ANDREW P. ACOSTA

<ad3uzv@r.postjobfree.com>

Data Scientist – Risk Analyst

- Leadership and research in finance and statistics, operations research, optimization theory, statistical analysis and enterprise risk analysis. Experience with numerical analysis packages and scripting languages.

- Working with payment clearance, risk management of cash markets, futures contracts, and FX trading

- Association for Computing Machinery (ACM) Senior Member.

- American Statistical Association (ASA) Committee on Energy Statistics (2017 – 2019).

- Institute for Operations Research and Management Science (INFORMS) Mentor.

- Toastmasters ACM (Advanced Communicator)

- In-depth knowledge of big data predictive analysis including operations research, machine learning, decision trees, neural networks, k-nearest neighbor, association rules, time series, and regression trees.

- CAP® (Certified Analytics Professional) exam candidate.

- Committee member of INFORMS Professional Recognition Committee.

- Credit risk modeling and collateral, and bank fraud modeling.

- Deep experience in the analysis of financial market data in researching fixed income instruments and derivatives, especially mortgage-backed securities. Experience in exchange-traded derivatives, margining, and strategy. Experience in analyzing cashflow-based valuation models and the ability to analyze/estimate sensitivity of model parameters to pricing. Monte Carlo simulation, Hull-White, Black-Karasinski, AD&Co, AFT, Bloomberg, Intex, SPAN margin, fixed income and commodity risk and collateral/margin.

- Professional speaker invited to deliver presentations in operations research, economic theory, finance, econometrics, financial regulation, biostatistics, and information systems management. University graduate-level finance and information systems instructor.

- Deep experience in Operations Research, Artificial Intelligence and Machine Learning.

COMPUTER SKILLS

- Programming languages: Python (Anaconda, scipy, pandas, pyomo, numpy, scikit-learn, TensorFlow), SQL, Visual Basic, C++, Java

- Statistical languages: MS-Excel, AMPL, Python pyomo, LINDO/LINGO, R Studio, MATLAB, Mathematica, SPSS, SAS

- Big Data: Spark, AWS, Google Cloud Platform, Azure Cloud, Sagemaker

- Databases: Oracle, SQL Server, MySQL, noSQL, XML, JSON, YAML

- Machine Learning: clustering, association, regression, neural networks, anomaly detection, (un)supervised learning

CAREER HISTORY

PACKT PUBLISHING, 2/2024 – present

TECHNICAL EDITOR

Edited and commented on form and style in book drafts

Tested Python code included in book drafts

Examined and verified drafts content on time series analysis

MILESIUS CAPITAL RESOURCES, 1/2022 – present

DATA SCIENTIST

Created machine language for high frequency trading firm. Developed and supervised regression and association models for proprietary trading company.

Devised Operations Theory algorithms such as, queuing, linear programming, and game theory.

Performed analysis in MS-Excel using VLOOKUP, Pivot Tables, and Solver for operations research.

Tools/languages used: MS-Excel, Spark, Sagemaker, AMPL, pyomo, LINGO, Java, R Studio, Python, SQL, C++

Client include: logistics company, trading firm

TEKSYSTEMS 2/2021 – 11/2021

DATA SCIENTIST

Forecasting employee absence using a decision tree model. Predicting robot weld failure at a major automotive manufacturing concern using logistic regression and Bayesian analysis with Python Jupyter notebooks, R, and Tableau.

Client Includes: Honda

MILESIUS CAPITAL RESOURCES, 11/2017 – 2/2021

DATA SCIENTIST

·Updated CCAR compliance. Subject matter expert in OTC derivatives collateral pricing

·Assessed credit default swap pricing through predictive modeling methods (e.g. clustering/association model)

Participated in a on-premises database migration to Amazon AWS using PySpark.

·Python-based machine learning using pandas, numpy, scikit-learn, boto (accessing Amazon AWS), and TensorFlow

·Performed Bayesian time series and econometric analysis of exogenous market variables, modeled in open source software.

·Developed statistical analysis system in R using components from the tidyverse environment (e.g. dplyr, ggplot, readr, broom). Managed code changes in git, and Jira.

·Performed binary classification using logistic regression and Bayesian classification.

