Michael Nowotny Email & Phone Number

Los Angeles, Ca, Us

Krypton is a fully decentralized crypto trading protocol that is resistant to miner extractable value (MEV), front-running, and adverse selection based on short-term information advantages.

Us

Research into economically efficient exchange design, blockchain technology, and smart contract development

- Successfully raised $2.2M in venture capital as a co-founder- Conceptualized a comprehensive risk management approach based to guarantee probabilistic stability of the protocol, determine liquidation boundaries, and set pricing of positional imbalance- Developed agent based research simulation and analysis framework

Conceptualized and developed a stat of the art Python software package for probabilistic programming with continuous-time processes that enables building arbitrary vector valued jump-diffusions from basic lego-like blocks for use in derivative valuation, dynamic asset allocation, and risk-management.The Python software library features the following:• Symbolic and numeric SDEs.• Automatic construction of Malliavin derivatives.• Automatic Monte-Carlo simulation using first and second order discretization schemes with GPU support.• Monte-Carlo based algorithm to solve dynamic asset allocation problems via the martingale method.• Automatic computation of symbolic and numeric mixed integer moments for affine and quadratic jump-diffusions.• Automatic computation of the conditional characteristic function of the transition density via adaptive time-stepping methods for affine and quadratic jump diffusions.• Efficient numerical integration using adaptive Gauss-Kronrod schemes for parallel computations of a panel of derivatives on the same underlying security.• Flexible combination of symbolic and numeric multivariate probability distributions for the construction of jump-size distributions.

Newport Beach, California, Us

• Leading the development of a modern research automation and research backtesting framework in Python.• Invented rational performance measures that account for the complete spectrum of statistical moments of the return distribution.• Conducting research on the half-life of cross-sectional equity signals• Conducting research on detection of backtest overfitting • Created a statistical resampling package in Python that features bootstrap routines for both i.i.d. data as well as dependent data (e.g. time-series) including algorithms for optimal block length selection.

Boston, Ma, Us

Member of the Mathematical Finance GroupBusiness School Teaching:- FE 445: Investment Analysis and Portfolio Management (Undergraduate), Instructor Rating: 4.81/5.0- MF 730: Portfolio Theory (Mathematical Finance Masters Program), Instructor Rating: 4.47/5.0Committee Membership: Mathematical Finance Program Development Committee

Los Angeles, Ca, Us

Teaching Assistant in the Fully Employed MBA Program:- Spring 2010: "MGMT 408: Securities Markets and Investments" (Professor Hanno Lustig)- Spring 2010: "MGMT 430: Corporate Finance" (Professor Geoffrey Tate)- Spring 2008: "MGMT 408: Securities Markets and Investments" (Professor Mark S. Grinblatt)Held TA sessions and office hours. Developed lecture notes, exercises, quizzes, and exam questions.

Los Angeles, Ca, Us

Developed and taught the 2 week block course "Matlab in Financial Engineering" for incoming students in the Master of Financial Engineering (MFE) programInstructor Rating 4.56 out of 5.0

Extended core functionality of Brain International’s software technology by developing the middleware that leveraged their existing legacy IBM AS/400 Enterprise Resource Planning (ERP) system for modern ecommerce and enterprise integration.Conceptualized and built the first web frontend and ecommerce platform for Brain International’s legacy AS/400 based Enterprise Resource Planning (ERP) system XPPS. The application was based on Java technologies and enabled customers to build web shops using their existing hard- and software infrastructure. Main developer on a pilot project, deploying an e-business solution for an existing client of the legacy AS/400 based system.Brain International AG was a German software company that developed enterprise resource planning (ERP) software for mid-sized business.

Ph.D., Finance

Diplom, Economics