Mark Promislow

** **** ***** ****

Edison, NJ ***20

732-***-****

acvxai@r.postjobfree.com

Professional Experience

Elevate Technology Solutions - New York, NY

January 2016-Present

Quantitative Analyst (Consultant)

Provided a quantitative review of risk analysis and rating methodologies for mortgage backed securities (RMBS, CMSB) and collateralized loan obligations (CLOs) to the Securities and Exchange Commission for their audits of Nationally Recognized Statistical Rating Organizations. Identified potential rating errors and data problems using machine learning, Gradient Boosting, Random Forests, and SVM analysis in R and Python.

Wrote Python scripts to automate web data extraction from financial websites. Manipulated data and analyzed rating files in Excel and Visual Basic.

Bloomberg - New York, NY

March 2013-November 2015

Senior Research and Development (Consultant)

Implemented and enhanced the functionality of the Bloomberg Terminal including developing both the user interface and server applications for reliably handling large volumes of user requests for financial data from multiple and diverse sources. Consideration was given on how to best thread the applications and cache data to reduce latency of both new and legacy code. The environment is one of rapidly changing requirements, tight deadlines, and large volumes of undocumented code.

Developed software in C++, Python, JavaScript, Fortran, SQL, and shell scripting on Solaris, AIX, and Linux utilizing Bloomberg’s extensive API's, databases, middle ware, and GIT source code control systems. Participated in scrums, design reviews, presentations, code reviews, and testing.

Banco Santander - New York, NY

May 2011-December 2012

Advanced Algorithm Development (Consultant)

Played a key role in building Banco Santander’s low latency trading platform and algorithms (POV, VWAP, TWAP, PAIRS and SNIPER) to access Latam markets (Brazil, Chile, and Mexico). Architected, developed, tested, and put into production the price feeds, FIX connectivity, order management, trading system, and trading algorithms. All components of the platform ran in a hot failover mode. The application sends and receives FIX messages and level II tick data. The application was in production within five months without a single bug. Stress tested to 10,000 orders per second per CPU.

Calculated daily expected volume, bid/ask spread, and price volatility curves used by the algorithms. Normalization, smoothing, and clustering techniques enabled stable curves to be generated using one day’s tick data. This was key for changes in exchange hours relative to US markets. To identify potential pair trades, I utilizing boot strapping and entropy limit methodologies to create correlation matrices of the relatively noisy quote prices.

Architected and developed an exchange simulator that receives Level II tick data. It could be used as a standalone application, accepting FIX connections, or integrated into a simulated trading system. After a configurable delay, simulated orders were added to the Level II book. The simulator published a Level I and Level II quote. The exchange simulator could run either in real time or from tick data files.

Architected and developed all components of a feed handler that connects to Bloomberg’s BPOD product and distributes Level I and Level II tick data to subscribing applications via TCP/IP sockets. Supports full feed and by subscription clients and provides exchange level tick data delay messages to alert applications of delayed data. Added a FIX FAST 5.0 interface. The application feed all production trading systems.

Wrote order routing and modification modules in JAVA for ULLINK’s UL Bridge FIX gateway and assisted with OATS reporting.

All applications that I designed were multithreaded, written in C++, and run on Solaris and Linux. The only APIs used were Bloomberg’s BPOD and Sybase’s CEP. Neither STL nor Boost were used in latency sensitive components.

Depository Trust & Clearing Corporation - New York, NY

May 2010-April 2011

Quantitative Risk Management (Consultant)

Played a key role in the design and validation of methods for pricing and risk assessment of bonds, Eurodollar and Treasury futures and their options for a Risk Management system. Made significant advances in the price cleansing process of Eurodollar and Treasury futures and options and improvements to the yield curve generation. Applications are written in C++, Excel VBA, and SQL. Implemented Black Scholes in VBA and C. Implemented SABR in C++.

Assisted in data analysis for liquidation studies, i.e. market impact and value at risk, VaR.

Part of a team performing user acceptance testing of a new risk management system for bonds, Eurodollar and Treasury futures and their options. The output of the system is a calculation of VaR.

Volant Trading LLC - New York, NY

May 2009-April 2010

Data Developer

Redeveloped the order book process improving performance by a factor of 24. The process received level 2 book messages from ARCA, BATS, ITCH, and OPRA and published the top of book messages. The OPRA price feed is multicast.

Developed software to receive top of book messages and publish the national best bid and offer for both stocks and options.

To support options market making and strategy back testing, I architected a stocks and options security master in MySql and implemented the applications to load and maintain the data. Applications were written in C++ on Linux.

Wrote Perl, Python, and shell scripts to download and process nightly files. Enhanced applications in C# to obtain stock prices and corporate actions through a Bloomberg API.