Tools/languages used: AMPL, R Studio, Python, Spark, AWS, Java, Excel, SQL Server, SSIS, SSRS,VBA

Client includes: large money-center bank, retail marketing survey firm, futures/options exchange

PROMETRIC, 11/2019 - 4/2020

SUBJECT MATTER EXPERT

Research and develop test questions for use on college level exemption exams. Member of review panel for questions to be admitted to final test bank in finance and information systems.

HERE TECHNOLOGIES, 5/2017 - 11/2019

CONTRACT PROGRAMMER

Converted VBA code into pseudocode

NPD GROUP, 3/2017 - 5/2017

DATA SCIENTIST

Wrote code in R Studio environment normalizing survey data

Calculated supply chain optimal routes using AMPL and Python

Tools/languages used: R, AMPL, Python

NORTHERN TRUST, 8/2017 – 2/2017

QUANTITATIVE ANALYST

Created financial statements of trading accounts in Excel. Wrote VBA scripts to extract and automate reporting process.

Performed yield curve analysis including zero coupon forward rates.

Created linear multistage stochastic programs.

Tools/languages used: AMPL, LINGO, VBA

INSIGHT GLOBAL, 11/2016 – 5/2017

QUANTITATIVE ANALYST

Prepared CCAR compliance documents in LaTeX and R Studio programming language. Edited documentation and created figures for publication. Used Sweave and Knitr to interface R code into LaTeX documents.

Tools/languages used: Java AWT, LaTeX, R, Sweave, Knitr

Client: Bank of America

MILESIUS CAPITAL RESOURCES, 9/2015 – 11/2016

DATA SCIENTIST

Oversaw fraud management systems.

Business and technical advisor with hands-on experience in predictive analytics and reporting in cloud-based systems, responsible for assessing business scenarios, implementing risk management policies, and creating quantitative models.

·Created stress scenarios and programming code for DFAST and CCAR regulatory stress tests for deposits, residential mortgages, and small business loans, saving the banking clients from regulatory fines often in the tens of thousands of dollars. Updated risk summary documents with test results.

·Lead small teams of analysts and developers.

·Created linear programming, branch and bound models, and finite Markov chains.

·Streamlined market risk procedures, saving time of back-office operations, thus reducing staffing hourly needs. Functioned as subject matter expert for OTC interest rate derivatives structure for data migration project. Prototyped and validated Economic Capital, Value-at-Risk, capital adequacy, and credit risk models.

·Conducted business analysis and quantitative modeling of large-scale client/server application and databases saving clients up to $5 million in infrastructure costs.

·Managed and coded application development projects using C++ and Python for clinical trials, market research, and capital markets trading risk management systems.

·Coded global large scale data analysis application with cloud-based tools in Amazon AWS.

·Served on speaker panels as both a moderator and speaker on topics such as data science, quantitative finance, and information systems. Delivered customized in-depth training on financial concepts and risk management practices.

·Interacted closely with business users, analysts and developers. Wrote software for quantitative analysis of capital markets in statistical languages: MATLAB, R Package Manager, R tidyverse, and Python.

·Performed Bayesian time series and econometric analysis of exogenous market variables, modeled in open-source software.

Tools/languages used: MATLAB, R Studio, R Package Manager, Power BI, Java, Tableau, Python, AMPL, matplotlib, numpy, scipy, pandas, scikit-learn Hadoop, MongoDB, Java, C++, LINGO, Excel, Spark, SQL Server, SSIS, SSRS,VBA, C#, Amazon AWS, LaTeX, Oracle

Clients include: Defined Benefit Pension firms, money-center banks, trading firms, futures exchanges, power/energy quantitative consulting group, medical research institution, and life/P&C insurance company, and proprietary trading firms.

5 STAR PLACEMENTS, 1/2015 - 9/2015

INDUSTRY CONSULTANT: SECURITIES AND EXCHANGE COMMISSION

Subject matter expert in equities and options assigned to write programming code in Python using the Anaconda technology distribution (e.g. matplotlib, numpy, scipy, pandas, scikit-learn) for trend detection in market surveillance.

·Text mining trading blotters using awk and Python tools.

