Shaun Dillon
Brooklyn,NY
Summary
Data scientist with 10+ years of experience designing and implementing multi terabyte research platforms. Strong background in combining programming expertise with statistical methods to calibrate various components of production trading systems. Enjoy working on challenging technical projects, in small and large teams.
Overview
12
12
years of professional experience
Work History
Vice President
Morgan Stanley
New York, NY
06.2015 - Current
- Automated market making desk, US and EU listed equity options. Role split between KDB/Q data team and quantitative research
- Data Plant supporting business captures ~1TB of new data per day compressed
- Design and implementation of spot alpha calibration pipeline. Order book and trade pressure signals farmed out across 20+ servers, fitting coefficients for ~2,500 names
- Calibration and implementation of spread model for posted quoting, including pre-processing OPRA data set
- Design, calibration of fast cancellation signal using futures microwave feed from CME -> NY5. Ongoing monitoring of feed latencies.
- Built a Q - Python integration library leveraging Kx EmbedPy allowing users to call Python Plotting / Regression / ML libraries directly from Q
- Recent work focusing on retail client order facilitation, best-execution metrics and options exchange microstructure.
Director
UBS
New York, NY
08.2013 - 06.2015
- US equity options automated market making group. Primarily responsible for building and maintaining the research and analytics platform
- Specific contributions to the group include real time monitoring tools for spread calibration, risk management, and slippage
- In addition to data capture and storage, KDB/Q used to analyze quoting behavior, edge retention and parameter management
- Developed end of day P&L analytics for trading desk, aggregating position and trade profitability across different dimensions
Associate
Point 72 Asset Management
New York, NY
07.2011 - 07.2013
- Within the MultiQuant fund, worked in a small team building out a new KDB/Q installation
- Firm-wide research and surveillance platform capturing order and execution FIX messages from all trading groups globally
- Developed a suite of compliance reports from raw messages, including quote stuffing, spoofing, layering and other metrics for senior management
- Created historical order book database in KDB/Q, storing level 2 data from main US exchanges, allowing for rapid data mining and statistical research
Associate
Morgan Stanley
New York, NY
09.2010 - 07.2011
- Multi Terabyte data capture, storage and analytics plant serving Morgan Stanley business users globally.
- Development focused on a volatility data set, designing a customized data layout for optimized analytics performance
KDB/Q Developer
First Derivatives
Newry, Ireland
06.2009 - 06.2010
- Developed an analytics and investment screening platform in a proof of concept aimed at demonstrating how efficient KDB can be on large data sets
- This involved redesigning the architecture of the data model previously in place with the intention of retrieving and manipulating data in the shortest time frame possible
Education
Master of Science - Financial Mathematics
New York University
New York, NYBachelor of Science - Economics and Finance
University College Dublin
Skills
- Expert level Q/KDB programming in Linux environment
- Familiarity with Python, C, Java, R
- Strong statistical background using large data sets
- Experience working in fast paced development team where attention to detail is crucial
- Time and project management skills, comfortable multi tasking
Timeline
Vice President
Morgan Stanley
06.2015 - Current
Director
UBS
08.2013 - 06.2015
Associate
Point 72 Asset Management
07.2011 - 07.2013
Associate
Morgan Stanley
09.2010 - 07.2011
KDB/Q Developer
First Derivatives
06.2009 - 06.2010
Master of Science - Financial Mathematics
New York University
Bachelor of Science - Economics and Finance
University College Dublin
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