Breno Neri

Breno Neri

PhD Candidate at New York University

Greater New York City Area

Current
Past
Education
  • New York University
  • Fundação Getulio Vargas
  • Universidade Federal de Pernambuco
Recommended
Breno has 3 recommendation(s) 3 people have recommended Breno
Connections
346 connections
Industry
Financial Services
Websites

Breno Neri’s Summary

During my graduate studies, I have been researching on High Frequency Financial Econometrics and Market Microstructure. More specifically, my current research is on options' market making. I'm preparing myself to a high frequency quant trading position, preferably in a prop desk.

Breno Neri’s Specialties:

Market Microstructure Models (including Best Execution and Price Impact Models), Multivariate GARCH, Extreme Value Theory, Copulas, Duration Models, ACD, MEM, DCC, Factor Models, Cointegration, CAPM, APT, Quantile Regression, Nonparametric (Kernel) Estimation, Frequency Domain (Spectral) Analysis, Count Data Models, Bayesian Statistics. Computer Skills: R (advanced skills; highly experienced), Q/KDB+, C++, Java, SQL, HTML, Latex E-Views, Linux, grid computing, and experience with tick data.

Breno Neri’s Experience

  • PhD Candidate

    New York University

    (Educational Institution; Higher Education industry)

    September 2006 — Present (3 years 4 months)

    I am specializing in High Frequency Time Series Econometrics and Market Microstructure, under the supervision of Prof. Robert Engle (Nobel Laureate in Economics, 2003).
    Two of my research papers are more theoretical. One of them introduces a test for strict stationarity, while the other introduces a test for independence of stochastic processes (or serial independence, as a special case).
    My current research is more applied. It analyzes the effects of hedging costs on market making in the options' market.

  • Summer Intern

    AllianceBernstein

    (Public Company; AB; Financial Services industry)

    May 2009 — September 2009 (5 months)

    Keywords: TCA, Best Execution, Algo Trading, Price Impact.
    During this summer internship, I had the opportunity to work close to a senior quantitative trader, Dmitry Rakhlin. I worked with TCA (Trading Cost Analysis) not only to analyze the traders' performance but also the brokers' performance, and how they vary with orders' characteristics (like size, market cap, volatility, liquidity, spread, etc.)
    Besides TCA, I run simulations that allowed us to give suggestions to traders (like being more or less aggressive when trading orders with specific characteristics).
    The most interesting project I worked was related to finding the optimal limit price offset, in bps with respect to arrival price, as a function of orders characteristics.

  • Teacher and Consultant

    Fundação Getulio Vargas

    (Educational Institution; Education Management industry)

    January 2005 — May 2006 (1 year 5 months)

    After the first year of my master degree studies at FGV, I was hired as a teacher. I used to teach both econometrics and math. In parallel, I joined some senior professors in a big consulting job for the Brazilian Ministry of Economics, where we developed both a theoretical framework for forecasting macroeconomics time series and a software to implement it. I also trained some members of the Ministry of Economics on how to use this software.

  • Partner

    Econnnect

    (Information Technology and Services industry)

    1998 — 2002 (4 years )

    Between my Bachelor Degree in Physics and my Master Degree in Economics, two friends and I founded a local Internet Service Provider (ISP) in my home city. After a few years, we sold the company to a regional ISP. I bought my first apartment with the profits.

Breno Neri’s Education

  • New York University

    PhD , Financial Econometrics , 2006 — 2010 (expected)

    Research Assistant for Prof. Robert Engle (Nobel Laureate in Economics, 2003).
    Teacher Assistant for the Time Series Econometrics course, PhD level.

    Activities and Societies:
    Organizer of the Econometrics Student Lunch Seminar

  • Fundação Getulio Vargas

    M.Sc. , Economics , 2004 — 2006

    In this Master Degree I specialized in Time Series Econometrics, having the opportunity to be the teacher assistant in several (undergrad and grad level) courses on econometrics, probability and statistics. The main point of the dissertation was to introduce a new Value-at-Risk methodology based on quantile regression.

    Activities and Societies:
    Teacher (undergrad level), Consulting Jobs

  • Universidade Federal de Pernambuco

    B.Sc. , Physics , 1994 — 1997

    Activities and Societies:
    Teacher Assistant for several courses, Research Assistant on Nonlinear Optics, Research Assistant on Nanotechnology

Additional Information

Breno Neri’s Websites:

Breno Neri’s Interests:

Science & Technology, Travel, Cinema, Photography, Wine, Foreign Languages

Breno Neri’s Groups:

American Statistics Association, American Finance Association, Econometrics Society

  •    DataShaping Advanced Analytics
  •    FGV Alumni
  •    Quantitative Analytics
  •    Hedge Fund Risk Management
  •    The UNIX and Linux Forums Users
  •    Hedge Fund Group (HFG)
  •    Hedge Fund Professionals Worldwide Network - www.HedgeFundProWorld.net
  •    Hedge Fund Network
  •    Mathematics in Finance MS Program at Courant Institute
  •    Prop Traders
  •    Electronic Trading Group
  •    Algorithmic Trading
  •    Finance Quants Global (AKA: Wall Street Quants)
  •    The R Project for Statistical Computing
  •    Courant Institute of Mathematical Sciences Network
  •    kx/kDB+ networking forum
  •    High Frequency Trading
  •    Quantitative Trading
  •    Quant Finance
  •    Managed Futures Group
  •    Multi-Asset Class Algorithmic Trading
  •    Stat-Math Statistics
  •    Systematic Trading and Statistical Arbitrage Network
  •    Finance Professionals Network -Chicago
  •    Quantitative Finance
  •    Quant Trading
  •    The Society for Financial Econometrics
  •    Systematic trading
  •    Trading Algos 2008
  •    Quantitative Trading & Risk Management
  •    Hedge Funds & Alternative Investments Network
  •    R-Finance
  •    KDB+/Q User Group
  •    [kx] Kdb/Kdb+ Technology Network
  •    Electronic Trading Jobs
  •    Financial Econometrics
  •    Stat Arb
  •    Front Office Equities Technology
  •    Traders - Forex, Stocks, Futures,Commodities, Indices
  •    Automated Trading Strategies
  •    High Frequency Quantitative Trading Network
  •    Systematic Traders
  •    Algo-Automated-Systematic-Quantitative Trading
  •    Research Methods
  •    Quant Linked Group (QLG: Wall Street Quants)
  •    Hedge Fund & Private Equity Jobs & Careers
  •    Quant Masters - Quantitative Professionals Worldwide
  •    Systematic & Algorithmic Trading Group
  •    Quantitative Development
  •    Quant Careers
  •    Risk Management
  •    Books for Quants
  •    Algorithmic Trading
  •    Quant Education
  •    Systematic Trading and Statistical Arbitrage Advertisements
  •    Systematic Trading and Statistical Arbitrage Careers
  •    High Frequency Trading and Capital Introduction
  •    Promotion
  •    Buy-Side Tech Quant Trading Forum 2009

Breno Neri’s Honors:

MacCracken Scholarship for PhD studies at NYU, 2006-2010.
BBM Bank Scholarship for M.Sc. studies at FGV, 2004-2006.
CNPq Scholarship for B.Sc. studies in Physics at UFPE, 1994-1997.
Best Third Year Paper, Department of Economics, New York University (NYU).

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