HONGHUAN LIU, PHD, 812-***-**** ********@*.****.*** US permanent resident
Education
Master of Financial Engineering UCLA Anderson School of Management Los Angeles, CA December 2017 Stochastic calculus, derivative markets, fixed income, risk management, empirical methods in finance, data analysis, investment, econometrics.
Ph.D. in Physics Indiana University Bloomington, IN June 2013 Partial differential equations(PDEs), data analysis, machine learning algorithms, modeling and optimization and stochastic physics. Quantitative Finance Projects
Monte Carlo Simulation, Derivatives Pricing & Portfolio Construction Oct 2016 – Dec 2017
Calculated expectations of stochastic processes by applying Monte Carlo simulation and variance reduction techniques.
Priced different options using Monte Carlo simulation, Binomial Tree, Least Square Monte Carlo and Finite Difference methods.
Priced fixed income products using Monte Carlo simulation based on interest rate models, such as Vasicek, CIR, Hull White models.
Analyzed portfolio risk and predicted portfolio returns using linear regression methods and time series models.
Built models and performed technical analysis to predict equity prices.
Constructed portfolios using multi factor models and optimize portfolios based on different objectives. Balance Sheet Optimization Project at PNC June 2017 – Dec. 2017
Studied different kind of risks of commercial bank assets, internal risk management models and Basel I, II and III regulations.
Investigated properties of different optimization algorithms and applied SLSQP to optimize the portfolio at PNC.
Increased 15% net interest income for PNC by optimizing balance sheet under regulations and internal risk management models. Professional Experience
Almitas Capital Los Angeles, CA July 2017 – Sep. 2017 Quantitative Researcher
Extracted and Analyzed historical price of more than 100 dual class stocks across global markets using R and found out that the correlation between the two classes of stocks of each company.
Created a mean reversion trading strategy and optimized model parameters using training sample data.
Backtested the strategy using test sample and this strategy won 66% of trades and got about 2.0 sharp ratio. University of Texas Southwestern Medical Center Dallas, TX June 2013 – Aug. 2014 Research Associate
Analyzed X ray distributions of existing plans and created a dynamic planning method to achieve the same distributions.
Developed a Genetic Algorithm optimization C++ program to optimize the dynamic method and reduced 90% of planning time. Indiana University Bloomington, IN May 2010 – May 2013 Research Assistant
Derived the dynamic equation of multi particle motions and built C++ program to numerically solving the equation.
Developed an Independent Component Analysis (ICA) program using Matlab and applied it to analyze experimental data and obtain hidden information to improve the experiments.
Proposed a new low risk and highly efficient discrete beams therapy strategy for radiation therapy.
Created a Genetic Algorithm optimization Matlab program to optimize this new strategy and applied Monte Carlo simulation to validate this strategy.
Skills & Accomplishments
Technical Skills: C++, Matlab, R, Python, Microsoft Excel, VBA, Monte Carlo Simulation, Data Mining, Partial Differential Equations, Numerical Methods, Machine Learning Algorithms, Mathematics and Statistics.
Publications
Evolution of Beam Distribution in Crossing a Walkinshaw Resonance, Phys. Rev. Lett.110 (2013) 094801 Spot scanning with a rapid cycling proton beam: Dose delivery algorithms, Jour Proton Ther. 2016;2(1):211. The New Extended Left Right Symmetric Grand Unified Model with SO(3) Family Symmetry, Nucl.Phys. B 820 (2009) 364