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Location:
Jersey City, NJ
Posted:
March 25, 2020

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Resume:

JIE(Alex) BAO

*** ***** **, ****** ****, NJ ***** 201-***-**** * adcf1h@r.postjobfree.com

Education

Stevens Institute of Technology Hoboken, NJ

Master of Science in Financial Engineering GPA - 3.88/4.0 Aug 2016- May 2018 University of California, Los Angeles Los Angeles, CA Summer Session Aug 2015- Sep 2015

South China University of Technology Guangzhou, China Bachelor of Science in Applied Mathematics Sep 2012- Jun 2016 Project Experience

Stevens Institute of Technology, Hoboken, NJ

Deep Learning Applications in ETF Volatility Pattern Recognition Jan 2018- May 2018

• Implemented PCA, Auto-encoders and Boltzmann Machine for dimensionality reduction on preprocessed volatility data

• Applied K-means and Mixed Gaussian Model to cluster data to six clusters using Python

• Evaluated the performances of dimensionality reduction methods using Reconstruction rate, Hopkins and Continuity Design an AI-based financial application Sep 2017- Dec 2017

• Implemented SVM and Artificial Neural Network to predict future price changes of S&P500 with 80% accuracy

• Researched possible determinants (P/E ratio, historical return) for the given quarterly stock portfolio in Python

• Rebalanced the future quarterly portfolio using Neural Network and Reinforcement Learning with 60% accuracy Liquid Futures Capital, New York, NY

Build a strategy with maximum return, sortino ratio and minimize drawdown Feb 2019- Apr 2019

• Processed raw data of front month US Treasury bond future and yield acquired from Quandl

• Implemented SVM and neural network to predict future price, sortino ratio and drawdown in Python

• Developed an algorithm to find the optimized buys and sells using dynamic programming Working Experience

Itlize Global LLC, Piscataway, NJ Feb 2020- Current Machine Learning and Data Visualization consultant

• Designed the HRMS using SSMS with functions of error handling, logging and employee information management

• Leveraged Tableau (charts, highlighted tables, interactive dashboards) to visualize appointment stats and cancellation distribution of healthcare facilities

• Performed ETL process with SSIS packages (Sort, Conditional split, Lookup) and automate execution through SQL Server Agent

CreditSpectrum, New York, NY Nov 2018- Jan 2019

ABS Analyst Internship

• Predicted the expected loss of structured securities based on Moody’s estimated ratings with the BOTE model

• Computed the interest and principle collections of amortizing structured pool in Excel using the cash flow model

• Quantified the Principal and Interest distribution of ABS deals to the Waterfall Editor software for analysis BUJU LLC, San Francisco, CA Jun 2017- May 2018

Quantitative Analyst Internship

• Conducted Technical Analysis on US and Chinese stock markets using Excel and Python

• Visualized movements of 25 Technical Indicators (TI) using Python GUI

• Established new innovative Technical Indicators “PVI” and “Double price lines” independently

• Enhanced the winning trade ratio of our strategies to 58% in back testing compared to 52-55% for traditional ones Skills

Technical skills: C++, MATLAB, R (dplyr, shiny), Excel(VBA), SQL Server (SSIS, SSRS), Tableau, Spark, Python (numpy, scikt-learn, statsmodels, pandas, scipy, matplotlib), Machine Learning (SVM, Neural network, Naïve Bayesian) Financial Math: Monte Carlo Simulation, Portfolio Management, Stochastic Process, Quantitative Modeling, Derivatives Certificate: CFA Level I candidate, Algorithmic Trading Strategies (Stevens Institute of Technology)



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