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Financial Applications Developer

Location:
Fair Lawn, New Jersey, 07410, United States
Posted:
August 31, 2017

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Thomas Costigliola

ac13ik@r.postjobfree.com 516.***.****

** **** ****** ****** *****, NJ 07663

Summary

Quantitative developer possessing a passion for problem solving, with 10 years of experience at a quantitative hedge fund researching and implementing systematic trading strategies and supporting systems. Experience

Iocane Solutions Buffalo, WY

Consultant Jun ’17 – present

Maintain front and back end futures trading systems for a hedge fund.

Consult on server and network systems for financial applications.

Develop native C thread pool library using pthreads.

Develop multi-threaded C library for generic AI for playing various 2 player board games.

Code mobile game front-end in Lua.

BEST, LLC Hoboken, NJ

Risk Management and Research Apr ’11 – present

Research and Technology Nov ’05 – Apr ’11

C/C++ Programming

Maintain proprietary fork of J interpreter. Code bug fixes and merge upstream changes.

Port J interpreter to Kindle platform.

Implement concurrency primitives in the J interpreter; allow J code to execute in parallel. Develop ZeroMQ request-reply broker and worker thread model for parallel execution.

Implement tail-call optimizer primitive based on trampolining in the J interpreter.

Code custom J primitives to enhance the J’s functional programming capabilities.

Supervise the development of OpenCL primitives in the J interpreter.

Code task manager in Qt based J front-end for managing multiple J child processes from a J session.

Implement locking mechanism in Qt, allowing multiple J processes to access the same resource. J Programming

Design front-end trading system for generating trades for brokers’ execution platforms.

Design allocation system for fairly distributing trade fills among client accounts.

Design relational database to track trading accounts, ordermanagement, operations andmarketing data.

Supervise and participate in the implementation of front and back-end trading systems. Imple- ment GTK and Qt GUI’s. Setup and administer PostgreSQL database.

Develop constrained and unconstrained mean-variance portfolio optimizer.

Develop real-time P&L tracking and plotting application.

Code visual factor analysis and portfolio risk monitoring tools. Research

Identify and test fundamental and technical factors for predicting price movements in futures markets using proprietary Bayesian forecasting model.

Collect, clean, store and analyze market data from Bloomberg, Thomson-Reuters, Quandl and various websites.

Use R packages to analyze and visualize time series.

Evaluate Numpy/Python as an alternative to J.

Automate research and back-testing tasks.

Risk Management

Oversee daily portfolio rebalancing procedures.

Implement automated trading limit controls per exchange and client.

Coordinate with the heads of trading and operations to identify and eliminate potential sources of trade execution errors.

Education

Stevens Institute of Technology Hoboken, NJ

M.S. Applied Math 2008 – 2010

Selected Courses: Numerical Analysis, Linear Algebra, Advanced Calculus, Mathematical Models of Risk, Non-Linear Optimizatoin I&II, Pricing and Hedging Long Island University Greenvale, NY

M.A. Mathematics Education 2003 – 2004

Selected Courses: Functional Analysis, Statistics, Theories of Intelligence, Child Development Member of Kappa Mu Epsilon Mathematics Honor Society Stevens Institute of Technology Hoboken, NJ

B.S. Computer Science 1999 – 2003

Selected Courses Discrete Math, Computational Structures, Algorithms, Compilers, Theory of Computation, Theory of Programming Languages

Skills

Programming Languages: J, C, C++, OCaml, Haskell, Java, R, Go, Python, Visual Basic, Lua, Bash, LATEX Software: Octave, Github, git, Bloomberg Terminal/API, Linux, ZeroMQ, Hugo Journal Articles

Quintana, J.M., Costigliola, T. (2013) ”J Functional Programming Extensions.” Journal of J Vol.2 No.2 Costigliola, T. (2012) ”J for trading.” Journal of J Vol.1 No.1 Quintana, J.M., Carvalho, C., Scott, J, Costigliola, T. (2010) ”Futures markets, Bayesian forecasting and risk modelling.” The Oxford Handbook of Applied Bayesian Analysis. Ed. O’Hagan, A., West, M. Conference Presentations

J Software Conference 2014: Experimenting with Concurrency in the J Interpreter J Software Conference 2012: GPU Programming with J and OpenCL



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