Software Data

Jeffrey Wong

Contact Phone: 650-***-****

Information E-mail: abo09b@r.postjobfree.com

EducationMS, Statistics, Jan 2011 - PresentBA, Economics, Sept 2007 - June 2011BS, Math &

Computational Science, Sept 2007 - June 2011Stanford University, Stanford, CA

Coursework includes: PhD series in Statistical Learning, PhD series in Applied Statis-

tics, Machine Learning, Parallel Programming, Time Series Analysis, Mathematical

Programming, Real Analysis, Applied Matrix Theory, Financial Mathematics

Portfolio http://stanford.edu/~jeffwong

Research Scientific Computing, Big Data Analysis, Game Theory, Algorithms and

Optimization,

Interests Graph Theory, Strategy and Tactics, Machine Learning, Statistical Learning

Programming General Languages: C, C++, C#, CUDA, Microsoft XNA, Java, LaTeX

Computational Languages: R, MATLAB, Python: numpy & scipy

Other: Hadoop, Cascading

Research Stanford University, Stanford, CA

Experience

Department of Electrical Engineering,

Civil & Environmental Engineering: Research AssistantJan 2011 to Present

Focus on data mining energy demand profiles and developing software infrastructure

for new research lab. Development of tsclust and fastVAR, R packages to handle time

series clustering and large scale VAR estimation. Developed a computing cluster for

research lab, and built software infrastructure to ease the analysis of a 80 GB dataset

for other team members.

Department of Mathematics: Research AssistantApril 2010 to Oct 2010

Using NVIDIA CUDA language to develop a parallel eigenvalue decomposition al-

gorithm for sparse matrices. Wrote a random matrix generator, parallel algorithm

for sparse matrix-vector multiplication, and implemented the Lanczos method for

eigenvalue decomposition on the GPU.

Work Apple:

Advanced Computational Group, Portland, OR

Experience

InternJune 2012 to Sept 2012

High performance computing in Apple's Advanced Computational Group under Dr.

Richard Crandall.

WeatherBill, San Francisco, CA

Math InternJuly 2011 to Sept 2011

Development of a large scale vector autoregressive time series estimator that runs in

the cloud. Produced with Hadoop, Cascading and Python. Built to handle hundreds

of thousands of time series that do not fit into memory. Implemented distributed

gradient descent that is capable of minimizing any differentiable objective function.

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Belvedere Trading,

Chicago, IL

Software DeveloperJune 2011 to July 2011

Develop tools for algorithmic trading. During the academic year I developed RFi-

nance, an R package to do financial analysis, including Black Scholes option pricing,

the minimum variance portfolio, and a backtesting engine to measure the perfor-

mance of different trading strategies.Cisco Systems, San Jose, CA

Software DeveloperJune 2010 to Sept 2010

Cisco Choice intern in Physical Security. Designed and produced an automated

policy engine which intelligently scans a physical system for certain security condi-

tions, searches those conditions in a graph, and takes appropriate actions. Policy

Engine is highly optimized and parallelized. Wrote graph algorithms for connecting

a cluster of cameras and used the graph for shortest escape paths and optimizing

the deployment of a smart video search algorithm. Two patents pending.

Teaching Illahee Middle School, Federal Way, WA

Experience

Program DirectorSept 2006 to June 2007

Pioneered a new math class focusing on problem solving skills, mathematical intu-

ition, and creativity in math. Proposed course outline to school principal and school

district administrators.

InstructorSept 2006 to June 2007

Lead instructor for new math olympiad problem solving class. Wrote a new math

textbook and accompanying workbook focusing on math olympiad topics. Taught

two classes of 22 students everyday for the 2006-2007 school year.

Math Team CoachSept 2006 to June 2007

Created and coached a new afterschool math team of 100+ students. Team qualified

for MATHCOUNTS state competition in 2007.

Stanford University, Stanford, CA

Statistical Consulting Jan 2011 to Present

Consultant for the free Statistical Consulting service sponsored by the Department

of Statistics. Hold o ce hours every week where clients can drop-in and ask ques-

tions about experimental design, models, computational problems, data analysis,

and interpretation.

Education Program for Gifted Youth June 2008 to Aug 2008

Residential counselor and teaching assistant for number theory and math olympiad

problem solving. Lead a three hour section everyday for gifted high school students.

Awards Edmund F. Maxwell Scholar

Raytheon MathMovesU

Software R Packages

tsclust

GPU accelerated time series clustering using dynamic time warping. CUDA imple-

mentations of kmeans, kNN and hierarchical clustering.

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fastVAR

Fast implementations for vector autoregressive estimation with exogenous inputs.

Diagnostics and prediction functions are available, as well as functions to use lasso

penalty for very large systems. Public Hadoop application to appear on Opani soon.

imputation

Missing data imputation using SVD, kNN, and SVT.

RFinance

Financial analysis including Black Scholes option pricing, minimum variance portfo-

lio, and a backtesting engine to test the performance of different trading strategies.

Plot the volatility smile and surface.

OptimalTrading

Extension for RFinance. Given a utility function, uses quadratic programming to

maximize returns while constraining risk. Given historic data, finds the optimal

trading strategy and allows users to benchmark their trading strategy. Uses the

apriori algorithm to find trading rules, e.g. buy X whenever you buy Y.

LargeRegression

Fast technique to solving large least squares problem using OLS and L2 normaliza-

tion.

MatrixBlockInverse

Fast technique to inverting a large matrix. Performs faster than the native R func-

tions. Functions provided for GPU acceleration for extremely fast performance.

Python Modules

mtsdb

Extracts time series data from a MySQL database, preprocesses it, and formats it

into a well constructed multivariate time series matrix. Used when analysis requires

studying multiple time series during the same time period and on the same time

scale.

Miscellaneous

PredatorPrey

Simulation for a pursuit evasion algorithm. Players are either predators, or prey,

which move on a 2D tile engine. Predators pursue prey, while prey attempt to get

to an exit and evade predators. Uses Java concurrency and graph algorithms.

BattleFieldChaos

Combat engine for an RPG game using Microsoft XNA.

Papers In Progress

GPU Accelerated Time Series Clustering using Dynamic Time Warping

RFinance: A Free Financial Analytics Tool

Projects In Progress

Data Driven Trading

Financial analytics platform. Developing a suite of software to help amateur in-

vestors become better informed about their investments. Want to bring tools only

available to hedge funds to small investors. Real time analysis of the markets, data

visualization, portfolio analytics, backtesting engine, time series models.

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Rescue MAVs

Cooperative AI for micro air vehicles that will serve as support in search and rescue

missions. Programming intelligent team-based search algorithms.

Energy Analytics Dashboard

Developing a web app to help illustrate energy usage. Backend uses MySQL server,

frontend uses javascript and D3 for visualizations.

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