Management Data

Yilin Dai

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EDUCATION

NEW YORK UNIVERSITY (2011 January 2013) New York, NY

The Courant Institute of Mathematical Sciences

MS in Mathematics in Finance

Quantitative Finance: Brownian Motion, Ito's Lemma, Black-Scholes Model, Option Pricing, CAPM, APT,

Mean-Variance Optimization, VaR, Black-Litterman Model, and Time Series Analysis

Computing: Monte Carlo Framework for Option Pricing in Java, Portfolio Optimization in MATLAB, and High

Frequency Trading with Market Impact Model

MICHIGAN TECHNOLOGICAL UNIVERSITY (2007 2012) Houghton, MI

Department of Mathematical Sciences

PhD in Statistics

Dissertation: Statistical methods for multi-marker testing in genetic association studies

Five peer-reviewed publications in statistical genetics. First-author on three.

Statistics: generalized linear model, hypothesis testing, dimension reduction, and statistical learning

Outstanding Research Award, Department of Mathematical Sciences, 2009

BEIJING FORESTRY UNIVERSITY (2003 2007) Beijing, China

BS in Mathematics and Applied Mathematics, Department of Sciences

EXPERIENCE

New York, NY

STUX CAPITAL MANAGEMENT

Quantitative Analyst Intern (May August, 2012)

Researched regime detection and regime-based investing strategies

Developed statistical measures for market intensity, strategy confidence and factor dilution

Generated alternative strategies based on developed statistical measures to improve current alpha model

Implemented automatic system to back test new sector rotation model in EXCEL/VBA and R

Reported to Chief Investment Officer

Extracted macro-economic and finance data from internal database in MS SQL

PROJECTS

First Annual Academic Competition of International Association of Financial Engineers

Team Captain, Honorable mention, top 3 among 27 teams. (November December, 2011) New York, NY

Performed literature review of sovereign credit risk models, led group meetings, generated modeling ideas and

performed statistical analysis on sovereign CDS spread and macro econometric data

Developed a hybrid sovereign credit rating model based on the contingence claim method and factor model and

applied it to the case studies of Greece and California

Course project: portfolio management (Fall, 2011) New York, NY

Performed data cleaning on daily equity return and volume data from CRSP using Hampel filter

Tested the hypotheses of CAPM model after adjusting for the Fama-French factor effect

Constructed equity portfolios using mean-variance optimization and Black-Litterman model

SKILLS

Programming: R, EXCEL/VBA, Matlab, Java, C++, SAS, and MySQL

Languages : English (Fluent) and Chinese (Native)

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