Consulting: Head Data Scientist, Alternatives Asset Management Firm ($60 bn AUM), Chicago Oct 2020–Nov 2021• Modeled, explained, and deployed new firm-wide fund alpha predictions and rankings.• New fund ranking model yielded 120 bp (21 bp std error) higher out-of-sample returns vs old rankings.• Changed firm-wide historical alpha models (equity, credit) to be stable and economically-sensible.• Built system to retrieve, process, analyze, and aggregate noisy regulatory text filings.• Combined information to augment firm data, decompose alpha, focus on value, and avoid drag.Trading: Futures Jan 2018–June 2020• Trade signal-based short-term Eurodollar strategy based on research and backtesting• Built and traded risk-anticipating Eurodollar market-making strategy• Coded strategies in TT ADL to enable colocation and microsecond-level response times• Reduced trading costs via lease of IMM 106D seat on CME• Commissioned creation of research infrastructure on AWS with Athena for querying• Oversaw research data population: evaluation, purchase, ingest, checking, and aggregation• Managed three summer interns including incentivizing, mentoring, and listening• Advised interns on researching short-term FX futures strategy

• Proprietary trading Firm, Chicago:-- Designed and built infrastructure to research and backtest short-term futures strategies.-- Modeled STIRs futures strategies returns and risk using Python and R.-- Backtested STIRs strategies to assess entry, exit, performance. (Sharpe ratios: 2-6).• Intelligence Advanced Research Projects Activity (IARPA, MATCHES), Washington DC:-- Subject matter expert on statistics, finance and trading for intelligence community projects.-- Critiqued projects to encourage early success, discourage later problems.-- Demonstrated ability to predict critical non-financial information using financial data.• Multi-Strategy Proprietary Trading Firm, Chicago:-- Designed and taught short course on financial data analysis.• Legal Team for Large Pharmaceutical Firm, Chicago:-- Advised on statistical tests of comparative drug efficacy.-- Rebuffed attempts to skew results or use questionable statistical methods.

• Taught quantitative investments (using R and real data) in the Masters of Financial Engineering and Finance programs• Advised and guided project analyzing Treasury bond futures bases

• Taught quantitative investments (using R and real data) in the Masters of Finance program

• Taught Introduction to Investments and Investments.• Developed and taught completely new market-oriented courses:-- Market Microstructure and Electronic Trading;-- Commodities, Energy, and Related Markets; and,-- Financial Innovation: Microfinance.• Courses taught students to analyze real data:-- assessed risk and explore risk factors across fixed income, equities, and commodities;-- modeled evolution of corn-crush, crack spreads vs time, price levels, and feedstock changes-- analyzed market quality, liquidity, and effects of government intervention;-- valued peaker plant and simple refineries (ethanol, petroleum) under various market dynamics and regimes; and,-- predicted petroleum industry profitability from various crack spread models.• Researched:-- Effects of central clearing during distress;-- Interplay of market liquidity and funding liquidity;-- Effects of transaction taxes on market quality;-- Link between market efficiency and allocative efficiency.• Presented research on financial distress and market microstructure at central banks, universities, and conferences.• Published in the Journal of Financial Econometrics and Journal of Empirical Finance.

• Automated data gathering and computed analytics to estimate robust mean-reversion alphas.• Managed trade entry and exit of $22k ($18k long, $4k cash) 6x6 name long-short equity portfolio.• Hedged with ETFs.• Made 23% return (despite 18% cash); daily P&L volatility of 1.4%; Sharpe ratio of 1.04.• Had a ridiculous amount of fun seeing how to build a small quant system.• My trading was featured in the 18 May 2009 Barron's article "The Trouble With Transparency."

Proprietary trading and quantitative research.• Analyzed liquidity (visible and hidden) on ECNs.• Inferred liquidity and risk tolerances at competing market makers.• Estimated US and European price impact models using multiple models and data sources.• Ran (modeled and traded) proprietary liquidity-based strategy.• Modeled, traded, and managed risk for index inclusion strategy.• Received Series 7, 63, 55.

• Created equity derivative risk systems.• Coded basket swap trade structuring software.• Structured basket swaps to facilitate index arb strategy.• Synthetically shorted to yield robust hedging for Japanese warrants and convertible bonds.• Helped trade Japanese warrants.

• Wrote interprocess communication code to allocate trade bookings to clients.• Assisted outside consultant to ensure delivery of same-day settlement infrastructure.