Banc of America Specialists - New York, NY

June 2006-April 2009

Portfolio Manager

Architected and delivered into production a high frequency, mean reversion, dollar neutral, equity trading strategy. No overnight positions. Sharpe Ratio of 22 and 92% up days. Has potential for expansion. Multiple feedback loops enabled the application to dynamically adjust to changing market conditions. Profitability was analyzed on a per trade basis. Written in C++, runs in Windows for simulation, Linux for production.

Developed programs and libraries for statistical analysis of market data and trading results. Combination of C++, SQL server, and Excel macros.

Developed programs to download TAQ market data files from a KDB server and interface with MarketQA for corporate actions. Database tables where updated with new quote and trade statistics for use in research and live trading. Classes for securities receive quotes from multiple exchanges, determine the BBO, identify bad quotes, provide quote and tick histories, and deal with corporate actions. Data histories combined with aggregator classes provide a low memory, CPU efficient mechanism for calculating rolling statistics of different durations and delays.

Back tested and performed post-trade analysis of hedging equity positions with futures.

Automated equity trading for ARCA Market-making desk. Developed/certified FIX connections.

Daiwa Securities - New York, NY

May 2004-June 2006

Quantitative Software Engineer

Architected and developed two profitable, dollar neutral, equity trading strategies. High frequency, mean reversion strategy generated 0.5 million per year with a book of 10 million, Sharpe Ratio of 4.1. Second strategy generated 1 million per year with a book of 20 million, Sharpe Ratio of 7.6.

Designed and developed fully automated trading applications that traded over 3,000 stocks at any given time. Multi-threaded application, written in C++ on Windows.

Developed programs and libraries for statistical analysis of market data and trading results. Combination of C++, SQL server, and Excel macros.

Architected, developed, and delivered a standalone VWAP application for the domestic equity trading desk. Developed FIX interface to existing in-house systems for the receipt of client orders and submission of orders. Reuters interface for market data. Written in C++ on Windows.

Designed/developed pre-trade, post-trade, and automated client reporting tools for the Japanese equity trading desk. These tools brought in new business revenues in excess of $20,000 per day. Written in Excel macros.

Orbitex - Paravane Partners, LLC - New York, NY

March 2002-December 2003

Managing Director – Chief Technology Officer

Followed my manager from Bank of New York and within two months, built a sell side trading infrastructure that enabled one person to trade over one million shares per day for over twenty different clients. Trading algorithms included, balanced portfolio trading, participation rate, pairs, and VWAP. Algorithms were written in C++ on UNIX and linked into FlexTrade.

Implemented pre-trade analytics, post-trade analytics, and numerous client reports. Most was written in Excel macros, C++, and shell scripts. Provided statistical market data research for clients.

Certified FIX connections, developed/certified OATS reporting, and automated trade reporting.

Performed FlexTrade administration, Unix administration, and database administration

BNY ESI & Co. - New York, NY

May 2000- March 2002

Technologist – Quantitative Equity Trading

Designed and enhanced the sell side desk’s automated trading strategies. Algorithms included VWAP, pairs trading, and small cap strategies. Less than 0.1 cent loss to VWAP over one year.

Developed applications to automate the receipt of trade files, generate client reports, and test trading strategies. Created a market data history and Security Master database.

Performed Solaris administration, FlexTrade administration, certified FIX connections.

Hands on manager of two people.

Credit Suisse/First Boston - New York, NY

June 1998-April 2000

Senior Programmer - Equity Technology

Enhanced trading system, real-time position servers, and back office applications. Increased trading system throughput by a factor of ten. Written in c on Unix.

Developed a X.25 CMS interface to the Pacific Exchange.

Architected and developed an application for parameter driven, real-time crossing, of internal order flow. Able to process in excess of 5,000 orders per second.

Systems/Link Corporation - Hightstown, NJ

May 1995-May 1998

Lead Software Engineer

Hands on manager of four software engineers.

Implemented an extremely reliable system for the real-time delivery of roaming cellular telephone call detail records for billing. Records were delivered to distributed applications for billing, fraud detection, and customer support. Record structure, field edits, batch edits, and audit information were all configured at run time. Written in C++ on Unix. Some multi-threaded applications.

Education

BS, Nuclear Engineering – with honors

North Carolina State University

MS, Electrical Computer Engineering

North Carolina State University (GPA 3.8)

Completed online class Data Analysis using R by Johns Hopkins University.

Completed online class Statistical Inference by Johns Hopkins University

Completed online class Regression Models by Johns Hopkins University.

Completed online class Practical Machine Learning by Johns Hopkins University.

Completed online class Interactive Programming in Python by Rice University.

Completed online class Heterogeneous Parallel Programming by University of Illinois.

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