Pierre Bayle 20 Washington Road – Princeton, NJ 08544 609-285-7034 • [email protected]Education Princeton University Princeton, NJ Master in Finance 2017 - 2018 • GRE Quantitative Reasoning: 170/170 • Anticipated coursework includes Machine Learning, Statistical Analysis of Financial Data, Asset Pricing, Financial Econometrics, Computational Finance in C++, Fixed Income, Statistical Theory and Methods, High Frequency Markets • Have been granted a partial Tuition Fellowship École Polytechnique (X) Palaiseau, France Diplôme d’École d’Ingénieur, Ingénieur Polytechnicien Program 2014 - 2017 • Cumulative GPA: 3.87/4.00 • Specialization in a Master’s level program in Applied Mathematics • Relevant coursework includes Stochastic Models in Finance, Stochastic Simulation and Monte-Carlo Methods, Time Series Analysis, Machine Learning, Game Theory Lycée Louis-le-Grand Paris Classes préparatoires aux Grandes Écoles - French preparatory classes - MPSI/MP* 2011 - 2014 • Cumulative GPA: 3.94/4.00 • Intensive program leading to nationwide, competitive entrance examination to the French Grandes Écoles for scientific studies • Specialized in Mathematics, Physics and Computer Science • Prior to Classes préparatoires, obtained Baccalauréat général in Science at the age of 15 (two years in advance) with highest honors Work experience Goldman Sachs London Strategist intern in the Securities Division 04/2017 - 08/2017 • Developed and analyzed an interest rate model to price secured notes • Optimized the automation of risk reports Société Générale Paris La Défense Intern in Financial Engineering 06/2016 - 08/2016 • Optimized an allocation method combining various strategies on indices, developed algorithms for this method and backtested it • Developed a pricer in Python for several types of structured products, optimized portfolios of these products by simulation, designed and set up a robo-advisor Research experience Volatility estimation with high-frequency data and applications École Polytechnique Led to the implementation of a Limit Order Book simulator and to strategy analysis 09/2016 - 03/2017 Value at Risk estimation using various methods École Polytechnique Studied and used the Extreme Value Theory, especially Peak Over Threshold method 02/2017 - 03/2017 Preferential attachment graphs École Polytechnique Optimization of their visualization, application to PageRank 11/2016 - 12/2016 Portfolio theory applied to an investment universe including structured products École Polytechnique Team research project in Applied Mathematics, in collaboration with Société Générale 09/2015 - 04/2016 Skills Programming: Python, Matlab, C++, Java: carried out many programming projects Mathematical writing:L A T E X: frequent use Web development: HTML, CSS, PHP, MySQL, JavaScript: built two websites Languages: French (native speaker), Chinese (intermediate) Personal interests Culture: Vice President of X-Chine, the Chinese cultural association of École Polytechnique Web: Web developer of BDS, the sports association of École Polytechnique Sports: Table tennis (President of the table tennis association of École Polytechnique), Swimming, Badminton
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Pierre Bayle - Bendheim Center for Finance · 2017-11-17 · Pierre Bayle 20 Washington Road– Princeton, NJ 08544 ˘609-285-7034 Q [email protected] Education Princeton University
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Pierre Bayle20 Washington Road – Princeton, NJ 08544Æ 609-285-7034 • Q [email protected]
EducationPrinceton University Princeton, NJMaster in Finance 2017 - 2018
• GRE Quantitative Reasoning: 170/170• Anticipated coursework includes Machine Learning, Statistical Analysis of Financial Data,
Asset Pricing, Financial Econometrics, Computational Finance in C++, Fixed Income,Statistical Theory and Methods, High Frequency Markets
• Cumulative GPA: 3.87/4.00• Specialization in a Master’s level program in Applied Mathematics• Relevant coursework includes Stochastic Models in Finance, Stochastic Simulation and
Monte-Carlo Methods, Time Series Analysis, Machine Learning, Game Theory
Lycée Louis-le-Grand ParisClasses préparatoires aux Grandes Écoles - French preparatory classes - MPSI/MP* 2011 - 2014
• Cumulative GPA: 3.94/4.00• Intensive program leading to nationwide, competitive entrance examination to the
French Grandes Écoles for scientific studies• Specialized in Mathematics, Physics and Computer Science• Prior to Classes préparatoires, obtained Baccalauréat général in Science at the age
of 15 (two years in advance) with highest honors
Work experienceGoldman Sachs LondonStrategist intern in the Securities Division 04/2017 - 08/2017
