Project Manager Quality Control

Lingyin (Roger) Zhu

Address: *** ******* *****, **********, **, 60062

Email: ab80bg@r.postjobfree.com Cell: 716-***-****

EDUCATION PhD Candidate in Finance, with minors in Accounting, State University of New York,

2006 – 2009 (on campus), 2009-2012 (on leave), degree expected in summer 2013

PhD of Theoretical Physics, University of Florida, April 2005

PROFESSIONAL DESIGNATIONS & SERVICES

CFA exams all passed, designation pending on working experience; FINRA Series 56;

Society of Actuary Exam P1, FM2, MFE3 passed, C4 candidate, progress towards Chartered

Enterprise Risk Analyst;

Referees for Journal of Futures Markets, Pacific-Basin Finance Journal

WORKING EXPERIENCE

Ronin Capital (Quantitative Researcher/Portfolio Manager), 09/2011 to present

Led the ongoing research on multi-factor equity models; conducted rigorous quantitative analysis to search for

alpha sources, identify risk factors and construct long/short market neutral portfolios; monitoring market data to

detect opportunities that lead to trade decisions. Solely designed, back-tested and built into production several

statistical arbitrage strategies in US and Japan equity markets based on intraday/daily price movement (models

designed for current slow market condition deliver unleveraged return of 8%-10% with Sharpe ratio between 3-7

and average holding period being 3-5 days);

Managed active equity portfolios with book size about $25 Million; maintained the proprietary database of

historical trade/position profile; reviewed transaction reports to assure proper execution; conducted performance

attribution analysis to identify sources of realized return and risk; adjusted portfolio components/execution

parameters to evolving market situation for risk control and return enhancement

Built a proprietary pricing library & database to standardize/streamline research process from data to model to

simulation and evaluation; compiled and monitored scripts pool (Linux & Windows) for overnight production of

managed portfolios and real time target trades generation

Sought out, evaluated and integrated new sources of data and recent academic/practitioner literature to

promote portfolio ideas orthogonal to existing ones (e.g., collected RSS feed to compile news library for event-

driven portfolios development)

Property and Portfolio Research, (Senior Quantitative Researcher/Project Manager)

01/2011 to /09/2011

Supervised and coordinated research activities of junior team members; served as the point of contact between

Quantitative R&D group and Debt/Risk group to synchronize analytical/data process integration for commercial

real estate research

Overhauled the analytical component of PPR in-house portfolio management procedure for institutional

clients; initiated new DCF model at property and market level; developed and implemented rent index

methodology; solely designed and implemented return Monte Carlo engine to assess statistical properties of

PPR/CoStar Derived Market Returns Model and to improve quality control on model input for Compass/CMBS

risk products

Provided prototype implementation of research result for production; compiled technical whitepaper for

internal reference; summarized group work for internal and external presentation; provided direct research support

to top management to estimate commercial value of new models and to facilitate managerial decision making

Ronin Capital (Equity Quantitative Analyst), 10/2009 --- 01/2011

Led trading desk analytics procedure to design/back-test/deliver trading strategies; implemented and

calibrated standard pricing models for equity options including Black-Scholes, Heston-GARCH, and SABR;

forecasted market volatilities and interest rate dynamics using Kalman filter and GARCH model; developed and

implemented relative valuation models for ETFs to construct statistical arbitrage portfolios; studied tick level data

and tick test to explore high frequency trading strategies

Exported QuantLib pricing models/libraries into Python; designed and programmed GUI component of

proprietary trading platform with C#; automated scripts for daily production

SKILLS & QUALIFICATIONS

Computer & Database

• Python, R/S-Plus, MATLAB, SAS, SQL, C#/C++, FORTRAN77/90, VBA; Eclipse, Power Point,

Excel, Word, HTML, Latex and Notepad ++; object oriented design

Working knowledge of financial databases including CompuStat, CRSP, IBES, TAQ, FastTick,

1.

DataStream, Bloomberg, MarketQA, Yahoo API, CoStar Property & Comps; expert skills on large

dataset processing and scripts integration/automation

Analytical & Technical

Thorough understanding of modern portfolio theory, asset pricing models and market anomalies;

2.

practical knowledge of equity multi-factor alpha model design, portfolio construction, optimization

techniques, risk control, back-testing and portfolio performance attribution; abreast of evolving

trends in new ideas and academic literature

In-depth knowledge of corporate finance, financial accounting (GAAP/IFRS), earnings

3.

decomposition and forecasting, discounted cash flow analysis and valuation principle

Familiarity with risk management concepts; knowledge of loss model (frequency/severity)

4.

construction and calibration, credibility theory and their financial & actuarial applications

Solid quantitative background in financial mathematics, statistics, (spatial) econometrics and time

5.

series; working experience with various numerical methods (Optimization, Monte Carlo, Filters,

PDE etc.), model estimation techniques (MM, GMM, MLE etc.) and machine learning algorithms

(Robust regression, PCA, PLS, Cluster, etc.); familiarity with pricing models (equity, option, futures

and fixed income) and standardized exchange products; knowledge on US & Japan equity market

structure and trade execution issues

Managerial & Business Analytics

Clear communication and written/presentation skills; client-oriented consulting experience and

6.

people management experience

Hands on experience with product life cycle management including development,

7.

implementation, quality control, production and maintenance

Demonstrated problem solving skills – ability to identify issues, propose and implement solutions

8.

and summarize results; proven ability to prioritize/manage multiple projects and meet/beat deadlines;

self-starter in promoting ideas and dedicating to solutions

PUBLICATIONS & HONORS

10 journal articles in Physical Review Letter/B Series (list upon request)

1.

“How natural is natural preference: price clustering and information-based trading after tick

2.

decimalization”

“Re-examine efficacy of Reg-FD: a market perspective on earning revisions”

3.

“Impact of uncertainty, fear on liquidity and cross-sectional stock returns” (in progress)

4.

Awards list available upon request

5.

Contact this candidate