Quantitative Developer

Yang Li

**** * ******** ***., ***. #***, Chicago, IL 60616, 312-***-****, ac10g5@r.postjobfree.com

Skills & Certifications

• Proficient in R, C++, Python, Matlab, Tableau, SAS, Eviews, SPSS, Hadoop, Spark, Pig, SQL Server, D3.js, Hive

• SAS Certified Statistical Business Analyst Using SAS 9: Regression and Modeling Credential

• National Computer Rank Examination Level 2: MySQL

• Neural Networks for Machine Learning • Hadoop Platform and Application Framework Coursera Education

Illinois Institute of Technology Chicago, IL Aug. 2015 - May 2017 Master of Science, Computational Finance

• Computational Finance (Python) • C++ with Financial Markets •.NET and Database Management (C#)

• High Frequency Finance (Python) • Bayesian Econometrics (R) • OOP and Algorithmic Trading Systems (C#) Illinois Institute of Technology Chicago, IL Aug. 2014 - May 2015 Master of Science, Chemical Engineering

Taishan Medical University Taian, China Sep. 2010 – Jul. 2014 Bachelor of Science, Chemical & Biomedical Engineering Experience

Illinois Institute of Technology Chicago, IL Jan. 2017 – May 2017 Research Assistant in Statistics (Programming in R)

• Participated in developing a new R package for calibrating general multi-variate diffusions models using maximum likelihood estimates, and presenting a new algorithm for calibrating the Heston model to option prices using maximum likelihood estimation and assess the robustness of the approach using Monte Carlo simulation Great Lakes Realty Group Chicago, IL Jan. 2017 – May 2017 Financial Service Intern

• Prepared Federal and Multistate quarterly tax estimates, returns and extensions for clients across a broad range of business entities and industry types

• Constructed year-end balance sheets, capital roll-forwards, income statements for clients. Utilized tax research software such as CCH Intelliconnect and BNA to conduct research in various areas of tax law.

• Responded to notices from the Internal Revenue Service on behalf of clients Bank of China Jinan, China May 2016 – Aug. 2016

Quantitative Research Analyst Intern (Programming in Python)

• Participated in credit risk modeling for CCAR enterprise-wise Stress Testing purpose

• Participated in modeling market curves using a modified Ornstein-Uhlenbeck stochastic process and calibrate it using Monte Carlo engine to measured the bank’s counter party credit-risk exposure PKU Health Care Zibo, China May 2015 - Aug. 2015

Data Science Intern (Programming in R)

• Building statistical models to investigate the mortality risk faced by dialysis patients based on clinical parameters. This involved work in longitudinal data analysis and survival analysis, programming in R

• Provided statistical analysis using R to fit a regression model on Drug Supply data in order to predict future drug shipment numbers based on the number of active sites and subjects in given clinical trial Xinhua Pharmaceutical Co. Zibo, China May 2014 - Aug. 2014 Statistics Intern (SAS and R)

• Applied Bayesian methods in mixed-effect model analysis, especially for dealing with negative variance components of random effects (by using SAS and R)

• Evaluated the format of new drugs assay (using R). The result suggested that the format of the assay could be changed so that the time, money and number of mice used in the reference standard experiments could be reduced Academic Projects

Arbitrage Opportunities on Bond Future and Hedging Ratio Analysis (Programming in Python)

• Used yield method and arbitrage free interval method to tell the existence of arbitrage opportunities on bond future. Used ARIMA model to estimate the bond future price and spot bond price. Tested various models (OLS, VAR, ECM, BEKK- GARCH) and applied these models to calculate the hedging ratio based on the data from 2013 to 2015 Interactive Broker Application Program Interface C++ Development (Programming in C++)

• Programming Interactive Brokers API using C++, realized main functions include requesting for real time data, collecting historical data, real time indicator calculator, placing different kinds of order, backtesting framework and strategy container.

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