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Data Professional Experience

Location:
Urbana, Illinois, 61801, United States
Posted:
October 24, 2016

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Resume:

SHENGDONG LIU

Telephone: 1-217-***-**** **** N Lincoln Avenue, Urbana, IL, 61801 Email: acw7tb@r.postjobfree.com GitHub: https://github.com/lsdxp

EDUCATION

UNIVERSITY OF ILLINOIS AT URBANA-CHAMPAIGN Urbana, IL Master of Science in Financial Engineering GPA: 3.77/4.0 08/2015 - 12/2016 Core Course: Optimization in Finance, Term Structure, Numerical Methods, Stochastic process, Financial Derivatives SHANDONG UNIVERSITY Jinan, China

Bachelor of Science in Physics / Bachelor of Science in Finance (Dual Degree) GPA: 86/100 09/2011 - 06/2015

! Scientific Research Fund awarded by the university PROFESSIONAL EXPERIENCE

THOMSON REUTERS Greater Chicago Area, IL

Technology Intern, Technology Department 06/2016 - 08/2016

•! Apply ArrayList, Map and Dictionary in Java to encode/decode market data like P.E., Maturity Date, Strike Price

•! Register Channel to the selector in Java and watch for I/O notifications specified by the operation mask and use Buffer to write info into Channel

•! Develop all code with object-oriented programming in Java and transport Market data based on TCP/IP

•! Develop the same financial application in C++ and use file descriptors and socket to communicate between client and server for read and write operation

•! Build, compile and test C++ programs and Java programs in Linux environment

•! Use JIRA to track progress update from Sprint meeting and Backlog meeting and use Git for version control with the whole Agile Scrum team

CME GROUP INC Chicago, IL

Practicum Student 02/2016 – 05/2016

•! Cleaning and processing Crude Oil(WTI) and E-mini S&P future Order Book data by Python and calculating key indicators like average ask price and volume change as Model Input

•! Predicted trade price movement by applying Machine Learning algorithms support vector machine(SVM), Artificial Neural Network(ANN) and Logistic Regression separately

•! Backtest and compare accuracy of different algorithms by plotting in R and Visualize prediction power for all features in Python Matplotlib

•! Detected iceberg order when trade volume is larger than displayed level1 Bid/Ask Size by Python and show the time series of hidden quantities for one day

University of Illinois Investment Office Urbana, IL Quantitative Risk Intern, Treasury Department 09/2015 - 02/2016

•! Assisted the investment office to build an internal investment portfolio monitoring system by creating workflow and automating workflow on large position and market dataset by writing VBA, MATLAB and SQL.

•! Assisted the risk director to perform stress testing and base case scenario analysis on the fixed income holdings under interest rate rise environment.

•! Estimated and interpreted the movement of portfolio risk exposure such as Greeks, VaR, Expected shortfall

•! Performed analysis based on the quantitative indicators of corporate bonds, CMBS, ABS securities to evaluate the credit risk and market risk of our fixed income holdings PROFESSIONAL ACTIVITIES

Pricing European/American Option and Exotic Option Urbana, IL Course Project 09/2015 - 05/2016

•! Implemented Monte Carlo Simulation in C++ such as Control Variate, Importance Sampling and Quasi-Monte Carlo to price option and optimized binomial model for American-Asian option with Hull-White Interpolation

•! Estimated European Option price by using Numerical Methods like Euler implicit and Crank-Nicolson Risk Measurement and Backtesting Urbana, IL

Course Project 01/2016 - 05/2016

•! Calculated different VaR in R by historical simulation, parametric simulation and EWMA methods

•! Applied NGARCH(1,1) and DCC(1,1) models on estimating the value of Fixed Income Buffered Securities Institute of High Energy Physics, Chinese Academy of Sciences Beijing, China Research Assistant 02/2014 - 07/2014

•! Applied Monte Carlo simulation and multivariate statistical analysis in the data comparison in Particle Physics

•! Developed C++ programs in Linux Environment to generated GUI of physics data and analysis process



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