Trader, broker, Quantitative Research Analyst

Chaoyu Liu

*** * ********** *******, *** *K*, Baltimore, MD 21210 ******@***.*** 402-***-****

Education

**/**-**/** ***** Hopkins University (JHU), Baltimore, U.S.A. Master of Engineering in Financial Mathematics, CGPA: 3.93/4.0 08/10-12/13 University of Nebraska-Lincoln (UNL), Nebraska, U.S.A. B.S. (with Honors) Mathematics and Actuarial Science Double Major, CGPA: 3.98/4.0 Professional Experience

05/15-08/15 PI Analytics, LLC, Washington D.C. Quantitative Analyst

Developed Finite Difference Method and Monte Carlo Least-Square Method to price REX Option (coding by Python and R)

Presented the REX Option Pricing Model on Asian Mortgage Conference

Built PIAnalytics Package and dataset in R to analyze termination loans data of Freddie Mac and Fannie Mae

06/15-07/15 Tradition (North America) Inc., World Trade Center, Manhattan Financial Analyst

Gained knowledge of and Rolled over to FX, EM, High Yield Bond, Preferred Stock, Muni Bond and Interest Rate Options Desks over six weeks

Learned general concepts of brokerage and trading strategies

Assisted in analyzing markets and checking tickets by Bloomberg Terminal 07/12-08/12 People’s Insurance Company of China, Beijing, China Actuary

Changed model of Performance Assessment and Grading System (wrote in Excel) for all Chinese branches

Found separate de-seasoanlized and de-localized distributions of reinsurance rate and claims rate, which two data analysts continued calibrating after my internship

Assisted in pricing for individual pure endowment life insurance plans Research Experience

10/14-Present Black-Box Trading Program with 2.5% Average Weekly Return JHU Research Assistant Advisor: Prof. Daniel Naiman

Create Sparrow Trading Strategy

Forecast stock price by multidimensional time series with high level of noise

Define features of data of potential increasing stocks by analyzing volatility, moving average, news, and earning reports; pick those stocks by data mining

Program trading strategies to automatically trade selected stocks 09/12-11/12 How Economic Factors Affect the Lincoln Housing Market UNL Research Assistant Advisor: Prof. Petronela Radu

Found contributing economic factors (CCI, CPI, Fed Rate, and DJIA) that affect housing market on local (Lincoln) and national level

Determined how housing market affected Lincoln economy.

Presented to UNL Undergraduate Research Conference (50 attendees) Skills & Certifications

Computer Skills: MS Office, VBA, C, C++, R, SQL, Statistics Analysis System (SAS) Actuarial Science Credentials: Passed SOA EXAM P/1 Probability, FM/2 Financial Mathematics Additional Information

Major Curricula: Derivative Markets/ Partial Differential Equation /Monte Carlo Simulation Stochastic Calculus/Data Mining/Interest Rate/Time Series/Investment Science Hobbies: Guitar, Flute, Music Making, Amateur Astronomy, Hiking, Stock Investment Activities: Created Study Department in Chinese Students and Scholars Association at UNL Volunteered at F-street Community Center, Lincoln, NE

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