Resume

Sign in

Financial Service

Location:
Chicago, Illinois, United States
Posted:
November 28, 2017

Contact this candidate

Tong Ding

**** * **** ***** ** Apt ***, Chicago, IL, 60615 (773) ***-**** ac3inh@r.postjobfree.com

EDUCATION

THE UNIVERSITY OF CHICAGO Chicago, IL

Master of Science in Financial Mathematics September 2016 - Expected December 2017

• GPA: 3.8/4.0.

• Coursework: Option Pricing, Probability, Portfolio, Case Studies of Implementation in Computational Finance, Numerical Methods, Stochastic Calculus, Analysis of Financial Time Series, Advanced C++ for Finance, Foreign Exchange. SHANGHAI JIAO TONG UNIVERSITY (SJTU) Shanghai, China Bachelor in Mathematics and Applied Mathematics, Minor in Finance September 2012 - June 2016

• GPA: 3.5/4.0. Academic Excellence Scholarship for top 10% students (2013).

• Coursework: Mathematical Analysis, Advanced Algebra, Numerical Analysis, C++, Data Structure, Ordinary / Partial Differential Equations, Probability, Stochastic Process, Quantitative Economics, Math Modeling, Graph Theory. UNIVERSITY OF CALIFORNIA, BERKELEY (Summer Session) Berkeley, CA

• Coursework: Marketing, Communication for Leaders July - August 2014 EXPERIENCE

GOLDMAN SACHS New York, NY

Summer Securities Strats Analyst Intern, Equity Flow Vol Desk & Synthetic Product Group June 2017 - August 2017

• Fitted the smoothing spline on the European option price space to generate an implied volatility surface. Added linear arbitrage- free constraints to the optimization function and aggregated call and put implied volatilities together.

• Enhanced sector ETF beta estimation with Kalman filter.

• Built automatic utilities to send index rebalancing reminders, checking the trading holidays in different countries. EVERBRIGHT FUTURES Shanghai, China

Derivatives Intern, Financial Engineering Department July 2016 - August 2016

• Developed an over-the-counter commodity options trading system, using Python Django web framework, involving functionality of European option pricing, recording trades, calculating positions, Greeks value, and scenarios of risks. SHANGHAI MINGSHI INVESTMENT MANAGEMENT CO. LTD (Hedge Fund) Shanghai, China Quantitative Strategy Analyst Intern July 2015 - March 2016

• Constructed a web crawler, scraping stock forum posts and storing in a MySQL database. Collected around 10 million posts.

• Worked out a market timing strategy on the index through building a customized financial sentiment dictionary and trading against the irrational investor sentiment. (SAS and Python Pandas)

• Built a stock cross-sectional strategy based on investor attention and stock past underperformance. SHANGHAI WILLING INFORMATION TECHNOLOGY CO. LTD Shanghai, China Developer Intern, IT Division September 2014 - February 2015

• Built a website management platform monitoring website traffic, webpage view time span and forum post numbers and compiling forum and news hot keywords into live-updating bubble graphs in Html. RESEARCH EXPERIENCE

Trading System Implementation in C++, Project of Advanced C++ for Finance course May 2017

• Implemented a simple trading system including modules such as connecting to the exchange, building order books, and trading with a strategy. Used QuickFIX library to deal with the simulated data stream. Statistical Arbitrage of Stock Betas, Algo Trading Case of Rotman International Trading Competition Febuary 2017

• Optimized the exposure to stock mispricing under the constraints of market beta neutral and gross / net limits.

• Set an ordering speed function to tackle regulations on the max amount and speed of ordering.

“Interpolation of Index Option Implied Volatility Surface and Statistical Modeling of its Skew” January 2017 - May 2017 Project with Quiet Light Security, Aegea Capital Management LLC (Chicago).

• Interpolated the index option implied volatility surface on fixed delta points and maturities.

• Analyzed movements of volatility skew using different factors. Did bucketing regression on various market environments.

“Impacts of Mean Reversion on Momentum Effect in Financial Market”, Top 10% graduate thesis June 2016

• Found long-term momentum effects after short-term reversal in Barra model residue returns in Chinese stock index.

• Measured market index mean reversion speeds and volatilities with an Ornstein-Uhlenbeck type SDE and maximum likelihood estimation. Verified that market crashes fixed low mean reversion speeds. SKILLS, INTERESTS AND ACTIVITIES

• Programming Skills: C/C++, Python (Pandas, Scrapy, Django), Matlab, SQL, R, SAS, PHP.

• Interests: Clarinet, classical music, table tennis, billiards, poker games and swimming.

• Extracurricular Activities: SJTU wind band player; Chairman of the Musical Instrument Association of SJTU.



Contact this candidate