SKILLS
. Familiar
with C++, Visual C++
. Used Visual Basic, Scientific WorkPlace, SAS, computational biology,
software engineering, molecular recognition and docking
. Made a translator from Pascal-program into C-program
Training
classes:
Advanced Programming in C++ (2 semesters);
UNIX course for SGI at Silicon Graphics(1
semester).
modern C++ (40 hours),
Customized SQL Course in ExecuTrain Co. (24
hours),
Developing XML Solutions (1 semesterr, 1
class per week).
EDUCATION
Doctor of
Science, Moscow State University, Russia.
Thesis: "Invariant Statistical Procedures".
Adviser: Yu.V. Linnik.
Ph.D., Moscow State University, Russia.
Thesis: "Optimization of Priority Network Systems".
Adviser:: B.V. Gnedenko.
MS, Moscow State University, Russia.
Thesis: "A black box recognition by input and output signals".
Adviser: L.A. Lyusternik.
Moscow State University, Russia, Math Department, 8 years.
INVITED LECTURING
Sorbonne(1
semester), Universities of Liege(Belgium,10 months),
Berlin(many
times), Brussels(2 semesters), Madagascar(four years) and
Stefan
Banach international mathematical center in Warsaw (2 months).
PUBLICATIONS
20 scientific books and more
than 150 scientific articles more than a half of them published in
English, French, German. (Subjects: statistics, random processes,
probability, optimization in Network, molecular design)
WORK
EXPERINECE
March 2011
– Present Appl.Math & Computer Modeling
Dept.,
PhD, D.Sc., Prof. Gubkin Russian
State Oil & Gas University
Nov 2004 –
Present
ViSTA co, Batavia, IL
Research Analyst (self-employment)
Development
of powerful (more 50% return per year) trading software ( in C++).
Feb 2002 –
Oct 2004
Ritchie Capital Mgmt , Geneva, IL
Quantitative Research Analyst
created auto high frequency (stock) trade system (in C++), i.e.
[0]
analysis of data from Data Provider (Bloomberg ) and a Broker ( Bear
Stearns) to get an order and send it to the Broker;
[1] with
complete cycle from getting the data, analysis, using special
strategies, getting new order till sending this order equal 5 to 10
seconds;
[2]
nonstandard trade strategies acting in a virtual space of prices and
positions with the same PnL (profit and loss) corresponding to real
space of prices and portfolio;
[3]
prospective PnL is at least 40% per year;
[4] created (C++, linux) connections with Data Provider and the Broker.
REM I used following ideas:
• Lego-Elliott approximation of retro price data
• The price process is BAD process (BAD=Birth And Death) or ln(price) is
Gaussian one.
• An uncertainty principle in random processes (like Heisenberg
Uncertainty Principle
in
quantum physics). In our case this principle ties together uncertainty
(entropy), risk and PnL
(Profit
and Loss): in particular for given entropy and risk you have upper limit
for PnL.
• As example of a virtual space of prices is the space of factors gotten
by PCA
(Principal Components Analysis).
06/12/2000 – Aug
2001
AbilitiSolutions (former Intertech),
400
Chesterfield Center, Chesterfield, MO 63017.
Research
Analyst, Software Developer
C++ codes
with more than 1,000 classes; Visual C++ ;
SQL
Server 2000; Visual Basic 6.0; XML; Clear Case.
1997 - 2000
Lossless Investment Co., 3716 Woodbrook
Ct, St. Louis, MO 63129;
Owner.
(Analysis of the market price processes (simulation and optimization).
Creating of
'StockMate' software (in C++) recommending how to choose a
portfolio and
when to trade shares. Analysis and design of data conversion
from networking
protocols databases to standard. Tools: Visual C++ , Borland C++,
Visual Basic)
1996 - 1997
Intelligent Optimization, L.C., St. Louis, MO 63105;
Director of Research
(Analysis of the stock price processes: mathematical
simulation, creating of C++
software to verify adequacy of theoretical and real data
and to solve some
problems of optimization (large dimension) and
creating e-trading system.)
1995 - 1996
BioMath Design Co., St. Louis, MO,
Owner.
(Creating of 'MathMate' software for
molecular design
in C++ in Windows-environment)
1991-1995
Washington University in Saint Louis
,Center for Molecular Design, MO
Visiting Prof
Analysis and creating software (UNIX,
X-Windows, C++ MS and Borland platforms)
for some molecular genetics models:
Stochastic model of interactions between drug
and receptors; theoretical conformation
analysis; Molecular recognition; measure of
similarity of amino acids.
Special Training:
Advanced Programming in C++ ;
UNIX course for SGI at Silicon
Graphics.
* Moscow
State University, Full Professor (in mathematical statistics).
Taught
postgraduate and graduate courses: Probability, Statistics, Markov
processes,
Random
processes, Queuing processes, Fiducial statistics, Invariant
Statistical Decisions; supervised 3 D.Sc.'s, 21 Ph.D's and some 30
MS's.
*
Center of Soviet-American Join Venture "DIALOG" in Moscow State
University, Director
* Moscow
State University Computer Center, Head of Department of Statistics
and Stochastic Systems