·Enhanced the intraday price slope change analysis, useful for detecting insider trading.

·Performed ETL and data migration of unstructured big data sets.

·Maintained big data sets in Google Cloud, querying SQL and noSQL tables

Tools/languages used: R, Python, matplotlib, numpy, scipy, pandas, scikit-learn, SQLite, LaTeX, Markdown

Roosevelt University 9/2014 – 5/2017

ADJUNCT FACULTY

·Taught graduate-level courses in information systems management and finance. Advised students, prepared curriculum design and computer lab assignments.

·Recognized as an approachable and experienced instructor combining theory and practice.

Courses taught: Principles of Finance, Information Resource Management, Financial Markets and Institutions, Finance for Decision Makers, Advanced Derivatives

PROMETRIC, 3/2015 – 9/2015

SUBJECT MATTER EXPERT

Research and develop test questions for use on college level exemption exams. Member of review panel for questions to be admitted to final test bank in finance and information systems.

TEKsystems, 5/2012 – 12/2014

QUANTITATIVE DEVELOPER

Subject matter expert in OTC derivatives collateral pricing on an Agile team to engineer straight-through processing solutions for compliance, governance, and risk.

·Revised automation system for OTC portfolio valuation system in Python.

·Advised senior managers of OTC collateral regulations and strategy.

·Conducted business analysis of workflow and data flow throughout the information chain.

·Advised on network and software implementation of data quality control.

·Managed small team of developers and mentored analysts to project objectives.

·Mentored junior staff in financial concepts such as credit downgrade risk, loss given default, and OTC collateral rules from the Federal Reserve Bank (FRB) and European Market Infrastructure Regulation (EMIR).

Tools/languages used: R, Python, C++, Java, Excel, SQL Server, SSIS, SSRS, VBA, C#

Client: Bank of America

AXELON, 10/2011 – 4/2012

QUANTITATIVE DEVELOPER

Subject matter expert in OTC derivatives collateral pricing on an Agile team to engineer straight-through processing solutions for compliance, governance, and risk.

·Wrote automation system for OTC portfolio collateral valuation system in Python from a system that originally existed as a multi-spreadsheet VBA automation risk measurement framework, reducing collateral preparation expense by greater than $800,000 annually.

·Assessed FICO credit scoring through predictive modeling methods (e.g. clustering/association model)

·Led requirements gathering and analysis in Agile environment for team members, and other stakeholders.

·Wrote queries and performed analysis on bank proprietary cloud server cluster (“Sandra”)

·Eliminated performance bottlenecks and correct computational errors during its conversion to Python environment saving the bank from audit risks and continual recoding of calculations costing $500,000 annually.

·Mentored junior staff members and advised on both financial and technical issues. Mentored junior staff in financial concepts such as credit downgrade risk, loss given default, and OTC collateral rules from the Federal Reserve Bank (FRB).

·Fixed income and commodity risk and collateral/margin.

·Conducted business analysis of workflow and data flow throughout the information chain.

·Consulted on network and software implementation of data quality control.

·Managed small team of developers and mentored analysts to project objectives.

Tools/languages used: R, Python, Java, C++

Client: Bank of America

EXELON CORPORATION, 9/2008 – 7/2011

PRINCIPAL RISK ANALYST

Financial and market risk analyst responsible for econometric forecasting models and tracking the growth of nuclear plant decommissioning funding.

·Led analysis of cash flow at risk systems to extend to all business units having either an interest rate risk exposure or equity market exposure avoiding losses that formerly exceeded $2.5 million.

·Led requirements gathering and analysis in Agile environment for team members, and other stakeholders.

·Wrote complex SQL queries, joins, constraints, and stored procedures.

·Calculated natural gas market risk

·Assisted and led junior staff on marketing strategy and data process roadmaps.

·Created systems for tracking enterprise risk levels across various business units using multivariate model.

·Produced statistical analysis of energy holding company for senior management.

·Revised and validated PJM power hub market forecasting model using regime switching (peak/off-peak load) and seasonal ARIMA method.

