Lepeng Wu

*** **** **., ********, **, ***** - 917-***-**** (C) - ac01h0@r.postjobfree.com

LinkedIn: https://www.linkedin.com/in/lepengwu

Education

Columbia University in the City of New York (Graduate School of Arts and Sciences) Master of Arts: Statistics February 2017

New York, NY

Courses: Statistical Machine Learning, Elementary Stochastic Processes, Linear Regression Models, Time Series Analysis, Advanced Data Analysis, Statistical Methods in Finance, Introduction to the Mathematics of Finance, etc. GPA: 3.60/4.00.

Nanjing University (Department of Mathematics)

Bachelor of Science: Information and Computational Science June 2015 Nanjing, Jiangsu, China

Courses: Mathematical Analysis, Higher Algebra, Visual C++ and Computer Programming, Ordinary Differential Equations, Numerical Methods and Experiments, etc. GPA: 3.88/5.00.

Summary of Skills

R, Python, C++, SQL, Excel, PowerPoint

CFA Level I

Projects

Analysis on German Credit Data October 2016

Columbia University, NY

Based on the profiles of loan applicants, built models to predict their credibility. First, use Logistic Regression to build the model. Use “both direction” stepwise variable selection method to drop the redundant variables. Use cross-validation to determine the threshold for classification. The accuracy of this model is 74%. Then fit another model using Random Forest. The accuracy of this model is 75%. Bitcoin Trading Model Development March 2016

Pythagoras Investment Management LLC, NY

Consider several factors as the different dimensions of data. Use the sign of the following day’s return as label. Train on the data using ADA BOOSTING algorithm and then do backtesting.

The result is an annual return of 112.9% and a Calmar Ratio of 3.82. An Optimization for the Black-Scholes Model May 2016 Columbia University, NY

Use Mixture Transition Distribution to optimize the famous Black-Scholes Model. Use Monte-Carlo Simulation to calculate the price of an option given volatility and calculate the implied volatility given price.

Asset Management - Statistical Analysis on 10 Stocks May 2016 Columbia University, NY

Calculate some descriptive statistics (mean, standard deviation, skewness, kurtosis, correlation, etc.) of the returns of 10 selected stocks. Calculate Value at Risk and Expected Shortfall of the 10 stocks (for Risk Management). Do Principal Component Analysis. And fit copulas to model the joint distribution of the returns of the 10 stocks. Then construct portfolio of the 10 stocks. Professional Experience

Benxin Investment Management LLC July 2016

Finance Intern

Guangzhou, Guangdong, China

Performed fundamental analysis on public companies, wrote reports, and made presentations. Formed a group of 3, with each group member by turns played the roles of Fund Manager, Risk Manager and Trader, imitated a team in Private Equity Fund and simulated trading.