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Manager Sales

Location:
United States
Posted:
August 11, 2015

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Resume:

FRANK LU

*** ********** **** *** ****, Jersey City, NJ, 07310

+1-347-***-**** +86-186******** ***************@*****.*** ******@********.*** SKILLS

Certificates: Candidate for CFA level 2; Candidate for FRM part 2; SAS Base Programming Certificate; SAS Advanced Programming Certificate Honors: 2 statistical publications on Chinese National Core Journal; Outstanding Graduate; 3 years’ campus academic scholarships; National University Innovation Project awarded; National Mathematical Modeling Contest awarded; Outstanding Volunteer of 2010 Shanghai EXPO Software: Proficient in R, SAS, PYTHON, SPSS, EXCEL/VBA and MATLAB; Comfortable with SQL, Easy language, C/C++ and Bloomberg Sport&Art: Basketball, football, badminton, tennis, bowling, skiing; Music, Chinese calligraphy, guitar, drums Languages: English (fluent), Mandarin Chinese (native) EXPERIENCE

Kershner Trading Group/ SMB Capital New York, USA

Quantitative Trader 01/2015-present

Created quantitative trading models including statistical arbitrage, pair trading strategies, and trend following strategies. Especially focus on pattern recognition models such as trading stocks with gapping up/down, consolidation breakout/down, mean reverting/ bounce back and shorting low float parabolic stocks. Designed 4 intraday trading systems with profit at least 8c/share and appropriate max drawdown

Researched and built pair trading strategies based on regression and time series such as AAPL/DIA, SPY/VXX, MU/SNDK, XOM/CVX

Traded US equities based on fundamental news and quantitative technical analysis; Gained deep knowledge on intraday trading strategies including reading the tape, analyzing the charts and scalping; Good at both of trading momentum and fading overbought/sold stocks

Learnt directional and non-directional option trading strategies; Conducted option pricing and volatility forecasting models Blue Claw Capital LLC New York, USA

Quantitative Trading Summer Analyst 05/2014-12/2014

Conducted support vector machine algorithm and genetic algorithm to optimize trading strategies for equity markets including stocks and options, where genetic algorithm performed better than support vector machine algorithm and benchmark based on back testing results

Created a Bayes system in R to support the entire strategy to cluster the stocks, search efficient frontiers and produce forecasting models

Combined diverse clustering methods including SOM in Matlab, k-means, hierarchy and FTCA; Accomplished a trend following strategy of equity markets; Used neural networks to measure the impact of various variables as well as enhancing Monte Carlo simulation in R Columbia University New York,USA

Quantitative Finance Projects Leader/Member 09/2013 -12/2014

Analysis on Foreign Exchange Carry Strategy: Presented an updated foreign exchange carry strategy with an advanced currency weighting criteria, which produced a much better result in Sharpe ratio, Sortino ratio, cumulative return and return on maximum drawdown

Estimate Covariance Matrix in Approximate High Dimensional Factor Models: Studied the impact of high dimensionality on the covariance matrix estimation based on factor structure compared with traditional methods in order to forecast volatility covariance matrix

Deep Research on Statistical Arbitrage to Enhance Modern Trading Strategies: Combined statistical arbitrage based on generalized linear regression with PCA to generate trading signals for selected ETFs and used statistical arbitrage to add and delete S&P 500 index Citigroup Shanghai,China

Wealth Management Trainee, CitiGold Sales Division 07/2014-08/2014

Researched on fundamentals and short-term returns to select portfolios; Assisted sales manager to attend meetings and meet up with clients

Located buy and short equities through due diligence research including analyzing financial statements, public information and conferences; Contacted with mutual funds, fund of funds and insurance companies to investigate on their newly produced financial products

Mastered trends on client types, asset types and sectors to be served as an add on service to existing clients and prospective clients Alpha Capital New York, USA

Investment Banking Analyst Intern 10/2013-05/2014

Built financial models including DCF, Trading Comps, Precedent Transactions analysis, LBO analysis and M&A accretion/dilution

Took part in the group to accomplish the new IPO deal of Rock House and SIP which is the largest IPO deal of Alpha Capital in 2014; Participated to accomplish recent deals such as AlTe $21 million private placement and Axxun $100 million financing this year

Researched thoroughly on previous cases including Dow Chemical Purchase of Rohm Haas, LBO of Yell Group and IPO of Jet Blue Bank of China International Securities Co., Ltd. Changchun,China Trader Assistant, Securities Summer Analyst, Sales and Trading Division 07/2012- 05/2013

Evaluated selected portfolio performance through conducting fixed income attribution analysis, calculating Sharpe ratio and analyzing tracking error; Calculated VaR by CCC and DCC models in Matlab; Researched on mathematical modeling and methods of option pricing

Learned the Black-Litterman and Markowitz models in VBA; Presented comprehensive simulations including Historical simulation and Monte Carlo simulation in R; Used quantitative risk models to analyze market risk and learnt extreme value theory

Undertook training sessions including oil trading market structures, options, futures, arbitrage and general terms; Dealt with projects for analyzing financial data in equity market based on GARCH model, binomial model, time series and linear regression models in VBA National Bureau of Statistics Changchun, China

Data Analyst Intern, Shuangyang Survey Team 06/2011-09/2011

Performed deep survey on the development of 34 industrial corporations; Dealt with the collected data through software SAS and SPSS

Analyzed the developing and management problems of the companies owing to the relevantly low consumption power of local residents; Organized teammates and managed the final analysis report as well as giving strategies to enhance sell amount for the 34 companies EDUCATION

Columbia University, the Graduate School of Arts and Sciences New York, NY, USA Master of Art, Statistics (GPA: 3.63/4) 09/2013-12/2014 Contest: BNP Paribas Ace Manager Case competition: Ranked top 5% through 7 cases in corporate, computational finance and investments 2014 Global Investment Contest: Technically traded on China Alpha and ishares asset allocation alpha; Valued US and HK listed stocks Activities: Self-employed trader; The Hedge Fund Group; American Statistical Association; Columbia Investment Bank, Data Science Division Tongji University Shanghai, China

Bachelor of Science, Statistics of Mathematics Department (GPA: 4.34/5; Overall Ranking: TOP 2/ 33) 09/2009-07/2013 Activities: Vice president of the Activity Department of Tongji Student Union Sports Division; Director of Tongji Social Community Project Division



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