SUMMARY

Extensive experience and domain expertise in all aspects of equities and equity derivatives trading, technology, and analysis. Available for short-term and long term assignments for projects involving Reg SCI, market access rule15c3-5, smart order routing, EMS vendor selection, cross-asset derivatives, quality assurance, data science and more. NFA arbitrator.

EXPERTISE

Trading & Software Consultant
Equity Derivatives Trading, Technology and Analysis
Multi-Asset Execution Management Systems (EMS) - Vendor Selection
Smart Order Routing - Options & Equities

PROFESSIONAL EXPERIENCE

AK Financial Engineering Consultants, LLC , New York, NY 2013 -

President

Smart Order Routing - Options
Smart Order Routing - Equities
Market Access Rule - 15c3-5
Reg SCI
EMS Vendor Selection
Cross Asset Derivatives: Algorithms, Design, Implementation
Quality Assurance
Data Science
NFA Arbitrator
Trade Execution
Expert Testimony

FlexTrade Systems Inc. , Great Neck, NY 2002 - 2013

Director, Quantitative Trading Strategies, Equity Derivatives

Analysis, design, implementation, and deployment of multi-asset algorithmic trading modules for algorithmic trading system for hedge-funds, broker-dealers and investment management firms.
Analyzed, designed and implemented strategies for options and warrants trading (volatility, dispersion, spreads, hedging, contingent orders), ADR arbitrage, risk-arbitrage, convertible bonds, VWAP, ETF market-making, index-arbitrage, portfolio liquidation, and program trading.
Assisted clients in specification and implementation of algorithmic trading strategies.
Conducted pre-sales presentations. Conference speaker; Educator; Author.

Sengent.com, Boca Raton, Florida & New York, NY 2000 - 2001

Director, Quantitative Development

Architected, specified, and designed an automated personal financial advisor. Developed selection criteria to categorize investors by risk profiles. Created portfolios consisting of a passive index/ETF component and an active stock selection component.
Developed statistical arbitrage models based on Arbitrage Pricing Theory (APT). Calculated principal components and performed statistical regressions to determine how the derived factors explain stock returns. Back-tested models.

N & T Associates, LLC, New York, NY & Minneapolis, MN 1999 - 2000 & 2001 - 2002

Consultant

Conducted statistical arbitrage research. Back-tested models to validate performance. Analyzed transaction costs and slippage. Wrote proposals for hedge fund investment.
Retained as consultant to a large Minnesota-based hedge fund seeking to profit from index arbitrage and to hedge its options positions using stock baskets. Examined, selected, and integrated external algorithmic trade execution system.
Retained by a private investor to analyze and validate signal-based stock trading model.

D. E. Shaw & CO., New York, NY 1995 - 1999

Vice President, Trader and Manager

Founded index arbitrage group. Hired and supervised traders and programmers. Managed index portfolios. Developed algorithms and design specifications for cutting-edge trading system. Negotiated with clearing firm to reduce financing costs.
Traded statistical arbitrage, agency baskets, pairs, and individual stocks. Executed VWAP and contingent orders.
Designed specifications for automation of pairs-trading execution. Applied limit-order-working expertise to obtain best execution for contingent orders.
Utilized futures and options trading expertise to hedge portfolios when committing capital.

Bear, Stearns , New York, NY 1993 - 1994

Associate Director, Trader

Managed index portfolios.
Specified trading analytics and algorithms for index arbitrage system.
Traded index options, index futures, and equities.

Nomura Securities International, Inc. , New York, NY 1990 - 1993

Vice President, Trader - Equity Derivatives Department

Promoted to senior trader and managed a $2 billion book, $10 million annual revenue, with a return on regulatory capital greater than 20% per annum.
Directed software development team in creation of program trading and index arbitrage systems. Wrote trading specifications and designed efficient algorithms to meet real-time trading requirements.
Developed a derivatives trading book. Managed highly profitable derivatives portfolio.
Traded US and international futures and options.

Salomon Brothers , New York, NY 1987 - 1990

Vice President, Trader - 1990

Promoted to derivatives trader. Traded option spreads and options/futures arbitrage. Used quantitative skills to price derivatives.

Project Manager - Advanced Technology Department - 1987-1989

Working with senior traders, designed and lead development team for algorithmic program-trading system, which enabled Salomon to expand program trading and index arbitrage businesses.

EDUCATION

MS, Computer Science, Stanford University, 1987

MBA, Finance, University of California, Berkeley, 1983

MS, Nuclear Engineering, University of California, Berkeley, 1979

BS, Nuclear Engineering, SUNY, Buffalo, 1978

COMPUTER SKILLS

UNIX, Linux, C, awk, MatLab, Windows, C++, FIX, Java, Windows, Excel

PUBLICATIONS

Options Algorithms and Algorithmic Trading of Options, Trading, Fall 2008

ETF Best Execution, ETF & Indexing, Fall 2009

TEACHING

Nuclear Reactor Physics, General Electric, 1981-1984

Programming, Stanford University, Computer Science, 1986

UNIX Network Programming, NYU, 1994

Options and Derivatives, Nomura Securities, 1990-1993

High School Mathematics, NYC public schools, 2001

Equity Derivatives Trading, FlexTrade, 2005-2010