Quantitative Research Experience Matlab VBA Python Tableau

Liyu Chen

************@*****.*** • 518-***-****

**** **** ******, ****, ** 12180

EDUCATION

Rensselaer Polytechnic Institute – Troy, NY Dec. 2016 Master of Science in Quantitative Finance and Risk Analytics

Cumulative GPA: 3.96/4.0

Coursework: Financial Simulation, Risk Management, Financial Modeling, Fixed Income Securities

Award: Third Place of the Healthcare Claims Data Visualization Challenge held by Lally&CDPHP (2016) Zhongnan University of Economics and Law – Wuhan, China June 2014 Bachelor of Economics in Financial Engineering

Cumulative GPA: 3.71/4.0 (Rank:11/69)

Coursework: Financial Engineering, Econometrics, Corporate Finance, Financial Accounting, Investment

Award: Excellent Bachelor Degree Thesis in Hubei Province, placed 15/692 (2014) PROFESSIONAL EXPERIENCE

Options Trading Group, Galaxy Futures – Shanghai, China July 2016 – Aug. 2016 Quantitative Analyst Intern

Conducted back test for derivatives investment strategies using MATLAB or Excel, and reported performance of portfolios (such as a 34 commodity futures long/short strategy).

Analyzed daily market data for index futures and index options to assist traders in identifying arbitrage opportunities

(including spreads, put-call ratio, and implied volatility structure).

Designed a VBA program to automatically count down when options trading halts occur. PingAn Life Insurance Company – Wuxi, China July 2014 – June 2015 Operations Analyst

Analyzed renewal premium collection data multi-dimensionally in Excel to identify poorly performed plan types.

Engaged in tackling identified collection problems by implementing incentive plans and promoting best practices. PROJECT EXPERIENCE

Asset-Liability Management for the JH Annuity – RPI, NY Nov. 2016 – Dec. 2016

Estimated the expected future value of 30 bonds with credit migration considered and employed optimization method to determine the best bond portfolio for matching the benefit payments of the annuity in Excel (VBA).

Applied gap analysis, duration gap analysis, and Credit VaR analysis to the assessment of portfolio’s risk exposure. Portfolio Management for a Retirement Fund – RPI, NY Sept. 2016 – Oct. 2016

Employed Mean-Variance optimization to generate the efficient frontier for a five-asset portfolio in MATLAB.

Determined asset allocation according to a performance score which evaluated the trade-off between return and risk.

Conducted VaR analysis, sensitivity analysis, and stress test for the recommended portfolio. Investment Strategy Analysis Based on Monte Carlo Simulation – RPI, NY Feb. 2016 – May 2016

Employed three candidate models to simulate stock price paths in MATLAB, with stocks' correlation considered, and selected CEV model based on models' accuracy in options pricing.

Constructed portfolios consisting of stocks and option combinations such as protective put and dynamic stop-loss, and analyzed portfolios’ performance and risk based on simulation results. Algorithm Trading Schedule Development – RPI, NY Nov. 2015

Cleaned and Analyzed one-year tick data (2.6 GB text file) of MLNX in MATLAB, and generated time-weighted three- dimensional surface plots of trading volume, relative bid-ask spread, and average bid order size.

Developed a trading schedule based on VWAP algorithm to close the long position of 635,000 shares. SKILLS & CERTIFICATES

Technical Skills: MATLAB, Microsoft suite (Excel, PowerPoint), VBA, Tableau, Python, Bloomberg, R

CFA Level II candidate, FRM program part I passed ACTIVITIES

IT Department of the Student Union – ZUEL, China Sept. 2010 – June 2011

Provided technological support for the organization of several school-level events.

Contact this candidate