| | | 20,000+ Fresh Resumes Monthly | |
|
|
| | Related Resumes Machine Learning Quantitative Research Manhattan, NY Software Engineer Machine Learning Manhattan, NY AI - Machine Learning - Computer Vision - Python - R&D Stamford, CT Machine Learning Data Analysis Manhattan, NY Machine Learning Operations Engineer Harrison, NJ Machine Learning,C++, Python, R, SQL Manhattan, NY Machine Learning Software Engineer Brooklyn, NY |
|
Click here or scroll down to respond to this candidateCandidate's Name (US Citizen)Street Address
Cell: PHONE NUMBER AVAILABLE; email: EMAIL AVAILABLECertified Series 7 and Series 55 Licenses (expired)Expertise: 1) quantitative systematic rules based trading strategies on equities: market neutral stat arb (mid frequency) and long only funds to outperform indexes; 2) intraday stat arb strategy with Sharpe ratio over 3; 3) Algorithmic Trading execution systems with minimum market impact and maximum order fill rate; 4) Portfolio and risk analytics and optimization.2021 present: GU International, LLCProvide consulting services on quantitative finance and data modeling (AWS):Citi Group (7/22 2/23): Risk ID and Risk Quantifications for a large investment bankAlgo trading with minimal market impact on equities and futures.Simon Market (6 months):oPortfolio Construction, Stress Testing, Portfolio Optimization, Efficient Frontier, Model Portfolios;oAlternative Investment Products (Alts, hedge fund strategies), Structured Investment Products (Hard Buffer, Barrier, and Geared Notes);oMulti risk factor model, risk exposures to risk factors, Monte Carlo stochastic Brownian motion simulation.Value Line (3 months): Machine learning/deep learning to predict buy and sell signals for stocks.2011-2/2021: Director of Quantitative Research, Value Line Investment Research Inc.Lead and manage a team of quantitative analysts; Conduct extensive quantitative research in the equity market searching for alpha (both technical analysis and fundamental analysis)Redesign and improve Value Line's ranking systems (including Timeliness, Technical, Performance and ETFs ranking systems).Develop dozens of quantitative investment products (Model Portfolios) for asset management firms; Working with Institutional Sales to sell these Model Portfolios to Financial Advisors across the nation.Developed and launched ETFs with an outside sponsor; manage day-to-day operation and monthly rebalance for a $13 billion ETF.Developed Launched a fund of closed end funds & a USA Infrastructure Fund (Separate Managed Account);Apply machine learning/deep learning techniques to predict, rank and select stocks and construct portfolios.Hands-on programming experience in Python/Pandas, C# and Bloomberg API (both C# and VBA/Excel).2007- 2011: Senior Stat Arb PM / Head of Quant, LaBranche and First New York SecuritiesWorking with developers to set up fully automated electronic trading platform (FIX); Managed and traded an independent stat arb book on the US equity market; generated superior returns and very low risks with a "plug-and-play" trading application in a full production line: data modeling, strategy construction, Algo execution system development, daily trading and operations, and daily PNL collections (including more than 5% gain in August 2007 while most other quant funds had significant losses in the same month). The strategy is a medium/low frequency, fully automated, market neutral, highly scalable and has solid returns, low risks, and low turnover rate; it can be applied to other equity markets (Asian and EU/UK).Provided quantitative and automated electronic trading support to other traders (option trader and ETF arbitrage trader and commodity futures trader);Conducted quantitative research in areas of delta neutral option volatility arbitrage trading strategy and intra-day (high frequency) pricing arbitrage trading strategy for stocks based on technical indicators; Developed an intra-day trading strategy and conducted real time trading simulation.C#/MatLab/R/VB/VBA/C/SQLHistorical performance on my stat arb strategy is available upon request.2001 - 2006: Trader/Analyst, Millennium Partners, NYCConducted researches for alpha generating strategies including statistical arbitrage, pair arbitrage trading, index trending strategy, equity index across global markets, etc.Constructed multi-factor model and built a portfolio optimizer; Traded and