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Quantitative Analyst

Location:
New York City, NY
Posted:
February 20, 2020

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Resume:

KEILUNG CHOY

+1-646-***-**** adbv2o@r.postjobfree.com 212 W 109th St, New York, NY 10025

EDUCATION

Columbia University New York, NY

Master of Arts (GPA: 3.90/4.00), Mathematics of Finance Sep 2018-Feb 2020

• Coursework: Programming for Quantitative and Computational Finance, Numerical Methods in Finance, Non-Linear Option Pricing, Modeling and Trading Derivatives, Capital Markets and Investments

• Implemented Monte Carlo Methods and Longstaff-Schwartz algorithm to price Asian and American put options and used various regression methods (including Kernel Regression and Local Linear Regression) to calculate conditional expectation of payoffs

• Implemented Particle Algorithm and Cubic Splines to calibrate stochastic local volatility model based on market volatility smiles

• Used ARMA model to predict monthly log returns of S&P 500 index and identified outliers in data by Bayesian inference Peking University Beijing, China

Bachelor of Economics (GPA:3.70/4.00), Double Major in Mathematics and Applied Mathematics Sep 2014-Jul 2018

• Coursework: Statistics, Probability Theory, Financial Derivatives, Fixed-income Securities, Ordinary Differential Equations, Data Structure and Algorithm, Stochastic Analysis and its Applications, Applied Time Series Analysis PROFESSIONAL EXPERIENCE

BAM.Money, Inc. New York, NY

Quantitative Analyst May 2019-Present

• Trained a random forest model on exponentially smoothed stock data and implemented the model to predict stock price movements in future, calculated weights of stocks in portfolios using Black-Litterman Model

• Used VAR model to construct liquidity indices for assets based on bid-ask spreads of CDX contracts and S&P 500 sector indices

• Transformed sentences into vectors using TF-IDF and calculated their cosine similarity to detect odd parts in bond prospectus

• Created an Optical Character Recognition tool for documents related to trade claims by training Convolutional Neural Networks Derivatives China Beijing, China

Intern, Quantitative Analyst Sep 2017-Dec 2017

• Used average lines with different periods to construct Bollinger Bands and calibrated their parameters through an exhaustive test

• Developed trading strategies on futures with momentum strength indicators including ADX and DMI

• Wrote Python and MySQL scripts for database maintenance and manipulated data to fit specific requirements of models GuoDu Securities Beijing, China

Summer Intern, Mutual fund Department Jun 2017-Aug 2017

• Developed factors from spread of industries’ dividend yield ratio to choose stocks and adjust their weight in portfolios

• Implemented Naïve Bayesian model based on vectors composed of binary variables to predict trends of stock price and enhanced accuracy of prediction out of sample by 4%

• Decided timing of trades based on simulation of stock price movements implementing Log Periodic Power Laws model and maximized precision of simulation using Genetic Algorithm CITIC Securities Beijing, China

Intern, Quantitative Analyst Apr 2017-Jun 2017

• Analyzed real-time data from Hong Kong Stock Exchange to explore potential investment chances in Hong Kong market

• Evaluated performance of different strategies in Chinese market through statistical analysis on yield of mutual funds ACTIVITIES

Columbia University New York, NY

Teaching Assistant Feb 2020-Present

• Tutored students from historically underrepresented backgrounds in Numerical methods and instructed them to realize models in course material including Neville's algorithm and Merrill Lynch Exponential Spline in Excel VBA SKILLS & INTERESTS

• Skills: Python (pandas, NumPy, SciPy, scikit-learn), TensorFlow, C++/C, MATLAB, STATA, MySQL, R, Machine Learning (Neural Networks, CART, Adaptive Boosting, Clustering, SVM, PCA), AWS, Scala, Tableau, CFA Level I Candidate

• Interests: Basketball, Badminton, Bicycling, Literature



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