Rocket Scientist - Machine Learning @ From August 2015 to Present (5 months) Data Science Fellow @ Participated in Zipfian's intensive 12-week Data Science immersion. Highlights include:
Capstone Project: Built and deployed a facial expression classifier using deep learning methods. The live demo can be found at www.fec.space.
Supervised Learning: kNN, SVM, and Random Forests
Unsupervised Learning: Clustering, PCA, SVD, and NMF for recommenders
Natural Language Processing
Big Data: MapReduce techniques and Spark on AWS From January 2015 to April 2015 (4 months) Quantitative Analyst, AVP @ Developed in and extensively supported a large-scale C++ analytics library including meeting weekly deadline production builds
Personally designed and implemented a multi-use extensible optimization library that included linear and non-linear optimization algorithms
Built functionality for automated portfolio hedging to control bank capital levels
Using Python, automated monthly builds of the bank interest rate curves to guarantee seamless business continuity
Coordinated with both front office and IT teams to ensure timely delivery of central counterparty margin replication production code based on VaR and expected shortfall risk measures used in front office and client applications
Supported front office analytics for a fast-paced rates trading desk
Analyzed interest and inflation rate time series using R
Investigated futures convexity adjustments for several stochastic interest rate models From March 2012 to August 2014 (2 years 6 months) Greater New York City Area
Doctor of Philosophy (PhD), Mathematics @ Stony Brook University From 2008 to 2011 Bachelor of Science (B.S.) - College of Engineering, Applied Mathematics @ Cornell University From 2004 to 2008 Christopher Green is skilled in: C++, Python, Machine Learning, Object Oriented Design, Data Analysis, PostgreSQL, Matlab, Mathematics, Interest Rate Derivatives, Fixed Income, R, Stochastic Modeling, Optimization, Numerical Analysis, Deep Learning
Websites:
http://www.christophermgreen.net,
http://www.github.com/cmgreen210