Hedge Fund and Risk
• Automated Equities Trading System
Integrated proprietary position analysis technology into
a real-time trade order entry system (DOT). The system constructed a paired
portfolio of long and short positions. This portfolio was then analyzed
at frequent (1 minute to 1 day) intervals to determine what trades should
be done to maximize the projected return of the portfolio. The system tracked
trading strategy and performance and re-balanced based on user or system
controlled completion and synchronization parameters.
• Portfolio Optimization System
Designed and implemented the user interface to a complex factor analysis
model for portfolio evaluation and optimization. Provided the sales support
and user training required to implement the investment strategies developed
with the model.
• Options Analysis System
Designed, coded and documented a system to price options in the OTC and
Listed Treasury markets. System utilized a modified Black/Scholes option
pricing model to generate both prices and hedge ratios. The system also
included a market volatility analysis module.
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