Research Analyst

Risk and quantitative analysis of multi-asset quantitative funds

Presented on a weekly basis to an average of fifty society members over current market conditions and economic events Implemented a system of student-led classes to provide members with the opportunity to develop quantitative, programming and finance skills and knowledgeManaged and coordinated a team to create a promotional video to improve recruitment and increase alumni donationsFacebookhttps://www.facebook.com/theinvestmentsociety/Websitehttps://theinvestmentsociety.com/

Established a framework to monitor bond market trading activity using R and Wharton’s TRACE dataset to examine the distribution of market impact of individual transactions during volatile and non-volatile market scenariosAutomated the Trading & Liquidity Strategies group’s weekly counterparty risk report using Excel VBA and MATLABProgrammed data visualization solutions with R to simplify performance data; which improved decision making and identified performance gaps

Developed a ranking model using regression analysis to assess investment opportunities in 400+ companies of the Banking and Technology Services sectors using metrics of profitability, risk and valuationConstructed a paper portfolio with a YTD return of 12% by approximating the probability of stock price movements using Monte Carlo Simulation, MS Excel and VBAInstructed introductory courses in Excel VBA, R and SQL to seven students and one university professor

StudyOnBoard is a powerful collaborative environment, built over “boards” which act as digital paper. Students can pull in PDFs, or work from scratch; they can write equations, make diagrams, type, and more. It’s built using vector graphics, which gives it a large advantage over Paint-esque tools, and this is necessary for formatting, editing, and exporting. Everything is saved on the cloud.There is an equal focus on collaboration. If a student shares the board, they can work with their peers in real-time. We have chat and audio built right in too, so those who join can work together just as though they were in person.From a student point-of-view, StudyOnBoard makes work accessible from any device, highly shareable, and allows them to move their study room and workflow—online.

Developed a replication of the Fama-French Three-Factor model and Carhart Four-Factor model for stock valuation utilizing SAS and STATAConducted a literary review of twenty research papers from academic journals to determine the quantitative factors currently used by researchers to explain stock returnsResearched and developed a Four-Factor model by quantifying the popularity of stocks in the S&P 500 using Google SVI tool and exploring its effects on equity returns when added to the Capital Asset Pricing Model and the Fama-French Three-Factor model