Tools/languages used: LINGO, Microsoft suite of tools (Excel, SQL Server, SSIS, SSRS), R, SAS, Python, C++, LaTeX, MATLAB

IIT STUART SCHOOL OF BUSINESS, 5/2008 – 6/2011

ADJUNCT FACULTY

·Taught fixed income trading, structured fixed income portfolios, econometrics, and financial time series analysis using advanced analysis methods, such as PCA, autocorrelation, GARCH, Kalman filtering; and critical use of software such as MATLAB and R, and S-Plus.

·Recognized as an approachable and experienced instructor combining theory and practice.

Courses taught: Information Systems, Structured Fixed Income Portfolios, Econometric Analysis, Financial Time Series Analysis

LASALLE BANK, N.A., 11/2003 – 8/2008

SENIOR QUANTITATIVE ANALYST

Senior quantitative analyst responsible for managing financial software packages, communicating with other bank departments, producing and maintaining risk and regulatory models.

·Created and maintained 3 terabyte data warehouse of mortgage data.

·Managed transition and upgrades of financial analysis and reporting software packages saving the bank up to $250,000 annually in license fees.

·Wrote complex SQL queries, joins, constraints, and stored procedures.

·Served as consultant and liaison internally, and to other groups within the organization on matters of computer science theory, risk modeling, and financial engineering using Value-at-Risk, Expected Shortfall, yield curve analysis, and various numerical methods for a $23 billion portfolio of loans.

·Directly managed and mentored interns and other junior staff members.

·Advised on and led projects in Economic Capital, Regulatory Capital (Basel II).

·Taught short courses in market, operational, and liquidity risk through statistical analysis saving the department $35,000 in annual training costs.

·Responsible for systems implementation and business analysis related to streamlining operations for ALM operations, especially related to mortgage-based products and their derivatives.

·Developed and interpreted sophisticated financial models and tools to measure analytics such as convexity, OAS, CPR, Economic Capital, and VaR.

·Led data mining project of methods in knowledge discovery and data visualization of risk-based analytics. Improved and maintained servicing and origination models using MIAC software in the QRM suite of Asset Liability and Servicing tools.

·Acted as the group’s Disaster Recovery coordinator. Improved and maintained Business Continuity Plans.

Tools/languages used: QRM, MATLAB, Java, C++, Java, R, VBA, LaTeX, SAS, Oracle, SQL Server

Finance & Trading Industry, 7/2002 – 11/2003

INDEPENDENT CONTRACTOR

Programmer/analyst hired for short-term coding projects for capital markets firms.

·Wrote procedures to price derivatives, created systems to measure and communicate market risk.

·Performed quantitative analysis of option volatility surfaces; calculated equity option risk measures ("greeks") and higher-order measures (e.g. vomma, vanna, color, charm, speed).

·Implemented Monte Carlo simulation methods to test trading strategies.

·Designed C++ class library for derivatives risk management and accessor libraries to MATLAB and SQL Server.

·Created GARCH risk model for FX swap trading client.

Tools/languages used: MATLAB, C++, AMPL, Java, R, VBA, LaTeX, bash, SQL Server

Clients include trading advisory company, hedge funds

BANK ONE, N.A., 10/2000 – 7/2002

LEAD ANALYST

Quantitative analyst responsible for maintain trading desk risk measures, back office reporting, and documenting procedures.

·Worked in the derivatives middle office, one-on-one with traders, reconciled accounts, measured risk exposure of fixed-income and energy futures books of $12 billion.

·Led junior staff in meeting analysis deadlines and taught short courses in middle office risk management.

·Performed fixed income and commodity risk and collateral/margin.

·Wrote procedures to streamline derivatives processing, created systems to measure and communicate market risk, reducing staffing hourly requirements by $15,000 daily.

·Responsible for systems implementation and business analysis related to streamlining operations for equity, commodity, credit, and interest rate derivatives.

·Supported the unit by: coordinating with operations, systems support, and systems development teams.

·Completed project plans, test plans, training materials, operational procedures, and other documentation related to the systems project life cycle.

Tools/languages used: MATLAB, Objective C, Java, LaTeX, R, VBA, IBM DB2, Sybase

HELLER FINANCIAL, INC. 5/1998 – 9/2000

BUSINESS ANALYST/TEAM LEADER

Analyst responsible for assessing requirement gaps in asset management and risk applications, led development and wrote software for risk management system.

