Management Assistant

Yang Liu

*** ********** ****, ****** ****, NJ ***10 Tel: 979-***-**** Email: ****.*.***@***.***

EDUCATION

NEW YORK UNIVERSITY New York, NY

The Courant Institute of Mathematical Sciences

MS in Mathematics in Finance (expected January 2013)

Math & Finance: Stochastic Calculus, CAPM and Black-Litterman Model, PCA, Volatility Models

Quantitative Trading: Market Impact Models, Optimal Execution, Portfolio Optimizations, Pair Trading

with Cointegration Analysis, Time Series & Statistical Arbitrage

Computing: Exotic Options Pricing by Multi-Threaded Monte-Carlo Simulation

Texas A&M University College Station, TX

MS in Physics (August 2011)

Four publications in top peer reviewed journals such as Physical Review Letters (2), Physical Review B, in

theoretical Condensed Matter Physics

Beijing University of Aeronautics & Astronautics Beijing, China

BS in Physics (June 2008)

Awards: 1st prize (top 5%) in China Undergraduate Mathematical Contest in Modeling, 1st prize (top 2%) in

China Undergraduate Physics Contest

EXPERIENCE

Investment Technology Group (ITG) New York, NY

Summer Intern, Liquidity Management (May 2012 July 2012)

Enhanced POSIT Volatility Filter to protect customer orders from adversely interacting with toxic

counterparties in dark pool based on quantitative models

Demonstrated to development team to implement new Volatility Filter in POSIT; Designed a system to

measure the performance of Volatility Filter; researched gaming in Dark Pools;

Perennial Investors LLC New York, NY

Spring Intern, Quantitative Trading (January 2012 May 2012)

Developed, back-tested various quantitative trading strategies for US equities and ETF s in MATLAB

Built VBA programs to retrieve market data for colleagues

Texas A&M University College Station, TX

Research Assistant (June 2009 August 2011)

Developed, parameterized and implemented a Domain Wall dynamics Model to design next generation

memory devices (featured in Physics Review Letter Editor s Suggestion)

Patent pending: Optimization of Domain Wall Motion in a Ferromagnetic Nanowires

ACADEMIC PROJECTS

Algorithmic Trading and Quantitative Strategies (Spring 2012) New York, NY

Built and estimated an Equity Market Impact Model with TAQ data in MATLAB

Estimated covariance matrices of S&P 500 using Factor Models

Risk & Portfolio Management (Fall 2011) New York, NY

Constructed optimal portfolios by CAPM and Black-Litterman model using 15-year real data

SKILLS

Programming languages: Java, C/C++, Fortran, MATLAB, R

Other Software: Bloomberg, SQL, Microsoft Word, Excel, PowerPoint

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