Resume of Lev Selector, Ph.D.
click here to open MS Word version
LEV SELECTOR, Ph.D.
Phone: 212-795-3979 home (New York)
- Experienced analyst / programmer with more than ten years of experience working with financial data on Wall Street, including analytics, databases, data feeds, real-time algorithmic trading, high-volume calculations, web applications, report design and generation.
- Ph.D. in mathematical modeling and computer simulations.
- Mathematics and Finance: Ph.D. (Math. Modeling), advanced calculus, probability and statistics, time series analysis, numerical methods, risk-neutral pricing, stochastic differential equations.
May 2012 - Present - Appnexus.com, Consultant, Financial Analytics.
Analytics for web RTB (Real Time Bidding) systems. Technologies: Linux, Python, Pandas, Vertica, Mysql, svn.
- Wrote more than four thousand lines of compact structured python/pandas code to automate monthly billing process: getting data from multiple sources (Vertica & MySQL databases, Excel and CSV files), doing different kind of data processing (filtering, aggregation, sorting, pivoting), and producing invoice- and revenue- reports in Excel format. Code includes procedures for automatic backtesting and regression testing.
April 2010 – April 2012 – JPMorgan Chase & Co., Investment Banking, Consultant
Mortgage Analytics (Structured Products Group). Technologies: Unix/Linux, C/C++, Perl, Python, Sybase, Excel VBA.
- Played a key role in migrating legacy C++ calculators (Fixed Income MBS) across data centers. Personally fixed and migrated ~100 applications, including old C/C++ applications, batch jobs, scripts used by researchers, and web applications. Wrote multiple Perl modules and applications (data feeds, utilities, monitoring, docs-builder system) to both help the migration and to streamline the nightly batch processes.
- Migrated legacy (20 years old) applications from 32 bit to 64 bit, converted old C code to C++, cleaned a lot of code.
- Instrumented analytical calculators to measure cpu time, instrument ids and categories, etc. These metrics would later be used to generate reports to identify how the resources were allocated.
- Developed Excel VBA applications (to automate regression testing, and to use Excel as a front-end for C++ calculations).
2009 - WorldQuant, LLC. Trading Assistant for algorithmic trading systems
Technologies: Unix, Perl, C++, MySQL, Excel VBA.
- Trading support. Created and monitored performance of new strategies. Created monitoring tools. Used parameters such as position similarity, fillrate, imbalance, PnL, draw-down, sharpe ratio, slippage measure, etc. Resized strategies as needed.
- Ran simulations to back-test strategies.
- Misc. routine tasks: fixing errors related to corporate actions or recalled locates, reconciling P&L and trades, investigating and fixing PnL problems, booking trades using weighted split between many strategies, investigating trading problems on requests from compliance department, generating custom reports (PnL, crossing, commissions, correlations between strategies, exposure (currency, etc.) – per trader, group, country, annualized, etc.), setting up hedging, setting up and monitoring futures’ rollover.
2009 - Citigroup. Equity Financing. Consultant
Migration of perl/java jobs from Sybase to MS SQL Server. Data cleaning. Analytics migration and testing. Technologies: Unix, Perl, C++, Java, Sybase, MS SQL Server.
2007-2008 - HSBC. Asset Management Group. Consultant
Trading support: trade feeds and reports. PnL and risk reports. Analytics. Technologies: Perl, Sybase 12.5, Oracle, Windows Server 2003, Control-M.
2006-2007 - Merrill Lynch. Consultant
EFS project (Enterprise File System). Responsible for EFS operations. Technologies: Unix, Perl, C/C++, Oracle, Sybase, NAS filers, NFS.
2005-2006 - JPMorgan Chase. Consultant
Joint Distribution System (JDS). Database architecture, ETL, database performance tuning, automation of testing/deployment. Technologies: Unix, Perl, Java, Sybase.
2004-2005 - CSFB, Prime Services. Programmer
Data Warehouse development and support. Products, pricing, risk, PnL. Technologies: Perl, shell scripts, Sybase, CGI, Java servlets / Weblogic server.
2000-2003 - Goldman Sachs. FICC (Fixed Income Currencies and Commodities). Consultant
Development and maintaining of the OE (Organizational Entities) system – a web-based application with database of all FICC clients, their accounts, business interests, people and contact information. Technologies: Unix, Perl, C++, Java, Sybase, DB2, Informatica.
2000 - Morgan Stanley. Consultant
Web application for portfolio management. Technologies: Unix, Perl, Java, Sybase.
1999-2000 Cantor Fitzgerald / Espeed. Programmer
Distributed Trading System (DTS). Added history system and deployment system. Created documentation website. Technologies: Perl, mod_perl / cgi, Java, Sybase.
1998-1999 Waterhouse Securities. Programmer
Development of online brokerage website. Technologies: Unix, Perl/cgi, web-design, Oracle.
1994-1998 Infolink International, Inc. Project Lead
Web design for Business Clients. Technologies: Unix, Perl, HTML, Adobe Photoshop.
1991-1994 Columbia University. Staff Associate
Mathematical modeling of dynamics of organic molecules. Programs were written in C and distributed to several unix computers in different labs, operations were controlled from one desktop Macintosh computer, results were fed from unix to Mac, custom programs (Mac C++ and IGOR software ) were used to automatically process the results.
1981-1991 National Cardiology Research Center, Moscow, Russia. Researcher
- Real time data acquisition and computer processing in neuro-physiological experiments.
- Semi-automatic pattern recognition and categorizing of data. Computer simulations of nerve impulse generation and propagation along C-fibers. Partial differential equations, Hodgkin-Huxley model, Crank-Nicolson method, modified Runge–Kutta method.
- Hardware and software design of medical equipment.
- 1988 Ph.D. in Biophysics (computer simulation of nervous coding), Graduate School of Moscow Physics and Technology Institute.
- 1981 MS in Electronics and Automation from Moscow Physics and Technology Institute.( www.mipt.ru ), Majors in computers, electronics and biophysics, Diploma - computer simulation of nerve activity.
LICENSES, CERTIFICATIONS, COURSES:
- SEC Registered Representative ( Series 7, Series 63 );
- CQF ( Certificate in Quantitative Finance 6-month course )
- Advanced Object Oriented Perl (by Damian Conway);
- C++ for Quantitative Finance;
- Python Pandas
- Advanced Excel for Financial Applications;
- Java 2 (Sun);
REFERENCES: Available upon request