QICHEN (CATHY) SUN
917-***-**** ac7o4a@r.postjobfree.com
EDUCATION
COLUMBIA UNIVERSITY, New York, NY
Master of Science in Financial Engineering Expected Dec 2019
Anticipated Coursework: Continuous-Time Asset Pricing, Discrete-Time Asset Pricing, Monte Carlo Simulation, Stochastic Calculus, Optimization, Machine Learning, Time Series Analysis NANJING UNIVERSITY, Nanjing, China
Bachelor of Economics in Financial Engineering, GPA: 3.8/4.0 Sep 2014 – Jun 2018
Coursework: Black-Scholes & Greeks, CAPM, PCA, Linear Regression, Interest rate models, Machine Learning, Data Mining Using Python, NLP, Probability, Statistics, Numerical Analysis, ODE, Time Series Analysis UNIVERSITY OF CALIFORNIA, BERKELEY, Berkeley, CA
Exchange Program: Major in Mathematics and Statistics, GPA:4.0/4.0 Aug 2016 – Dec 2016 EXPERIENCE
China Times Asset Co., Ltd. Shanghai, China Feb 2018 – May 2018 Quantitative Trading Assistant
Fit ARMA and GARCH models on SSE Composite Index for prediction; increased the estimation accuracy 28% by implementing non-linear GARCH models; explored economic mechanisms for volatility clustering
Estimated portfolio risk with Value at Risk using historical bootstrap and Monte Carlo method in Python; drafted portfolio investment strategies based on different expected return and risk-aversion level and presented to managers SWS Research Co., Ltd. Shanghai, China Sep 2017 – Nov 2017 Quantitative Research Intern
Analyzed the influence of shorting cost on SSE ETF 50 using Excel VBA; adjusted Black-Scholes model to equalize implied volatility of calls and puts by adding a shorting cost parameter
Forecasted long-term and short-term volatility of S&P 500, SSE ETF 50 and HSI using implied volatility and GARCH models on realized volatility; investigated pros and cons of two models on different time spans
Developed a rating model to classify stocks into value and growth styles; used Machine Learning techniques to construct SWS style index; connected index database with Wind API for automatic real-time update PROJECTS
NANJING UNIVERSITY, Nanjing, China
Static Hedging for American Options Using European Options Jan 2018 – May 2018
Built a static hedging model to replicate and price American options with standard European options
Solved the boundary-free problem of pricing American options by adding value-matching and smooth-pasting conditions; obtained numerical solutions by employing Newton-Raphson method using MATLAB
Compared the performance of static hedging with the benchmark computed from Monte Carlo simulation; Static hedging reduced 47% of hedging error compared to daily delta hedging on S&P 500 index options Statistical Arbitrage for Stock Index Future and Bond Future Jan 2017 – Apr 2017
Computed correlation and analyzed co-movement mechanism between stock index futures and bond futures
Conducted cointegration test of two futures in python and interpreted the results
Employed Bollinger bands and developed pairs trading strategy to build portfolio; portfolio achieved Sharpe ratio of 1.59 in 16-month back-testing with excess return of 26% UNIVERSITY OF CALIFORNIA, BERKELEY, Berkeley, CA
Data Mining & Machine Learning: 2016 Presidential Election Debrief Nov 2016 – Dec 2016
Extracted, cleaned and integrated 4 years’ election data, GML and census data by web scraping, exploratory data analysis and data manipulation in R; used GitHub for version control and team collaboration
Predicted 2016 presidential election results using K-NN, Decision Tree and Naïve Bayes SKILLS
Programming & Other Software: Python, C++, R, SQL, Excel VBA, XPath, MATLAB, LaTeX, Bloomberg