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I am perhaps the world's leading authority on the statistics of the Sharpe ratio, and the Markowitz portfolio, and author of "The Sharpe Ratio: Statistics and Applications", published by CRC Press (2021).I solve hard problems in quantitative finance using math and statistics, via theory and experimentation. I specialize in building and testing quantitative trading systems and strategies using 'machine learning' and statistical techniques. I wrote and maintain a dozen R packages on CRAN for: testing portfolios, computing rolling sums, approximating and testing distributions, performing selective inference, creating recursive mazes, and discovering new cocktails.Keywords: Sharpe ratio, Markowitz portfolio, financial statistics, portfolio construction, regression, optimization, applied mathematics, quantitative investing, quantitative finance, quantitative research, machine learning, AI, hedge fund, CRAN, R programmer.
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Research EngineerHelm.Ai Oct 2023 - PresentRedwood City, California, Us -
Senior Research ScientistOpendoor Jul 2021 - Oct 2023San Francisco, California, Us -
Director, Senior Quantitative Financial AnalystBank Of America May 2016 - May 2021Charlotte, Nc, UsBuilt complex models for forecasting equity portfolio revenue, valuing REO properties, and forecasting losses and balances on consumer credit cards for CCAR stress-testing. -
Lead Data ScientistCorecast Sep 2015 - Mar 2016San Francisco, California, UsApplied quantitative techniques to optimize return on investment on a portfolioof film rights. Scraped and gathered data, architected databases, linked data from numerous sources, posed and answered research questions in the realm of film metrics. Built a model for green-lighting film projects based on historical performance. Used standard natural language processing techniques, graph theory, and linear algebra to cluster, compare, and analyze films. -
Quantitative StrategistCerebellum Capital, Inc Jul 2008 - Jul 2015UsDesigned and implemented backtest, execution, and research infrastructure in Matlab and C for a daily trading system on equities and volatility futures at a small quantitative hedge fund. Created, coded, and analyzed machine learning quantitative strategies. Devised methods to correct for overfit bias in the backtesting and strategy development process. Solved a wide range of prediction and analysis problems with a mix of statistical theory, experimentation, simulation, and production coding. -
PartnerJury Consultancy Partnership Nov 2013 - Oct 2014Performed various statistical analyses, including experimental design, stratified sampling, and regression analysis.
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Quantitative AnalystConvexus Advisors Jan 2007 - May 2008Refined, coded, and executed a technical trading system on U.S. equities at a boutique hedge fund. Developed and analyzed technical and fundamental models using kernel-based machine learning methods. Designed and implemented a backtesting simulator to evaluate trading models.
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Senior Research ScientistNellcor Jul 2005 - Dec 2006UsDevised methods for noninvasive estimation of blood analyte concentration. Successfully communicated highly technical information to nontechnical audiences, including attorneys and management. -
S. E. Warcharski Visiting Assistant ProfessorUc San Diego Sep 2003 - May 2005La Jolla, Ca, UsA teaching post-doc position. I continued research into mesh generation, using C++ and the CGAL library. Organizing committee for IMR conference.
Steven Pav Skills
Steven Pav Education Details
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Carnegie Mellon UniversityMathematics -
Indiana University BloomingtonMathematics
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Alfred UniversityCeramic Engineering Science
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Alfred UniversityMathematics
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HcssimMathematics
Frequently Asked Questions about Steven Pav
What company does Steven Pav work for?
Steven Pav works for Helm.ai
What is Steven Pav's role at the current company?
Steven Pav's current role is Math & Statistics Hacker.
What is Steven Pav's email address?
Steven Pav's email address is sh****@****ail.com
What schools did Steven Pav attend?
Steven Pav attended Carnegie Mellon University, Indiana University Bloomington, Alfred University, Alfred University, Hcssim.
What are some of Steven Pav's interests?
Steven Pav has interest in Education.
What skills is Steven Pav known for?
Steven Pav has skills like Matlab, Statistics, Portfolio Management, Research, Regression, Optimization, R, Equities, Futures Thinking, Online Social Networking, Financial Modeling, Linux.
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