Resume of Lev Selector, Ph.D. - updated March 19, 2010

click here to open MS Word version

Tel: 212-795-3979 home (New York),
Email: selector AT pipeline.com
Web: www.selectorweb.com

SUMMARY:

- Experienced Programmer / Analyst.
- Ph.D. in mathematical modeling and computer simulations.
- More than 10 years of working with financial data on Wall Street including trading support, high-frequency real-time systems, analytics, databases/ETL.

TECHNICAL SKILLS:

- Programming: Unix, Perl, C/C++, Excel VBA, Sql, algorithms (also Java, C#, Visual Basic, Javascript, Actionscript, web applications, cgi, xml, json).

- Mathematics & Finance: advanced calculus, probability & statistics, stochastic differential equations, diffusions, martingales, Feynman-Kac, Girsanov, Ito, Black-Scholes, Vasicek, time series analysis, value at risk, dynamic hedging, risk-neutral valuation, option pricing, implied volatility surfaces, optimization, Monte Carlo simulations, numerical methods.

PROFESSIONAL EXPERIENCE:

2009 - WorldQuant, LLC. Trading Assistant for algorithmic trading systems.
Technoligies: 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 PnL 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. Consultant at Equity Financing. Migration of perl/java jobs from Sybase to MS SQL Server. Analytics - implied volatility surfaces calculations. Data cleaning, Black-Scholes model, option pricing. Technologies: Unix, Perl, C++, Java, Sybase, MS SQL Server.

2007-2008 - HSBC. Consultant. Asset Management Group. Trading support: trade feeds & 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. Consultant. 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. Mathematical modeling of dynamics of organic molecules.

1981-1991 National Cardiology Research Center, Moscow, Russia.
- Real time data acquisition and computer processing in neuro-physiological experiments. Semi-automatic pattern recognition and categorizing of data. Computer simulations. Hardware and software design of medical equipment.

EDUCATION:

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 & 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;
- Advanced Excel for Financial Applications;
- Java 2 (Sun);

REFERENCES: Available upon request