Quantitative Trader

HAOYUE XIAO

Email: *********@*******.*** Tel: 858-***-****

Add: 685 S New Hampshire Ave, Los Angeles, CA 90005 EDUCATION

University of Southern California Jan. 2019-Dec. 2020 Master of Science in Financial Engineering

Overall GPD: 3.90/4.00

Relevant Coursework: Machine Learning, Corporate Finance, Financial Engineering, Stochastic Process, Investment Analysis and Portfolio Management, Analysis of Algorithm, Economic and Financial Time Series University of California, San Diego Sep. 2013-Sep. 2017 Bachelor of Science in Mathematics

Bachelor of Arts in Economics

Major GPA: 3.90/4.00

Relevant Coursework: Statistics, Probability, Computational Statistics, Linear Optimization, Applied Linear Algebra, Abstract Algebra, Econometrics, Financial Markets, Macroeconomics, Microeconomics

PROJECTS

Market Efficiency Examination Dec. 2020

Project Type: Directed Research

-Identified increasing participation of retail investors and observed the high-octane derivative trading in the US market after the breakout of COVID-19.

-Tested market efficiency by examining the random walk hypothesis on retail investors attracted stocks.

-Ran Shapiro-Wilk test on logarithmic daily adjusted returns to test the normality and analyzed the underlying distributions.

-Applied Lo-Mackinlay Variance Ratio test on variance ratio orders and evaluated the test result based on the joint test statistic; applied Phillips-Perron test to examine the existence of unit root.

-Elaborated findings and provided a conclusion based on test results. TSMC Analysis Dec. 2019

Project Type: Course Work

-Gathered data and information about Taiwan Semiconductor Manufacturing Company (NYSE: TSM) from Bloomberg Terminal and analyzed its prospect.

-Analyzed TSMC’s business model and researched its top suppliers and customers; identified risks TSMC exposed to, including investment risk, political risk; examined the strength and weakness of its business model based on findings.

-Investigated upstream and downstream of the foundry services industry; projected future demand and supply in the sector; forecasted TSMC’s future revenue based on its industrial position, business plans, and the market consensus.

-Compared TSMC’s financial metrics with its peers and performed an in-depth analysis of its stock market performance.

-Generated report based on the research and presented the analysis to the class. Securities Pairs Trading Strategy Jun. 2018

Project Type: Directed Research

-Chose candidate pairs from SSE (Shanghai Stock Exchange) 50 Index with similar price trends by applying cointegration analysis; selected the stock pair with the smallest Euclidean distance between cumulative returns among chosen pairs.

-Fitted historical log price series using a combination of ARMA and GARCH models; selected the model with the minimum AIC value.

-Simulated 10,000 log price series with a period of 10 times half-life based on the fitted model; chose the optimal entry/exit level, which maximized the average Sharpe ratio of simulations.

-The final strategy had a Sharpe ratio of 0.8 and a maximum drawdown of 7% in the backtest. EXPERIENCE

China Minsheng Banking Corp. Ltd Oct. 2017-Dec. 2017 Title: Intern as Research Analyst Location: Beijing, China

-Researched candidate factors based on the targeted AUM and examined cross-correlation between factor excess monthly returns.

-Selected the optimal concentration level based on the net-of-cost information ratios of a hypothesized portfolio constructed by equally weighted factor indexes.

-Performed backtesting on different weighting approaches; chose the most desired approach by comparing absolute performances and relative performances; the final strategy had a Sharpe ratio of 1.0 and an information ratio of 0.8.

-Generated trading reports based on the result of backtesting. Industrial and Commercial Bank of China. Ltd Aug. 2016-Sep. 2016 Title: Intern as Risk Analyst Location: Shaoguan, Guangdong, China

-Served as a liaison between working groups and risk department; documented and maintained analyses.

-Aggregated and analyzed data from multiple sources to provide a comprehensive assessment of organizational risks and challenge existing business strategies.

-Researched a wide variety of topics and issues including emerging risks and trends; summarized findings and reported results to the team. Huaxia Bank Corp. Ltd Aug. 2015-Sep. 2015

Title: Intern as Asset Management Location: Guangzhou, Guangdong, China

-Responsible for updating the daily information of asset strategy and generating performance reports on existing investments.

-Supported the team by collecting economical, industrial, and financial information on potential investments.

-Performed analysis and generated feasibility study on new investments. SKILLS

Experienced in analyzing data, reading financial statements, running simulations, and presenting data-driven analysis on companies. Programming: Python (Numpy, Pandas, Scipy, Scikit-learn, Tensorflow, Scipy), R, Matlab, SQL, and LaTex. Software: QuantConnect, Microsoft office, Excel VBA, Bloomberg Terminal, and Tableau. Language: Native Mandarin speaker.

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