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I build mathematical models of complex systems. Over the course of my career, I have worked in the fields of statistical physics, computational biology, and quantitative finance. Now I develop open-source scientific software to investigate fundamental problems in polymer physics.
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Strategic AdvisorSphereCalifornia, United States -
Principal EngineerTalos Mar 2023 - Jul 2024San Francisco Bay AreaBuilt portfolio optimization and risk management tools for digital assets. -
Chief Research OfficerD3X Systems Apr 2021 - Mar 2023Developed analytical tools and portfolio optimization technology for our quantitative investment platform.Joined Talos following their acquisition of D3X Systems. -
Visiting ScholarStanford University School Of Medicine Mar 2018 - Apr 2021Developed mathematical models and computer simulations of tumor evolution and therapeutic resistance. -
Managing PartnerTipplerow Consulting Llc Mar 2015 - Apr 2021San Francisco Bay AreaProvided proprietary research and development services to quantitative investment managers.
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Research AffiliateMassachusetts Institute Of Technology (Mit) Mar 2015 - Feb 2018Developed a mathematical model and computer simulation framework to study the production of HIV-neutralizing antibodies upon immunization, and used the modeling framework to predict optimal vaccination strategies. Proposed a principle of "optimal frustration" which identifies conditions most likely to promote the development of broadly-neutralizing antibodies and effective vaccines targeting HIV. -
Portfolio ManagerSensato Investors Aug 2009 - Mar 2015San Francisco Bay AreaCo-managed a multi-billion dollar international quantitative equity strategy.Recruited and supervised a team of four software engineers and quantitative analysts developing portfolio optimization and trading systems in Java and C++.Deployed cloud-computing infrastructure to provide massively parallel and scalable computational resources; translated existing algorithms into map-reduce formulations to take full advantage of the parallel architecture.Designed and built a compute-on-demand framework in R and Java to generate and store components of our mathematical investment model.Conducted extensive proprietary research to improve forecasts of equity return and covariance. -
Senior ResearcherMenta Capital Jan 2008 - Jul 2009San Francisco Bay AreaDeveloped proprietary equity factor models for portfolio construction and risk management.Designed and implemented an event-study framework to evaluate trading opportunities around earnings announcements and dividend payments. -
Senior Quantitative StrategistSac Capital Mar 2005 - Dec 2007Launched model-driven trading strategies for the European and Canadian equity markets.Created the computational infrastructure in Python and R to support quantitative investment processes including model generation, portfolio optimization, trade execution, risk management, and performance attribution.Formulated special portfolio construction techniques to incorporate information from a wide range of time scales into a unified investment strategy. -
Research OfficerBarclays Global Investors Jan 2001 - Mar 2005San Francisco Bay AreaDeveloped mixed-integer nonlinear portfolio optimization algorithms and software used to manage $200 billion in quantitative investment strategies.Created a framework to quantify investment capacity; published the model as a peer-reviewed article in the Journal of Portfolio Management.Developed a marginal utility model using dual values (reduced costs) to decompose optimal asset holdings into contributions from expected returns, transaction costs, and constraints.Designed and implemented Java and C++ class libraries used globally for portfolio optimization and analysis. -
Senior Research EngineerRapt Jul 2000 - Dec 2000San Francisco Bay AreaImplemented supply-chain optimization models in MATLAB for products with shared components and correlated demand. -
Financial EngineerIris Financial Oct 1997 - Jun 2000San Francisco Bay AreaDeveloped front-office trading systems in C++ for leading global investment banks.Designed and implemented a C++ class library of analytical tools to value financial instruments. -
System ArchitectSei Information Technology Jul 1996 - Sep 1997Greater Los Angeles AreaDeveloped client/server software systems in C and C++ on Unix platforms.
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Assistant ProfessorUniversity Of Southern California Sep 1993 - Jun 1996Greater Los Angeles AreaServed as a principal investigator directing five graduate students.Designed and coded large-scale Monte Carlo simulations of polymeric materials.Developed a unique, coarse-grained simulation model of polymer dynamics that is still actively used in the research community and cited in recent publications.Published 11 peer-reviewed articles in top-tier journals; presented 20 talks at international conferences.Created and taught a new graduate course covering Monte Carlo and molecular dynamics simulation methods.Taught graduate courses in applied mathematics for chemical engineers, undergraduate courses in transport phenomena and polymer science; earned an Outstanding Teaching Award from the School of Engineering.Incorporated undergraduates into my research program; one is currently a successful professor at a prestigious research university.
Scott Shaffer Skills
Scott Shaffer Education Details
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Chemical Engineering -
Chemical Engineering
Frequently Asked Questions about Scott Shaffer
What company does Scott Shaffer work for?
Scott Shaffer works for Sphere
What is Scott Shaffer's role at the current company?
Scott Shaffer's current role is Strategic Advisor.
What is Scott Shaffer's email address?
Scott Shaffer's email address is sc****@****ley.edu
What is Scott Shaffer's direct phone number?
Scott Shaffer's direct phone number is +161749*****
What schools did Scott Shaffer attend?
Scott Shaffer attended University Of California, Berkeley, Carnegie Mellon University.
What skills is Scott Shaffer known for?
Scott Shaffer has skills like R, Equities, Portfolio Management, Quantitative Finance, Portfolio Optimization, Hedge Funds, C++, Sql, Statistics, Python, Monte Carlo Simulation, Trading Strategies.
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Scott Shaffer
Spring, Tx2gmail.com, hpe.com -
Scott Shaffer
Columbus, Oh2aol.com, shafferdistributing.com5 +161442XXXXX
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Scott Shaffer
Nonprofit Executive Director | Community Development Leader | Advocate For Social Justice And Inclusion | Expertise In Fundraising And Grant WritingPittsburgh, Pa -
Scott Shaffer
Columbus, Ohio Metropolitan Area1accenture.com -
5us.ibm.com, ibm.com, gmail.com, hotmail.com, hover.to4 +172023XXXXX
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