• Developed and analyzed an interest rate model to price secured notes• Optimized the automation of risk reports
Société Générale Paris La DéfenseIntern in Financial Engineering 06/2016 - 08/2016
• Optimized an allocation method combining various strategies on indices, developedalgorithms for this method and backtested it
• Developed a pricer in Python for several types of structured products, optimized portfoliosof these products by simulation, designed and set up a robo-advisor
Research experienceVolatility estimation with high-frequency data and applications École PolytechniqueLed to the implementation of a Limit Order Book simulator and to strategy analysis 09/2016 - 03/2017
Value at Risk estimation using various methods École PolytechniqueStudied and used the Extreme Value Theory, especially Peak Over Threshold method 02/2017 - 03/2017
Preferential attachment graphs École PolytechniqueOptimization of their visualization, application to PageRank 11/2016 - 12/2016
Portfolio theory applied to an investment universe including structured products École PolytechniqueTeam research project in Applied Mathematics, in collaboration with Société Générale 09/2015 - 04/2016
SkillsProgramming: Python, Matlab, C++, Java: carried out many programming projectsMathematical writing: LATEX: frequent useWeb development: HTML, CSS, PHP, MySQL, JavaScript: built two websitesLanguages: French (native speaker), Chinese (intermediate)
Personal interestsCulture: Vice President of X-Chine, the Chinese cultural association of École PolytechniqueWeb: Web developer of BDS, the sports association of École PolytechniqueSports: Table tennis (President of the table tennis association of École Polytechnique), Swimming, Badminton
EDUCATION Princeton University, Princeton, NJ 2016 - 2018 Master in Finance, GPA: 3.85 Courses: Asset Pricing I: Pricing Models and Derivatives; Statistical Analysis of Financial Data;
Options, Futures and Financial Derivatives; Institutional Finance, Trading and Markets; Asset Pricing II: Stochastic Calculus and Advanced Derivatives; Financial Econometrics; Behavioral Finance; Quantitative Data Analysis in Finance
University of Michigan, Ann Arbor, MI 2014 - 2016 BS in Honors Mathematics, GPA: 4.0 Courses: Math of Finance, Honors Analysis, Differential Equations, Introduction to Numerical Methods,
Introduction to Theoretical Statistics, Explorations in Math Research, Boundary Value Problems for Partial Differential Equations, Discrete State Stochastic Processes
Michigan State University, East Lansing, MI 2012-2014 BS in Economics & Advanced Mathematics, GPA: 4.0 Courses: Probability & Statistics I Probability, Honors Algebra I & II, Macro/Microeconomics FINANCIAL RESEARCH Princeton University • Creation of Volatility Forecasters for Currency Time Series (using R) Winter 2017 − Applying techniques such as Linear regression, GARCH, LASSO, K-NN regression, etc − Comparing performance of different models
• Analysis of the Financialization of the Commodity Futures Markets Fall 2016 − Overview of the effects and risks of the increased financialization (2000-2012) − Proposal of possible changes to existing regulations
WORK EXPERIENCE Russian International Affairs Council (RIAC), Moscow Summer 2017 Quantitative Analyst Intern • Key responsibilities: − Analysis of the network of RIAC’s partners using graph theory, e.g. development
of partner interaction strategy using centrality measures, clustering coefficient, etc. − Twitter analysis of the areas of influence of Russian embassies
SoftWell, Moscow Summer 2014 Analyst Assistant Intern • Key responsibilities: − Assisting with integration of FinCad risk-assessing model − Troubleshooting in Navigator (product of Softwell)
MathLab, University of Michigan, Ann Arbor, MI 2015-2016 Math Tutor • Key responsibilities: − Explaining math material to students
SKILLS, INTERESTS AND ACHIEVEMENTS IT SKILLS R, MatLab, C++, Python, Microsoft Office
LANGUAGES Russian - Native, English - advanced
ACHIEVEMENTS Awards in Russian Mathematics Olympiads, such as Vorob'yevy Gori and All-Russian Olympiad in Mathematics; Award by University of Michigan for Outstanding Achievement in Mathematics
Princeton University Princeton, NJ Master in Finance Sept. 2016 – May 2018
• Statistical Analysis of Financial Data, Financial Econometrics, Fixed Income, High Frequency Trading, Monte Carlo Simulation, Time Series Analysis
University of Michigan Ann Arbor, MI B.S. Mathematics Sept. 2011 - May 2016 B.S. Statistics (Honors)
• Cumulative GPA: 3.96 / 4.00, Highest Honors
• Awards: Outstanding Achievement in Mathematics, Outstanding Undergraduate in Statistics
• Mathematics: Stochastic Calculus, Martingale Pricing Theory, Discrete and Continuous Random Processes, Numerical Methods, Linear Algebra, Ordinary Differential Equations
