Engineering Assistant

Li Yang

T: 607-***-**** E: ******.*******@*****.*** A: 7841 Ridge Ave, #A113, Philadelphia, PA

EXPERIENCE

SOLARIS CAPITAL MARKETS LLC. Philadelphia, PA

Quant Developer and Algorithm Designer, Aug 2008 till now

Designing equity derivatives trading algorithms and strategies for market-making

Developing scripts for high-frequency automatic trading

Building proprietary trading strategic applications in C++ for AQTOR and MicroHedge

SANFORD C. BERNSTEIN & CO. (Alliance Bernstein) New York, NY

PROJECT: Modeling Predictive Returns via Linear Regression, Oct 2007 to May 2008

Developed hierarchical multi-factor model in predicting annual equity returns by

factorizing macro-economic and company-special factors using C++ and WinBUGS

Applied Monte Carlo simulations, optimized the forecasting capability and advised on the

company`s portfolio management and investment planning

MICHIGAN STATE UNIVERSITY E. Lansing, MI

Research Assistant and Teaching Assistant, Aug 2005 to Aug 2007

Built an open source library using C++ for Monte Carlo simulation in nuclear collisions

Published 2 papers in Physical Review C (PRC70 045207 and PRC73 025203)

Editorial Board Member of The Open Nuclear and Particle Physics Journal

ZHONGJIN-JIUSHENG INVESTMENT ADVISING COMPANY Shanghai, China

Intern, Financial Analyst, May to Aug, 2005

Designed portfolio management models and advised on investment strategies

SYNPOWER FINANCIAL INVESTMENT LLC. Beijing, China

Part time, Developer and Algorithm Designer, Summers 2002 to 2004

Implemented and optimized models in multi `what-if` scenarios on equity markets,

identified investment opportunities and analyzed risk profiles

Devised algorithmic trading system using C++ and supported it in the course of years

EDUCATION

CORNELL UNIVERSITY, College of Engineering Ithaca, NY

Master of Engineering in OR&IE (Financial Engineering), May 2008 GPA: 3.5

Relevant Coursework: Stochastic Calculus, Time Series Analysis, M-C Simulation,

Statistical Data Mining, Optimization, Statistics for Financial Engineering, Derivatives,

Fixed Income Securities and Derivatives, Investment and Portfolio Analysis

Tau Beta Pi

MICHIGAN STATE UNIVERSITY, Department of Physics and Astronomy E. Lansing, MI

Master of Science (Doctoral All but Dissertation) in Nuclear Physics, Aug 2007 3.82

Ph.D. candidate; Full Graduate Assistantship

Relevant Coursework: Numerical Methods for PDE, Microeconomics, Macroeconomics,

Financial Mathematics, Mathematical Theory of Interest, Corporate Finance

FUDAN UNIVERSITY, Department of Physics Shanghai, China

Master of Science in Theoretical Physics, Jun 2005 3.4

EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY Shanghai, China

Bachelor of Engineering in Applied Physics, Jun 2002 3.6 (major:3.8)

Minor in Applied Mathematics and Applied Software, Jun 2002

Rank No.1 and full tuition scholarships awarded for four consecutive years

Relevant Coursework: Mathematical Modeling, Discrete Mathematics, Numerical Methods,

C++, Object-oriented Programming, Software Engineering, Database

SKILLS

Quantitative and Modeling: Equity Derivatives Pricing and Trading Strategies, Stochastic

Calculus, Optimization, PDE, Monte Carlo Simulation, Data Mining, Time Series Analysis

Programming: C++.Net (Several years` experience), Scripting, VB.NET, SQL, R/S-plus

Software: AQTOR, MicroHedge, Excel, Access, Unix/Linux, Matlab, LaTex

Language: English (Fluent), Mandarin (Native) and French (Basic)

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