Adam Ratner Email & Phone Number

Chicago, Il, Us

Quantitative research of equity derivatives with an emphasis on the dynamics, decomposition, and dimensionality reduction of volatility surfacesMy work covers the entire spectrum of alpha signal generation including: reading modern academic literature, writing original research papers, rigorously testing novel research ideas with data and proper statistical methodology, productionizing research into our codebase (mostly Python), and developing informative visualization tools.

Chicago, Il, Us

● Produced PEAK6’s first-ever signal for the expected beta between at-the-forward implied volatility and underlier using stochastic volatility theory, statistical learning, and Python which is utilized by 20 traders to identify spot-vol correlation trades● Expanded PEAK6’s ability to price events into volatility surfaces by showing that abnormally shaped volatility curves observed around large events can be explained by modelling the stock’s return with intuitive mixture models● Compiled a 50-page easy to understand report covering over 35 years of academic research on modern volatility and option modeling as part of PEAK6’s development of new quantitative systematic volatility trading strategies

Chicago, Il, Us

● Pitched over 1500 trade ideas on mispriced single-stock option volatility, the majority of which were executed, thereby earning a position with a highly profitable team● Developed PEAK6’s first-ever volatility surface fitter by nonparametrically extracting risk-neutral distributions from option prices using convex optimization, regularization, linear algebra, calculus, and Python’s CVXOPT● Managed a profitable market-taking portfolio of hundreds of single-stock option volatility surfaces● Led the redevelopment of PEAK6’s 12-week trader coding course—which covers Python, SQL, Git, and internal proprietary libraries—in close collaboration with senior management and taught it to a class of 13 trading interns● Created an interactive term structure visualization tool with Python, Plotly, and SQL that was adopted by all 6 single-stock option desks to identify trades targeting mean reversion of event-censored implied volatility term structure

Chicago, Il, Us

● Built an implied volatility curve analyzer that identifies relatively mispriced options with Python and SQL that was utilized by PEAK6’s head traders and cofounder to add over $3,000,000 of notional exposure to their portfolios● Scored 100% on PEAK6’s derivatives theory test compared to an 83% maximum achieved by new trading associates● Designed and backtested statistical arbitrage equity pairs strategies as part of PEAK6’s foray into algorithmic trading

Chicago, Illinois, Us

● Identified hedges for over 125 closed-end funds by using linear regression models and economic intuition to find highly correlated exchange traded funds as part of RMB’s market neutral equity hedge fund trading strategy● Created an automated Excel workbook that forecasts index holdings, backtests dynamic portfolios, and performs sensitivity analysis as part of a profitable trading strategy for RMB's market neutral equity hedge fund● Researched the sensitivity to volatility of forecasted delta adjusted exposure for RMB's financials hedge fund by analyzing stock price scenario shocks with the Black-Scholes option pricing model● Automated the creation of 6 monthly portfolio analytics reports, which attracted a $5,000,000 investor to RMB, with Python programs that scrape and analyze data from prime brokerage websites before writing it to Excel workbooks

Evanston, Il, Us

● Collaborated with a team of 6 professors and 3 students to create a predictive statistical model for determining whether incoming students will succeed in introductory STEM courses at Northwestern University● Programmed several Microsoft Excel functions with VBA that organize and convert data into easily-analyzed form

● Profited $40,000 from an initial investment of $50 by gathering data, programming Monte Carlo simulations, and deriving probabilistic formulas to find and utilize imperfections in player run games of chance within an online game

Master Of Science - Ms, Statistics

Bachelor’S Degree, Mathematics, Statistics, And Economics

High School