M in Zhong

Mail: m acf8kv@r.postjobfree.com Tel: 415-***-**** U.S. citizen

EDUCATION

CFA II Candidate

UC Berkeley, Master of Financial Engineering (03/13) Miami University, Master, System Analysis/Statistics (05/00)

U. Electronic Sci&Tech, Master, EE/Signal Processing Sichuan University, China, BS, EE/Electro-magetic Physics

Quantitative Finance Training

• Stochastic Calculus and Monte-Carlo simulation, Regression Analysis (SLR, GLR,

Vector Autoregression, GM M, Co-I ntegration, etc.), Time Series Analysis, Finite

d ifference, Optimization (quadratic/convex optimization, support vector machine),

M aximum Likelihood Estimation, Expectation Maximization.

• Equity, Fixed I ncome, Derivatives, FX, Asset Management, P ricing, Econometrics,

R isk management.

Programming Skills

• Experienced in C#/NET, C++/STL/C, Excel VBA, Python, MatLab, SQL Server, MySQL;

• I ndustrial project experience in R and Java;

• Working knowledge of both Unix and Windows.

M FE Research Thesis/Project

• Maximum mean-reverting portfolio construction with community clustering and

d imension reduction by LASSO. (2013)

i. Applied a clustering algorithm effective for both concave and convex clusters on

stock universe.

ii. Created a measurement for maximizing mean-reverting strength of portfolio.

iii. Applied a fast LASSO algorithm to solve LASSO regression on large matrix.

iv. Applied discreet version of OU process for measuring mean-reverting strength.

v. Created a trading strategy and back tested the strategy based on findings of

p revious steps.

• An order-driven model based (Bir th-Death Markov process) high frequency t rading strategy.

i. Calibrated order book ask-bid model with market tick data from thi rd party

vendor.

ii. Creatively solve a problem in the model using simulation where no closed-form

solution can be achieved.

i ii. Using the model to forecast next mid price move and probability and created a

strategy based on the forecast.

INDUSTRY EXPERIENCE

Software Engineer, WorldQuant, Old Greenwich, CT 01/14- current

• Independently implemented Barra factor-based risk/pnl attribution system including calculation

engine with server-client architecture in Python/Perl. Creatively extended the model to customized

factors and non-equity classes such as futures.

• Creatively applied Kalman filter on forecasting of stock auction volume of daily trading operation and

proposed a solution to management (on-going project).

• Developed/maintained several operation tools in Perl, Unix and MySQL, such as Cap Cost

Distribution script, ECN allocation tool based on previous volume and execution cost.

Quantitative Associate Intern, Global Arbitrage&Trading, Royal Bank of Canada, New York 10/12-01/13

• Implemented a portfolio evolution simulation system using Brownian Bridge with mean revision, a

creative approach to portfolio risk of correlated assets. This project is implemented on production; in

R.

• Applied structural Vector Auto Regression on macro/micro risk factors analysis; in R. Applied

Generalized Method of Moments to improve estimation performance by employing correlation

information.

Senior Software Engineer, Prosper Marketplace 07/11-01/12

• Full-stack .NET developer. Advocated NCache solution; Implemented a high-performance, high-

scalability bidding service for with NCache and MSMQ. Fixed a major production issue in a multi-

threaded core algorithm for lender fund allocation.

Contract Software Developer, San Francisco, CA

• Wells Fargo Bank. Terabyte data integration. SQL integration service.

10/09-07/11

Researched MVC framework and promoted and applied the new design pattern to new front-end

application design.

• JustAnswer Corp, high-scalability & high-performance server application design.

Implemented several multi-threading applications.

Senior Software Engineer, Fliqz Inc., Emeryville, CA 04/07-05/08

• Full-stack .NET developer. Achieved drastic productivity improvement with an innovative solution to

automate customized code generation. Mentored other engineers as a technical lead.

Software Design Engineer II, Microsoft Corp. 06/00-04/07

• C/C++/STL embedded system. Developed OS level application and Javascript language parser

including Internet Explorer HTML layout engine and JavaScript interpreter engine. Multi-threaded

client applications.

• .NET server developer. Developed high performance multi-threading server applications .

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