www.mckay-brothers.com

Ran a high frequency trading group at Ronin Capital.• Conceived of a novel trade, implemented it, and was demonstrably the only group engaging in this trade for 3 years. During this period, had Sharpe ratio >15 and often traded >1% of S&P futures volume.• Recruited and managed an outstanding team of team of 3 developers, 1 quant and 1 quant-trader.• Traded the system for 5 years. Managed risk, picked parameters, analyzed performance, enhanced algorithm.• Managed the software development. The entire trading system was built from scratch in 1 year, including OMS, DMA, algorithm, etc. I spec'd all aspects, architected some, developed a few, code reviewed most, and tested everything.• Managed QA. Implemented QA process including code quality tools and four levels of testing. In 5 years of trading, we never had a negative P&L day due to a software defect or operational issue.

Head of research• Directed the development of vol arb models, risk management strategy and statistical parameter estimation.• Directed the research and development of stat arb strategies.Other responsibilities• Actively traded the vol arb book and was involved in all aspects of risk management.• Had responsibility for the risk management system, tools, reports, etc.• Oversaw the development and testing of the automated delta hedging system.

• Performed derivative research in the Equity Derivatives Group• Created volatility arbitrage models.• Created models for pricing exotic options, convertible bonds, and credit risk.

• Co-authored book on electromagnetics entitled Photonic Crystals, Princeton University Press, 1995• Co-Inventor of four patents• Work on Photonic Crystals reviewed in Scientific American, 5/92; Science, 4/92.• 13 publications in refereed journals including Physical Review Letters, Applied Physics Letters, Optics Letters.• Invited talks at American Physical Society Meeting 3/93; the Optical Society Annual Meeting, 9/93, 9/91. Seminars at M.I.T. 11/93, 10/93; Harvard 11/92; Yale 6/91; Brown 12/93.