·Created software to track the profitability of commercial real estate portfolios.

·Led system development to measure Treasury Hedge Effectiveness (FAS 133) to avoid audit risk costing approximately $150,000.

·Supervised application development for multiple teams with Asset Backed Securities, MBS, treasury operations, derivatives, and leasing.

·Responsible for the measurement, quantification, and communication of all interest rate and foreign exchange risk. Integrated the front and back office to manage, account, analyze and value debt and derivatives portfolios, covering swaps, caps, FRAs, futures, options, foreign exchange spot and forwards, and bond forwards for derivative books approximately $800 million of notional value.

·Mentored junior staff in financial concepts such as mortgage-backed securities and foreign exchange.

·Led groups on my “Money Tour” campaign to show staff the operations at the Federal Reserve Bank, Chicago Stock Exchange, and the Chicago Board of Trade.

Tools/languages used: C++, VBA, Oracle, SQL Server

SELECTED SPEAKING ENGAGEMENTS

2nd Global Webinar on Artificial Intelligence, Machine Learning and Data Science

May 11-12, 2023

INFORMS Business Analytics Conference

April 16-18, 2023

Predictive Analytics World

Jun. 26, 2012

“Data mining, capital markets, and the crystal ball”

Roosevelt University

August 13, 2012

Spoke to prospective business school students, conducted mock interviews, and spoke on interviewing skills.

Fountainhead Hadoop in Finance Conference

September 18, 2012

Panel speaker "Finance, Big Data and Hadoop" on using Hadoop and risk management techniques.

Inside Market Data Chicago 2012

Incisive Media Investments Limited

September 27, 2012

Moderator and panel speaker for "Show me the money: measuring, monitoring, managing and monetizing data quality and compliance" How to avoid the pitfalls of hidden complexities in data analytics.

Inside Market Data Chicago 2013

Incisive Media Investments Limited

September 10, 2013

Moderator and panel speaker for "The 'dark art' of using displays and analytics to turn data into dollars"

Managing Transitions

Roosevelt University

February 12, 2014

Spoke to undergraduate students about career change and interviewing techniques.

Terrapin Holdings, Ltd., The Trading Show Chicago

June 4, 2014

Machine Learning – can it accurately predict future market behavior from past market data?

Terrapin Holdings, Ltd., The Trading Show Chicago

June 4, 2015

Predictive analytics and capital markets - does more data trump smarter algorithms?

MaketsandMarkets, Virtual Masterclass

July 13-14, 2020

Data and Financial Time Series: Data Science in Real Time

Panel Discussion: Architecting an efficient Big Data Infrastructure for your organization, addressing challenges and opportunities.

EDUCATION

Roosevelt University

·Bachelor of Professional Studies, Business Concentration, With Honors.

·Master of Business Administration, Finance Concentration, With Honors.

Princeton University

Analysis of Algorithms

Operations Research

Massachusetts Institute of Technology

Real Analysis

Applied Data Science

University of Chicago

Econometric Analysis

Time Series Methods

Illinois Institute of Technology

·FM 490 Math for Financial Markets

·FM 508 Statistical Methods in Financial Markets

·FM 506 Options and Options Theory

·FM 507 Quantitative Methods in Financial Markets

·FM 505 Futures and Futures Markets

·FM 530 VB & Databases for Financial Markets

·FM 532 Equity & Equity Derivatives Modeling

·FM 538 Advanced OOP For Financial Markets

·FM 533 Term Structured/Interest Rate Derivative Models

·IM 514 Data Mining

·FM 546 Fixed Income Trading Strategies

·FM 545 Advanced Options Trading Strategies

·MSF 521 Financial Modeling in C++

Walden University

·PhD: Multivariate time series dissertation study, “The pricing effect of large speculators and price run-ups in the New York Mercantile Exchange (NYMEX) crude oil futures market.”

Partial Course List

·Expert Systems

·Lifelong Learning

·E-Systems

·Seminar: Data Analysis

·Adult Learning

·Advanced Knowledge Management Concepts

·Epistemology & Practice of Knowledge & Learning Management

·Principles of Knowledge Management

·Principles of Learning Management

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