Property & Portfolio Research, Inc., Boston, MA
Feb 1994 - May 1995: Designed a mortgage portfolio analysis model and implemented it in Visual Basic for Excel. Developed a methodology for grouping real estate time series using cluster and factor analyses in SPSS. Designed an optimal investment strategy for a class of mortgage backed securities based on the efficient frontier characteristics. Gained broad exposure to real estate markets and models.

Donaldson, Lufkin & Jenrette, Inc. -- Pershing Division, Jersey City, NJ
Summer 1994: Developed a stock forecasting system based on technical analysis and economic indicators. Developed a DJIA trading strategy based on S&P 500 futures and demonstrated its profitability.

MIT Laboratory for Information and Decision Systems, Cambridge, MA
Aug 1993 - May 1994: Developed a trading strategy for US Treasury bonds based on multi-resolution wavelet analysis. Demonstrated its profitability as compared to the conventional moving average models.

PROGRAMMING
C++, Java, MATLAB; Various packages for statistics, neural networks and system dynamics.
PUBLICATIONS
Published 13 papers in refereed conferences, 8 journal papers, 1 book chapter. The complete list, including technical reports, is available at http://research.sun.com/people/vengerov/publications.html.

PATENTS
Four patents granted, 10 patent applications are currently under review at the US Patent Bureau.

PERSONAL
United States Citizen. Fluent in Russian and English. Black belt and instructor in Tae Kwon Do.

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Last updated 5/26/2009
David Vengerov

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