity and futures options. Show less



Los Alamos National Laboratory

• United States
• Research Services
• 700 & Above Employee

• Technical Staff Member

  • Mar 1994 - Mar 2008

  Led the team of researchers and engineers in building and operating the LANL network security systems. Invented, developed and deployed unsupervised anomaly and change detection algorithms allowing real-time tracking and monitoring of anomalous events. Invented the heterogeneous network topology mapping algorithm (US Patent) that allowed fast automated mitigation of network security threats. The work received the LANL distinguished performance award and R&D100 nomination.Original developer of the TeleMed, the predecessor of the open-source OpenEMed. It was the prototype of the large (national-scale) distributed JAVA/CORBA health care information management system for patient records.Developed analytical and numerical algorithms for inverse density reconstruction and imaging (3D pre-stack migration) for massively parallel supercomputers: Cray-T3D(E) and Connection Machine-5 and 200.Investigated the strong plasma turbulence. Studied parametric instabilities for femto- and pico-second laser plasma interactions. Studied the Brillouin instability in relativistic plasmas. Developed analytic quasilinear diffusion models accounting for the kinetic effects and for non-Maxwellian distribution. Developed and implemented high-performance parallel codes for Particle-in-Cell (PIC) simulations. Show less

• Postdoctoral researcher

  • Jul 1992 - Mar 1994

  Studied physics of strong laser-plasma interactions. Developed and experimented with the novel parallel Particle-in-Cell simulation codes: 3D, absorbing borders, relativistic.



Metacerebra, Inc.

• Los Alamos, NM

• President, CEO, Founder

  • Mar 2000 - Dec 2007

  Private, small business, research company. Investigated performance of fundamental strategies for equities. Tested portfolio optimization techniques. Investigated econometric forecasting models. Private, small business, research company. Investigated performance of fundamental strategies for equities. Tested portfolio optimization techniques. Investigated econometric forecasting models.