Manager Management

Power-Quant.com:

Investigating new ways to leverage math, physics, and IT in the world of financial analysis.

631-***-****; **********@*****.***

Work Experience

•Edison Mission Marketing & Trading Jan 2011 - Present

Manager, Quantitative Analytics

Manager of Quant Desk.

Responsible for 5-member quant team (4 full-time reports).

Provides foundation for all modeling and analysis activity within Analytics.

Responsible for driving all technical work and R&D behind front office support of commercial business within EMMT.

Quant Desk customers include:

Fuels and Power Analytics (commodities analysis), Prop-Trading (FTRs, network congestion, power/gas options)

Merchant Asset Management (coal / gas partnerships), load serving, demand/response, renewables.

Development (wind siting, solar siting, PPA Valuation) and Origination

Designed and implemented EMMT’s Asset Valuation Model system (AVM):

Valuation engine for portfolio of EMMT assets (generation, load serving, options, etc.)

Engine presented through web-based front-end

Monte Carlo scenario generation and management

GM/GM@R and scenario based modeling of all portfolio assets

Commodities Market Modeling/Analysis:

Short Term – Gas Market agent based model, Weekly Supply/Demand balances (gas/oil rig counts, production and storage numbers, power stacking, coal), network congestion (Dayzer & Powerworld), virtual bidding, and load forecast with integration of in-house weather view.

Long Term – Emissions, coal (PRB, NAPP, CAPP, etc.), retirement & new-build analysis for generation, REC pricing for renewables.

Development of commodities scenarios as basis for Analytics modeling.

Management of Middle & Back Office interactions with Front Office:

Support evaluation of exposure – correlations and volatilities (Risk).

IT – System administration for quant development computing environment, data modeling, data acquisition, software development cycle for analytics tools: Development Test Production (IT)

•Edison Mission Marketing & Trading Mar 2010 - Jan 2011

Manager, Power Analytics

Manager of Power Desk.

Responsible for Power Analytics team performance and deliveries (2 full-time reports)

Power market modeling and fundamentals analysis for Analytics. Feeds into Trading, and Asset Management activity.

General front office support for commercial power business within EMMT.

Power Desk customers include:

Quant Desk and Fuel Analytics (commodities analysis)

Prop-Trading (FTRs, network congestion, power options, new build/transmission, spread decomposition analysis)

Merchant Asset Management (bidding strategy, coal & gas assets, load serving, demand/response, renewables)

Development (Long term analysis for wind and solar siting), Origination, and Finance

Power Market Modeling/Analysis:

Short Term – Regional unit commitment and dispatch, line losses, daily power stacking, transmission outages

Med. Term – Network congestion (Experienced with Dayzer & Powerworld), heat rate analysis, and intra-day load forecast integration with trading strategy

Long Term – Load Forecasting, new build/transmission, contingency analysis

FTR Trading Strategy:

Provides congestion fundamentals for monthly/yearly ISO auction participation,

Scenario based (generation/transmission/load) analysis.

Analysis of auction results data and development of round based FTR auction strategy

Transmission Upgrade Analysis / ISO Interaction:

Identification of ISO network upgrades to fund which have favorable congestion impact on assets

Support development of special protection schemes (SPS) with ISO in cooperation with Trading.

•Edison Mission Marketing & Trading Nov 2007 - Mar 2010

Manager, Quantitative Analytics

Manager of Quant Desk.

Responsible for 10-member quant team (5 full-time, 5 interns)

See current position description (above) for more details.

•Expressly Gaming Consultations May 2006 - November 2007

Online Gambling Security Analyst

Consultant for international online gambling organizations. Specializing in development of “bots” and software-assisted cheating methods using statistics and probability.

Directs team of analysts, programmers, system administrators, and professional gamblers.

•Wake Forest University November 2005 - May 2006

Parallel Computing System Administrator – DEAC Cluster

Red Hat based cluster – Maintained and developed software for parallel/grid computing environment

Maintainer for Wake Forest ”Linux Laptop Load” installed on laptops issued to all new students by the university.

Research Experience

•PHENIX Experiment at Brookhaven National Laboratory Stony Brook University

Graduate Student: April 2003–December 2005

Identified particles in low signal/noise conditions. Utilized new Monte Carlo technique to subtract background spectrum from signal.

Results published in Physical Review Letters TOPCITE/50+ Cited 71 times.

Skills

• Management in Electrical Finance:

Knowledge and familiarity with most aspects of building out and running large-scale business in American power markets.

Data acquisition, modeling, risk analysis, and trading platform development: OpenLink/Endur

Management of interactions between large groups (e.g. Analytics, Risk, IT, Operations, Asset Management, Portfolio Management, Finance)

• SQL / Databases:

Extensive Physical and Logical data modeling skills.

Database Transformation Services (Design, Development, Deployment and Administration)

Installation, configuration, upgrade, optimization, and maintenance of major RDBM systems.

Knowledge and experience in all stages of the System Development Life Cycle

Databases: MS SQL Server 200*-****-****, Oracle 11g, PostgreSQL, MySQL, MS Access, SQLite Software: Oracle SQL Developer, MS Query Analyzer, Toad

• Data Analysis:

Monte Carlo, modeling physical systems, digital signal detection/processing, noise reduction, filtering, analysis of large data sets using statistics and probability, Fast/Discrete Fourier Transforms

• Hardware/Software Interfacing:

Lab experience designing experiments involving complex real-time decisions and measurements

Coding/working with drivers for hardware control

• Computer Languages:

Python, C/C++ (STL &, and other computer algebra systems, R, ROOT, octave

Clustering & Cloud Computing: Google App Engine, Beowulf, MPI, Kerberos, and other common Linux/Windows clustering infrastructures; OSCAR, Globus, Sun Grid Engine, General Parallel File System, Maui Cluster Scheduler, Portable Batch System

Virtualization: VMWare, Xen, QEMU, KVM

Operating Systems: Linux (most mainstream distros), BSD (OpenBSD, NetBSD, & FreeBSD), Windows (all releases)

• Italian: Basic speaking/writing/listening comprehension

Education

•Ph.D in Physics Stony Brook University

Stony Brook, NY: (High-Energy Nuclear/Particle), Received: December, 2005

•M.A. in Physics Stony Brook University

Stony Brook, NY: Received: May, 2001

•B.S. in Mathematics Stony Brook University

Stony Brook, NY: Received: May, 1999

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arXiv: q-fin

Optimal replication of random claims by ordinary integrals with applications in finance. (arXiv:1301.0381v1 [q-fin.PM])

The dynamics of financial stability in complex networks. (arXiv:1103.0717v2 [q-fin.RM] UPDATED)

The bounds of heavy-tailed return distributions in evolving complex networks. (arXiv:1109.2803v2 [q-fin.RM] UPDATED)

Large tick assets: implicit spread and optimal tick size. (arXiv:1207.6325v2 [q-fin.TR] UPDATED)

Trading networks, abnormal motifs and stock manipulation. (arXiv:1301.0007v1 [q-fin.TR])

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