Data Engineering

Sophia Duan

*** *. ****** *****, ***. **** 330-***-****

Chicago, Illinois 60601 ***********@*****.***

PROFILE: EXPERIENCE: Investment analyst who has developed valuation models across

multiple asset classes based on mathematical methods and risk management.

ANALYSIS: Problem solver who reviews all relevant data and asks the

right questions to identify issues and resolutions.

• Financial Modeling • Backtesting • PCA, ICA, & Machine Learning

• Large Data Sets • Risk Analysis • Programming & Automation

EXPERIENCE: LFK GROUP, LLC Chicago, Illinois 2011-Present

QUANTITATIVE ANALYST

Develop and implement pricing models and trading strategies for a firm that

trades across asset classes. Test concepts and simulation s prior to implementing

new models. Contribute to all stages of model development from data mining

and research to execution and back office. Maximize profitability through

backtesting strategies. Perform order execution, risk management, and related

functions. Conduct term structure modeling of interest rates and commodity

futures. Supervise interns who perform data analysis and basic coding. Work

well as an individual and as part of teams. Manage time and priorities to meet

strict deadlines.

• Enabled the firm to extend market coverage by leading projects to develop

trading models for European Fixed Income Products, Equity Index Futures,

Soybean Complex, and Energy Complex.

• Wrote process guidelines and managed models for a trader who trades

European Fixed Income Products, and increased trading profits by 300%.

• Developed an Energy Complex model by applying PCA.

EUREX U.S. EXCHANGE HOLDINGS, INC. Chicago, Illinois 2010-2011

STATISTICAL DATA ANALYST (Contract/Intern posit ions)

Developed automation tools to manage large data sets and generate reports at an

exchange. Conducted correlation analysis on U.S. and European markets for

fixed income products. Compiled reports on customer performance and market

trends. Prepared ad hoc reports used in presentations by Business Development.

• Collaborated with a VP in developing an annual performance forecast for

executive leaders.

• Gained understanding of derivative markets, settlement processes, and

exchange connectivity protocols.

• Developed hands-on skills using VBA for automation and managing data sets

with SQL.

EDUCATION: KENT STATE UNIVERSITY Kent, Ohio

Master of Science, Financial Engineering (GPA, 3.7/4.0) 2010

Developed professional understanding and hands-on skills in

• Risk Exposure Calculations • Counterparty Credit Risk

• Time Series Analysis • Probability Distribution

• RMBS Cash Flow Modeling

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Sophia Duan

(Page Two)

UNIVERSITY OF ELECTRONIC SCIENCE & TECHNOLOGY

OF CHINA Chengu, China

• Master of Engineering, Biomedical Engineering (GPA, 3.8/4.0) 2009

• Bachelor of Engineering, Biomedical Engineering (GPA, 3.8/4.0) 2006

• Bachelor of Economics in Finance (GPA, 3.6/4.0) 2006

Developed skills in analyzing financial statements.

RESEARCH: • Researched Canonical Valuation of American options, supporting an expert in

quantitative finance who wrote a theoretical paper and follow up study on

methodology. Applied Canonical Least-Squares Monte Carlo (CLM) that

proved the method outperformed traditional models (2008-2009).

• Developed mathematical models using PCA, ICA, and Machine Learning

techniques to study EEG (brain wave signals). Manipulated large data sets as

part of studies (2007-2009).

CERTIFICATION: CFA I candidate

TECHNICAL

SKILLS: Programming: Excel (advanced), VBA (advanced), MATLAB, Python, C/C++,

and SQL

Statistics: R, SAS, SPSS, Eviews

Trading: Bloomberg, CQG, Trading Technologies (all programs at API or user

level)

Data Analysis: Strong experience working with large data sets and noisy signal

processing

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