Ji Luo
Tel: +86-152******** Email: ac8gcq@r.postjobfree.com LinkedIn: uk.linkedin.com/in/jiluo1/
WORK EXPERIENCE
Chenyu Capital (HFT Strategist, Shanghai) 02/2018 – Chenyu Capital is a high-frequency quantitative hedge fund focused on low-risk investment opportunities
Establish a high-frequency quantitative arbitrage trading strategy in the Commodity futures market. It is mainly used for Calendar Spread Arbitrage. The backtest, using one-month in-sample and out-sample tick data, gains over 50% return. Currently, the strategy is running in small-scale with stable daily positive returns
Contribute significant high-frequency factors for the stock T0 strategy, increasing 10% to 20% return
Provide framework for the stock algorithm strategy and achieve stable returns with high Sharpe ratio
Carry out operation and maintenance in a timely manner to ensure the normal operation of the trading.
Use Python to test high-frequency arbitrage and market-making strategies and interested in machine learning Four Elements (Quantitative Analyst, Singapore) 07/2017 – 12/2017 Four Elements is a specialized commodity asset hedge fund with fundamental systematic investment approach
Use R to build functions to visualize and analyze tracking errors, improve execution strategies
Build sophisticated trading strategies, like market making strategies for Rubber futures listed on SGX
Execute trading orders, manage portfolio risk exposure, record market data and fix issues related to trading Flow Traders (Trader, Singapore, Amsterdam) 02/2016 – 06/2017 Flow Traders is a privately founded trading house specializing in market making and proprietary trading
Build high-frequency trading strategies to fast capture market opportunities
Provide liquidity with market making strategies, create and redeem ETFs with perfect hedge
Quickly spot mispricing in the market and secure profit with arbitrage strategies
Build models by using Python to enter spread trading and make directional trade for special events
Price ETFs in different markets based on prediction and the move of underlying and relevant assets
Rotate to different trading desks, including dual listings, commodity, USA and emerging market desks
Contribute to the desks’ P&L (average daily P&L 30K+ USD in Amsterdam and 20K+ USD in Singapore)
Analyze competitors’ behavior, always try to have the time priority and be faster than other market makers Citigroup Centre (Trading intern, London) 01/2014 – 01/2014
Shadowed Citi traders around credit, fixed income and crude oil trading desks
Evaluated asset pricing theories of European bond market, credit default swap, option payoffs
Familiar with traders’ daily work in different markets and Citi trading department working environment Citigroup (Risk management intern, Shanghai) 09/2009 – 12/2009
Searched and downloaded data from central bank’s website and audited customer loan cards
Completed target companies’ annual balance sheets, income statements and statements of cash flows
Successfully allocated over 100 company credit rating categories based on internal software analytical results EDUCATION
Loughborough University Loughborough, United Kingdom PhD in Quantitative Finance – Topic of Liquidity timing skills for hedge funds 10/2011 – 12/2015
My thesis focuses on whether hedge funds are able to show liquidity timing skills in different financial markets. The findings are that, for certain hedge funds, hedge fund managers show liquidity timing skills in the fixed income market, foreign exchange market and commodity market, respectively. My investigation is helpful to understand the role of financial market liquidity in hedge fund portfolio management Publication: The Market Liquidity Timing Skills of Debt-oriented Hedge Funds, European Financial Management Timing liquidity in the foreign exchange market: Did hedge funds do it?, Journal of Multinational Financial Management
University of Bristol (QS world ranking: 27) Bristol, United Kingdom MSc in Finance and Investment 10/2010 – 09/2011
Relevant Coursework: Asset Pricing, Econometrics, Applied Economics, Quantitative Finance, Investment Management, Quantitative Trading, Derivatives and Dissertation of Volatility Models Forecasting Shanghai University of Finance and Economics (GPA: 3.7/4.0) Shanghai, China BSc in Economics (Minor in Statistics) 09/2006 – 07/2010
Relevant Coursework: Linear Algebra, Data Structure, Programming, Calculus, Financial Engineering, Statistics, Algorithm, Advanced Mathematics, Probability Theory, Security Investment, Game Theory ACHIEVEMENTS
1st place in the 2013 Citi Trading Game Final 11/2013 – 12/2013
Reached the 1st place among UK top 15 universities and other European top universities
Used poker as the tool, traded (long/short) underlying asset by offering and taking bid/ask prices
Generated highest profit by adopting arbitrage and risk management strategies under high pressure 10th place out of 1800 participants in the Citi Virtual Trading Game 11/2012 – 01/2013
Acted as a market maker for three published companies traded in New York Stock Exchange
Asked for bid/ask prices from investment bank brokers and offered bid/ask prices to these brokers
Established a portfolio of stocks, manage portfolio risks and provided liquidity to the market Second place in University Football Tournament in Shanghai 10/2008 – 11/2008
Led university football team for one year as vice-captain and arranged regular training and matches
Achieved the second place in University Football Tournament by breaking the university record
Showed leadership and teamwork skills by motivating teammates and improved physical and mental strength SCHOLARSHIPS
The PhD Scholarship that covers three years’ tuition fees and allowances
Shanghai City Scholarship in 2009 (18 students at university)
First Award of People Scholarship in 2009 (1st in class)
Nation Encouragement Scholarship in 2007 and 2009 TECHNICAL SKILLS
Python, R, Matlab, Stata, SPSS – Statistical and Financial Modelling, Data Analysis, Risk Management
Machine Learning – Systematically learn one of best machine learning online courses
Others: Bloomberg, VBA, Excel, DataStream, Thomson Reuters Eikon LANGUAGE & INTERESTS
Languages: Fluent in English, Native in Mandarin
Interests: Football, Basketball, Tennis, Texas Hold’em, Poker, Chess