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Quantitative Analyst

Location:
California, 94506, United States
Posted:
March 11, 2010
Email:
v8r8vb@r.postjobfree.com
Contact Info:
********@*****.***


Pu (Paul) Zhang
Tel: 925-***-****
v8r8vb@r.postjobfree.com

Profile

I have an outstanding academic background in mathematics and physics, combined with industrial experience as a Quantitative Analyst in hedge funds.

Education

• Ph.D. Applied Mathematics, 1999 - 2002
University of Exeter, Exeter, UK
Overseas Research Student Award and Postgraduate Scholarship

• M.Sc. Planetary Physics, 1996 - 1999
Purple Mountain Observatory, Nanjing, China,

• B.Sc. Space Physics, 1991 - 1996
University of Science and Technology of China, Hefei, China

Skill and Experience Summary

• Financial market and Trading platform:
o Extensive experience in futures (commodities, equity, fixed income) and foreign exchange markets.
o REDI Plus, Tradestation and Yellowstone.
• Financial market data:
Bloomberg, Compustat, Reuters, Worldscope, IBES, TDI, CSI, LIM
• Analytical skills:
o Expertise in building trading strategies for multiple asset classes.
o Practical statistical and mathematical modeling skills encompassing Regression, ARMA, GARCH, Finite Difference, Monte Carlo, Multivariate Statistics, Neural Network, Genetic Programming and PMask etc.
o Experience in portfolio optimization and risk management.
o Strong background in mathematics, numerical and data analysis.
o Good knowledge of financial derivatives and stochastic calculus.
• Programming:
MATLAB, C, C++, Java, C#, VBA, FORTRAN, MPI, IDL, Vis5D
• Database:
SQL Server, PostgreSQL, MySQL, Vhayu, Excel
• Operating Systems:
Windows 2000/XP, UNIX/Linux

Employment History

03/2009 – 12/2009 Durant Capital LLC
Quantitative Analyst

During the above period, I worked for a start-up hedge fund. At the fund, I was responsible for programming, quantitative analysis, and database management. In two months, I had re-written the codes of an existing model, greatly improved the performance of the model and developed a brand new model. I also wrote programs to automate procedures of downloading financial data, building and maintaining database, and supporting back office. At Durant Capital, my duties included:
• developing, maintaining and improving computer investment models and financial database with multiple computer languages including MATLAB, C++, JAVA and VBA;
• implementing models, minimizing transaction costs and slippage;
• trade execution, order confirmation and daily P&L reconciliation;
• managing IT assets and network;
• ensuring data integrity and system uptime.

04/2006 – 10/2008 Money Management Group (MMG)
Quantitative Analyst

During the above period, I held the position of Quantitative Analyst within Money Management Group. MMG was a well-established macro hedge fund trading in multiple asset classes. My role involved building strategies used for trading activities in interest rate, commodity and foreign exchange markets. During my time at the fund, the majority of time had been spent in trading system development, research, portfolio and risk management including:
• commodity futures research including hedging, statistical and time-series analysis;
• efficient measurement and prediction of volatility using high-frequency data;
• fixed income market making system;
• long term foreign exchange carry strategy;
• long/short index futures trading model;
• event-driven analysis on fixed income market;
• model validation and risk analysis for external trading systems;
• trading system portfolio construction, optimization and risk analysis.

My role also involved supporting traders. I gained extensive experience of markets by sitting on the trading desks and supporting trading activities of chief investment officer.
Whilst with MMG, I had the opportunity to use my programming skills. MATLAB was my major tool for modeling and I had implemented the models in real time trading in Java, C++ and C#. And I was also required to write reports, attend client meetings and perform data analysis, often with MS Excel, VBA and database packages SQL Server, PostgreSQL and Vhayu.

09/2002 – 09/2005 School of Mathematical Sciences, University of Exeter, Exeter, UK
Research Fellow

Between the above dates, I held the position of Research Fellow within University of Exeter. My main project entailed developing fast parallel programmes to solve complicated problems in fluid mechanics and magnetohydrodynamics. I implemented this by using C/C++ on a PC cluster and FORTRAN on IBM SP2. Results were published in leading scientific journals and presentations were given in national and international conferences.

Selected Publications

 Zhang P, Gilbert, AD & Zhang KK, Non-linear dynamo action in rotating convection and shear, 546, 25-49, Journal of Fluid Mechanics, 2006.
 Zhang P & Gilbert, AD, Nonlinear dynamo action in hydrodynamic instabilities driven by shear, 100,25-47 , Geophysical and Astrophysical Fluid Dynamics, 2006.
 Li LG, Zhang P, Liao XH & Zhang KK, Multiplicity of non-linear thermal convection in a spherical shell, 71, 016301, Physics Review E, 2005.
 Zhang P & Zhang KK, Vacillating flows between two differentially rotating concentric spheres, Far East Journal of Applied Mathematics, 14(1), 1-24, 2004.
 Zhang P, Liao XH, Zhang KK, Patterns in spherical Rayleigh-Benard convection: A giant spiral roll and its dislocations, Physics Review E 66 (5): art. No. 055***,****.

References

References available upon request.