managed a stat arb strategy: low risks and solid returns.Co-managed a long/short equity fund (multi-strategies); Developed multi trading strategies including index trend following and correlation strategy across global equity markets via index futures.Generated trading signals from statistical models; Algo Executing daily trades.Automated portfolio management systems: daily exposures and daily P/L reports.Managed trading accounts/book; Superior performances.12/97 - 2001: Vice President, Global Asset Management, Bankers Trust (Deutsche Bank)/AIG, NYCDeveloped asset allocation model to integrate views on asset classes for multi-billion global portfolio; Built neutral and tactical portfolio optimization models; Developed client-tailored asset allocations for high-end individual clients; Reverse-engineering and optimal portfolio selections APT/CAPM.Built a scoring system to screen hedge funds; Developed a multi-factor model to construct a fund of hedge funds(Topiary-Select); Participated in the due diligence process for selecting fund managers.Developed quantitative option strategies such as covered calls to enhance the portfolio performance.Built time series econometric models (GARCH and ARIMA) to forecast risks and returns for foreign exchange rates and equities; Provided quantitative support to FX trader (spot and option).Conducted quantitative fundamental analysis to screen and select stocks for the 5-star rated EAFE fund; Built and implemented asset allocation models among countries and sectors for the global portfolios based on fundamental analysis including valuation, growth, debt/leverage and profitability.Built a simulation model to assess credit risks of fixed income portfolios (corporate/municipal bonds, convertibles, and mortgage related issues) with KMV system.Matlab/R/EView/SQL5/95 - 12/97: Head of Financial Engineering/C Programmer, MKI Capital Center/Renaissance SoftwareManaged derivatives pricing projects including exotic FX options, periodic interest rate caps with knock-in/out features, exotic interest rate swaps, swaption pricing models and calibrations, forward rate volatility curve derivation from caps/floors, pricing equity swaps, Treasury forward pricing analysis/Repo rate.Developed risk management system (VaR), pricing various types of guaranteed investment contracts (GICs) bonds/swaps and generating periodic (monthly) risk management reports by using C. Convexity adjustments when pricing CMS off current yield curve. Digital and corridor caps, Callable/Puttable swaps.Visited potential clients to demonstrate derivatives pricing/risk management products; Participated in pre-sales; Documented derivatives pricing technical specifications and product business specifications.1995: Risk Consultant, participated in the initial development and methodology of JP MorganRiskMetrics across multi asset classes, including equity, fixed income, FX, mortgage backedsecurities, and other derivatives.7/90 - 4/95: Senior Economist/Econometrician, Office of the Comptroller, City of New YorkInvolved with municipal bonds/swaps/capital marketing, regional/local economic developments; Analyzed, evaluated underwriters for NYC multi-billions capital projects; Assisted NYC bonds sales and rating.Monitored, analyzed day-to-day developments in US and NYC regional financial markets and economies; Built econometric models to forecast financial and economic activities for both US and NYC economies;Assessed fiscal implications of changes in government policies; Wrote monthly, annual reports on the state of the City economy; Conducted economic research projects and advised Mayors not to raise but to lower taxes in both Dinkin's and Giuliani's administrations to maintain local business competitiveness.Conducted research projects: studied the impacts of increases in state and local taxes on the City's economy (regression analysis OLS); examined factors which cause corporate headquarters to leave the City and the impact of corporate headquarters exodus on the City economy (3SLS); quantitatively identify factors attributable to the local inflation premium over the nation through regression analysis (OLS).EDUCATIONPh.D in Financial Economics, 9/85 - 7/90.New York University, New York.Bachelor of Engineering in MIS (Applied Mathematics and Computer Science), 9/80 - 7/85.School of Economics and ManagementTsinghua University, Beijing, China. |
