Senior Quantitative Equities Analyst

Justin Liu, PhD CFA

** ******* ****, ********* ** 02420

(C) 774-***-**** (H) 203-***-**** Email: *************@*****.***

Objective

Experienced investment professional seeking for role in quantitative equities research, portfolio construction/management, and risk analysis/management

Qualification Summary

10+ years experiences working with renowned hedge funds, leading to solid research experiences and extensive expertise on model construction and portfolio management;

Sharp mind on statistical arbitrage alpha exploration and L/S equity strategy modeling;

Extensive hands-on experiences on managing/trading equity portfolios around the major markets; broad quantitative research experiences driven by company fundamentals;

Professional experiences on risk management techniques and tools

Strong math/statistics pattern recognition background and extensive, result oriented skills

Deep understanding of the principles of derivatives pricing models

Exceptional skills in financial time series, statistical analytics and various econometrics models;

Solid hands-on experience in real-time trading system design and development;

Highly proficient with R, MATLAB, Perl, Unix and SQL DBs

Hands-on skills in “big data” processing of equity tick data, options OPRA

10+ years of programming experience in C/C++, proficient in C++ STL, Java

Working Experiences

PanAgora Asset Management, Boston 2013.3 – now

Quantitative Research Analyst

Focused on researching/building short- to mid-term models for equity trading around globe;

The researched areas include:

Extensive research with IBES

oPeer impact of recommendation revisions

oDiffusion of fundamental estimates of EPS, Sales etc

oTrajectory/pattern analysis of analysts’ behavior for revision prediction

Textual analysis of conference call transcripts;

Short-term trading opportunism driven by influential news event, sourced from RavenPack

Market impact analysis around announcements of Investor/Analyst conference

Mid-term opportunities presented by Institutional holdings via 13D, 13F, 13G

Fundamental research via CompuStat/WorldScope

Daily liquidity pressure exercised by profit takers

Portfolio analytics to track time varying liquidity profile, risk exposure, alpha decay

Millennium Management (Radium Fund Advisors), Princeton NJ 2011.5 – 2013.2

Quantitative Portfolio Manager

Researched statistical arbitrage models to trade equities around globe; Managed a $100MM L/S book based on these models; researched market impact model to estimate the trading cost.

Millennium Management (WorldQuant Inc), Old Greenwich CT 2007.1 – 2011.4

Research strategist

Quantitative researcher in equity alphas; worked through various data sources to research and implement L/S alpha models;

Researched 20+ alpha models, covering all major equity markets: USA, JPN, AU, UK, and continental Europe;

Improved the research productivity by efficiently tapping the daily data-feeds like Compustat Xpressfeed and I.B.E.S feeds, to timely capture/extract relevant information;

Involved in Risk and performance attribution analysis using MSCI BARRA

Millennium Management LLC, Greenwich CT 2005.5 – 2006.12

Quant developer

Senior quant developer of the proprietary trading system

Major architect in the trading system development, from prototyping onto implementation until final debug/test. Take on the role of back-office DBA.

Credentials and Certificates

CFA, NASD Series 7, 55, 63

Nationality

US citizen

Education

PhD, Computer Science, 2005 New Jersey Institute of Technology, NJ

MS. Computer Science, 1999 Beijing University of Posts & Telecoms, Beijing

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