MS in Financial Engineering (3.71) – 2018
Coursework: Stochastic Calculus, Machine Learning, Algorithmic Portfolio Management, Risk Management, Quantitative Analysis, Python, C++, R, Bloomberg Terminal Certificate
New York University, New York Awarded Scholarship
Bachelor of Economics in Financial Engineering – 2016
Coursework: Linear Algebra, Probability, Stochastic Calculus, Statistics, Econometrics, Microeconomics, Macroeconomics
Sichuan University, Chengdu
World Financial Group, Piscataway, NJ
Associate Trainee, 2018 – Now
Simulated future cash flow of life insurance and clients’ potential requirement upon the market rate in Excel and Python. Sourced potential insurance clients, identified requirements, and devised effective plans to accelerate business sales growth and enhance satisfaction.
Remained up to date with complete and accurate insurance products information and market rates to help clients make their future plan.
RESEARCH AND PROJECTS
Trading Agents of Volatility ETNs upon Q learning (Capstone Thesis)
An exploration of the application of Markov Decision Making method, Q-learning, on continuous stationary process. Distinguished the best portfolio in four available beta neutral portfolios of VIX ETNs given certain state. Enhanced training efficiency by reimplementing the entire project in C++ and executing multi-threading. Assessed the sensitivity and efficiency of Q-learning model upon different objective functions and threshold. Summarized the requirement in environment complexity, data quality, and training efficiency of a Q-learning method.
Risk Management Projects
Simulated future portfolio exposure upon partial derivatives and historical data. Estimated the risk of portfolios through Expected Shortfall and Value at Risk given the simulated future distribution. Compared the performance of each risk measure upon normal and heavy tailed distribution. Constructed beta neutral portfolios to hedge systematic risk and made research about the portfolios’ alpha.
Derivatives Pricing Related Projects
Priced Bonds, Forwards, Futures, Options and Swaps upon assumed parameters. Priced exotic options and estimated complicated volatility models using Monte Carlo Simulation. Calibrated the interest rate volatility parameter from the market price fluctuation for different models. Valued derivatives upon the underlying asset prince and risk-free rate. Explored potential arbitrage opportunities through estimate the derivatives prices upon the parameters calibrated from the market.
Neural Network Projects
Implemented a Feedforward Neural Network to estimate the stock returns upon 53 fundamental factors and clustered simulated stocks to build portfolios.
Data Visualization Projects
Created an interactive graph to capture the correlation between the deviation level of a stationary process and successive movement. Constructed a collaborative graph to display the location and intensity of earthquakes around the world.
Orientation Leader, New York University Student Assistant, Sichuan university Ceremony Host, Sichuan university
Three years’ Forex and Indices Trader FRM level II Candidate Badminton Player