Victor
Zhorin
EXPERIENCE
The
Becker-Friedman Institute, Chicago,
Illinois 2016 – 2017
Senior
Researcher
á
Climate
modeling using highest complexity Earth models to estimate long-run economic
risk effects,
statistical analysis (vector auto regression, NLM, circular
bootstrap) of massive (tens of terabytes) geophysical data
á
Development
of new numerical methods to be used in new generation of macroeconomic models
with financial sector for systemic risk analysis
á
Development
of new techniques for uncertainty quantification in highly non-linear
stochastic models
á
Open-source
repository for macroeconomic models and cross-model analysis, use-case scenario
development, usability and unit test performance metrics
UNIVERSITY
OF CHICAGO, Computation Institute, Chicago,
Illinois 2007 – 2015
Senior
Research Associate
(Enterprise
Initiative, CFSP)
á
Main Contribution: Build stochastic dynamic programming models
for household financial decision making based on big data sets
including variety of geophysical and socioeconomic data
Clustered data by provinces and localities, generated local predictions
Used innovative methods to represent complex data (Analytics/Visualization)
Purpose: evaluate microfinance initiatives and credit expansion under different policies
Result: Papers published, presentations at Cowles Foundation, Norges Bank, American
Economic Association meetings,
Harvard, MIT, Federal Reserve etc
CITADEL,
Chicago, Illinois 2010 Consultant
á
Advised
on analytical and numerical methodologies
applied by hedge funds and
derivatives trading desks to price complex derivative securities
and devise
arbitrage strategies.
Used advanced models of option pricing with application
to real data.
á
Partial
Differential Equations and Monte Carlo implementation of Asian/exotic options
pricing
UNIVERSITY
OF CHICAGO, Chicago,
Illinois 2001 – 2007
á
Designed
and implemented computational engine in C/C++
to resolve Multi-Object Auctions
with LP/IP using Vickrey pricing for the job
interview scheduling system
that has been in use since 2001 at the University
of Chicago Graduate School of Business job placement office
ARGONNE
NATIONAL LABORATORY, Argonne, Illinois 1997 – 2000
Visiting Scientist, Heavy Elements Photophysics and Photochemistry Group
á
Monte-Carlo
simulations of radiation damage and recovery in nuclear waste forms
EDUCATION
UNIVERSITY
OF CHICAGO, BOOTH SCHOOL OF BUSINESS,
Chicago, Illinois 2009
Master of Business Administration with Honors
Concentrations in Analytic Finance,
Entrepreneurship, Economics, and Econometrics
Kuban
State University,
Krasnodar, Russia 1993
PhD in solid-state physics, finding a new class
of near-, and mid-IR laser materials using models and
experiments
AWARDS
á
2009:
3rd prize ($10,000) in 4th IB Trading Olympiad with 88%
absolute return on $1M portfolio in 2-months of algo
trading using index funds, currencies, options and futures
á
2007-2009:
Chicago Booth School of Business, DeanÕs Honor List
TECHNICAL
EXPERIENCE
á
Programming:
Python, Matlab, R, SAS, C, C++
á
Mathematical
libraries: linear/integer optimization with LINDO, GUROBI,
non-linear optimization, parallel computing, numeric libraries (IMSL,
LAPACK, BLAS),
machine learning (RNN, NLP, tensor computing)
á
Scalability:
cloud computing, large-scale HPC computing on IBM BlueGene
supercomputer, TACC, Stampede
á
Databases/SQL:
Microsoft SQL Server, Postgres, MySQL
á
Published
many papers in Economics, Data Science and Physics journals
OTHER
á
US Citizen
á
Interests:
long-distance running