Keliang Wang

**-** ******* ***, *** *F, New York, NY 11101

585-***-**** ac8i1g@r.postjobfree.com

EDUCATION

Columbia University, School of Engineering and Applied Science New York, NY Master of Science in Operations Research (GPA3.43/4.0) Dec. 2018 Major Courseworks: Stochastic Model, Optimization Method, Simulation, Modern Analysis, Time Series Analysis, Machine Learning(A), Data Mining(A), Programming for Financial Engineering(A+), etc; Shanghai University of International Business and Economics Shanghai, CN Bachelor of Economics in Financial Engineering (GPA3.92/4.0) Jun. 2017 Awards/Honors: First-class Scholarship, Top 2% (2016); Second-class Scholarship (2014); Third-class Scholarship

(2015); 1st Prize in Mathematical Modeling Contest, SUIBE (2016); Honorable Mention in Mathematical Contest in Modeling (2016); Second Prize in China Undergraduate Mathematical Contest in Modelling (Shanghai Division) (2016) Baruch Pre-MFE Program July. 2017 - Sep. 2017

C++ Programming for Financial Engineering

RESEARCH PROJECTS

Bounds of Parametric Sensitivities in Stochastic Simulation Jue. 2018 - Sep. 2018 Columbia University, summer project under supervision of Prof. Henry Lam

Designed a simulation engine in Matlab to simulate multi-class customers and servers queuing system and track interested performance measures

Demonstrated that our algorithm outputs upper bound of sensitivities of service rate and arrival rate simultaneously using single set of queuing simulation; compared results with score function method and finite difference Statistical Factor Model and Portfolio Optimization Sep. 2017 - Nov. 2017 Columbia University, course project in Application Programming for Financial Engineering

Computed PCA decomposition of Russell 1000 stocks’ return covariance matrix through Power Method

Applied synthetic factors to conduct mean variance portfolio optimization with short position, coding a C++ program calling Gourbi solver to find optimal portfolio

Streamlined data extraction and finding optimal portfolio by interacting Excel VBA with C++ program through DLL; experimented on more complex constraints (e.g. optimal assets’ quantity limit, minimum position size) Optimal Stock Selling Execution Oct. 2017 - Dec. 2017 Columbia University, course project in Introduction to Financial Engineering

Measured market impact on stock price when sell using Power Percentile model; incorporated impact uncertainty and failed transaction factors

Minimized market impact by formulating dynamic programming problem; conducted simulations in C++ with multithread to find how parameters setting affect the model performance and model robustness Influence of RMB Exchange Rate on Stock Market Feb. 2016 - July 2016 Shanghai University of International Business and Economics, undergraduate thesis

Analyzed four pathways of how RMB currency fluctuation influences stock price and selected representative indicators for each pathway; Collected 10-year time series data of all indicators and pre-process the raw data

Conducted empirical tests on time series data such as co-integration and Granger causality to find long-term equilibrium relationship and use error correction model (ECM) to describe short-term dynamic fluctuation WORK EXPERIENCE

Gfund Management Company Shanghai, CN

Risk Management Intern Nov. 2016 - Feb. 2017

Developed Excel VBA to automate monthly risk control report and quantitative analysis on fund net value

Monitored the company funds by tracking their rate of return, volatility, max dropdown and beta value with CSI300

Conducted macroeconomic research and industry research by analyzing key economic metrics from Wind financial terminal

SKILLS & INTERESTS

Computers: Proficient in Matlab, Python and C/C++; using LaTex, MS Office; Intermediate Gurobi; SAS(base certificate) Languages: English(fluent), Toefl(108), GRE(327), Mandarin(native) Interests: Drum set (organized a band and performed in various concert), Marathon (participated three international marathons and set up a 30 people running group)