Background

• 22 years experience in derivatives markets
• 15 years experience programming in C++ for valuation and trading of securities
• Managed a statistical arbitrage trading fund for 18 months
• wrote several FIX programs for execution of trades
• wrote suite of test to verify complience of custom built FIX engine, with FIX specification documents
• 2 years of experience writing low latency stock and option execution programs
• wrote ticker plant to store the entire universe of options listed in the OPRA feed
• wrote option valuation models for options market making
• wrote forecasting models for stocks for statistical arbitrage

Languages/Systems/Tools

• Languages: C/C++/C# STL Boost R/S+ Sql Fortran VB php
• Operating Systems: Windows, Linux
• Tools: FIX doxygen svn cvs mwc make Visual Studio Cygwin g++/gcc gdb gprof valgrind QuickFix Excel Xhtml Apache Time Series Analysis Regression Analysis ANOVA

• Wrote billing software with PHP, Mysql and Apache
• custom built Linux routers for company network with IPChains, dhcpd and bind
• Managed several other programmers and system administrators
• Negotiated deals with numerous clients

• wrote test suite of programs to verify that a custom built FIX engine complied with the official specifications
• wrote part of a code generator for writing C++ classes and functions from xml descriptions of the classes

• Wrote numerous low latency black box trading systems in C++
• Created Mysql database of all messages, which was used to monitor fills and execution latency
• Wrote a database to cache real time quotes from the OPRA and SIAC feeds
• Wrote numerous client / server applications using TCP connections to communicate between client and server
• Wrote numerous web interfaces to display data to clients
• Supervised the process of creating user friendly web interfaces which used Java-script
• Used the Boost multi-thread libraries for both Linux and Windows
• Used Make Project Creator from the Tao/Ace libraries to manage build systems on both Windows and Linux
• Wrote interfaces between unmanaged code and managed code for Windows libraries

• Prototyped real time data compression software to synchronize databases for interest rate swaps.
• Did histograms of message streams and data sets to estimate compression ratios of data sets and latencies of synchronizing data
• Worked with zlib, C++, Solaris, g++ for Solaris and Sun Studio

• Wrote software to convert raw price data for CBOT Agricultural options and store the implied volatilities and Greeks in a SQL database
• Wrote option valuation models from scratch in C++

• Wrote real time data compression systems in C++
• Used entropy compression algorithms
• Reduced bandwidth requirements for distributed databases by 65%
• Wrote interfaces between unmanaged code and managed code for Windows libraries

• Wrote a FIX client server program which cut commissions from about .75 cents/share to about .15 cents
• Wrote FIX interfaces to ARCHA, Penson and Spear Leads
• Managed 50,000 limit orders per day for stat arb strategy
• Used Quickfix, Linux, Windows, Excel VB, Watcom C++ and gnu C++

• Wrote and traded statistical arbitrage model
• Took money out of the market for 17 out of 18 months
• Used Linux, Windows, Excel VB, Watcom C++

• Wrote database to do accounting for bond and bond futures trades
• Wrote a database for charting and analyzing Eurodollar futures
• Worked with PostgreSQL, Watcom C++, Sybase MysqlAnywhere, Excel VBA, S+

• Worked with pairs trading models
• Worked with multi factor analysis for equities
• Worked with portfolio risk control algorithms
• Wrote software for testing long / short equity strategies
• Programmed principle component analysis models for large sets of stocks
• Used the Arnoldi method for calculating principle components of stock returns
• worked with Windows, Watcom C++, Microsoft C++

• Wrote software for testing futures trading strategies
• Programmed Monte Carlo simulations to estimate future draw-downs
• Programmed the Black Scholes model to model the prices of futures options
• Used regression analysis to forecast futures' prices

• Programmed binomial and multinomial models to value equity index options
• Programmed volatility surface models to price equity index options
• Programmed regressions for index and option valuations
• Created and programmed model for the Dollar Index
• Wrote algorithms which used Edgeworth Series to model the returns of stock indexes, and price options

Education
2009
BrainBench Master in C++ scored in 99th percentile
BrainBench Certified in Linux Administration scored in 92nd percentile
BrainBench Certified in Mysql

2009-2010
Florida Gulf Coast University
Took courses in assembly language and C#

1994-1997
Rochester Institute of Technology
-Took courses from the Masters program in Software Engineering
-Emphasis on Object Oriented Design
-Extensive work on software documentation

1983-1987 University of Chicago
B.A. with Department honors in Physics
Extensive course work with Economics and Mathematics