• Statistics: Data Mining, Statistical Computing, Applied Linear Models, Theoretical Statistics Programming Languages/Software: R, C++, Excel/VBA, Python, MatLab
Work and Research Experience
Citadel Securities May 2017 – Aug. 2017 Trading Intern – US Treasuries Desk New York, NY
• Evaluated and developed trading strategies in R for US Treasury Auctions and Reopenings
• Shadowed traders daily and pitched trade ideas to the desk once per week
• Reported daily on overnight market activity and relevant upcoming events BMW US Capital Aug. 2016 – Dec. 2016 Quantitative Research Consultant Princeton, NJ
• Created regression models in R to forecast credit spreads for all Auto ABS tranches with the goal of lowering the firm’s cost of funds by optimizing the timing of debt issuance
• Implemented risk factor attribution model to assess factors driving Auto ABS credit spreads
Goldman Sachs May 2015 – Aug. 2015 Market Risk Infrastructure Summer Analyst, Finance Division Irving, TX
• Verified all reported risk metrics including Value-at-Risk (VaR), Jump-to-Default (JTD), and other stress scenarios for firm wide Credit Origination portfolios with a combined value of over $15 billion
University Directed Research
• Statistical Arbitrage in NBA Gambling: Comparing Modeled and Implicit Win Probability
• Using Quantile Regression and Functional Data Analysis to Analyze the Relationship between S&P 500 Returns and the Rate of Change of US Unemployment
Leadership Activities
Michigan Finance and Mathematics Society Jan. 2015 – Jan. 2016 President, Founder
• Recruited over 100 members in one semester, hosted over 10 company information sessions, and became a formally sponsored student group
Interests: Scuba Diving (Advanced Open Water Diver certification), Golf, Snowboarding
Gustavo Mena 11 Dickinson Street, Princeton, NJ 08540
Princeton University 2016-2018Master in FinanceRelevant Coursework: High Frequency Trading, Analysis of Financial Data, Fixed Income, Asset PricingAnticipated Coursework: Computational Finance in C++, Monte Carlo Simulation, Macroeconomics
Indian Institute of Technology Kanpur 2010 - 2015MSc (Int) Mathematics and Scientific Computing GPA: 9.0/10Relevant Coursework: Mathematical Finance, Machine Learning, Data Structures and Algorithms, Prob-ability and Statistics, Time Series, Regression Analysis, Statistical Simulation, Data Mining
WORK EXPERIENCE
Citadel LLC June’17 - Aug’17Equities Market Making - Internship Chicago
· Developed ’Event Study Framework’ for intra-day PnL analysis of strategies across the equities desk
· Programmed execution prices for illiquid symbols not traded for 15 days in Python and display in GUI
Two Roads Tech. Pvt. Ltd. Dec’15 - Aug’16High Frequency Trading - Full Time Bengaluru, India
· Traded future indices in Singapore Exchange and CME with appropriate MUR, TTC, vol. and drawdown.
· Developed ‘composite indicators’, combining features via conditional variables to predict regressors. Cor-relation increase w.r.t individual indicators by more than 30% for ≥ 15 traded products across exchanges.
Goldman Sachs Jun’15 - Nov’15Equities One Delta Strats - Full Time Bengaluru, India
· Created share buyback model which predicts the number of shares that would be executed in a quarter.
· Drew inferences from one-delta securities execution data for Hedge Funds to predict market sentiments
IDRBT, Reserve Bank of India May’13 - Jul’13Research Associate - Internship Hyderabad, India
· Analysed data to predict bankruptcy improving accuracy by 4.81% using ‘Extreme Learning Machine’.
· Published at IEEE-2104, titled “Auto-associative extreme learning factory as a single class classifier”
SCHOLASTIC ACHIEVEMENTS
· Published 3 academic research papers in the field of Machine Learning and Computer Vision(’14-’15)
· Received Academic Excellence Award (awarded to top 5% students), IIT Kanpur (2012 -2013)
· Titled Gandhian Young Technological Innovator in rural development category by IIM-A (Jan’14)
· Recipient of KVPY and INSPIRE Scholarship by Dept. of Science, Govt of India (2010-2015)
· $8500 CAD scholarship to pursue machine learning internship at Simon Fraser University, Canada (2014)
· Stood runners up for ‘Solve a Social Challenge’ competition at Harvard US India Initiative (2015)
POSTIONS OF RESPONSIBILTY
· Assistant Instructor (TA) for the course in Machine Learning (Princeton) and programming (IITK)
· Head, Events (Design) at IITK technical festival managing publicity and INR 13.3 million budget (2012)
· Manager, Expansion at BloodConnect and volunteer at Lions Club blood donation camp (2015)
SKILLS AND INTERESTS
Computer Skills R, Python, C, C++, Perl, MATLABHobbies Soccer (represented school at nationals), Himalayan Trekking, Rafting