Quantitative Analyst Research Associate

Shuang (Rock) Liang

917-***-**** **b Liberty Pl, Palisades Park, NJ 07650 *.*****@********.*** EDUCATION

Columbia University New York

Master of Science in Operations Research, Fu Foundation School of Engineering and Applied Science Sep 2016 - Dec 2017

(Concentration: Financial & Managerial Applications)

· Cumulative GPA: 3.73/4.00

· Selected Coursework: Asset Allocation, Applied Financial Risk Management, Volatility Smile, Optimization Models, Machine Learning, Programming for Financial Engineering (C++), Analysis of Algorithms, Stochastic Models, Simulation Peking University, Guanghua School of Management Beijing Bachelor of Science in Finance (graduated with honors), Guanghua School of Management Sep 2012 - Jul 2016

· Cumulative GPA: 3.51/4.00; GRE Quantitative: 170 (98%)

· Selected Coursework: Stochastic Calculus, Analysis of Financial Time Series, Econometrics, Financial Modeling, Fixed Income Securities, Operations Research, Intermediate Micro and Macro Economics, Intermediate Financial Accounting TECHNICAL STRENGTHS & MISCELLANEOUS

Programming Python, C++

Quant Tools (Computing) MATLAB (Statistical) R, SAS Data Engineering MySQL, Factset, QADirect, Eikon

Interests Chess, Badminton, Singing

WORK EXPERIENCE

3ic Research Boston, MA

Intern quantitative Analyst Mar 2021 - present

· Developed pairs trading model based on Ornstein–Uhlenbeck process.

· Implemented Hierarchy clustering and Granger causality to identify anchor stocks within sectors. EMA Capital LLC Fort Lee, NJ

Quantitative Research Associate May 2018 - Dec 2020

· Studied and developed mid-low frequency equity alphas: 1. developed a weekly four factors equity strategy based on fundamentals and reversal factors (beta-neutral, 2016-2020.07 Sharpe ratio 1.84, annual return 9.90%, max drawdown 3.28%); 2. developed a classifier of 153 factors using logistics regression (2015-2019 Sharpe ratio 1.22).

· Analyzed existing strategies to identify potential improvements: 1. implemented industry neutral stock selection (annual return increased by 2.51%, volatility decreased by 15%); 2. improved the sizing by implementing dynamic weighting of factors (annual return increased by 2.20%).

· Developed a framework in R to run back-test and calculate Sharpe ratio, max drawdown and historical VaR.

· Evaluated and worked with new data sources and analytics packages: 1. tested and learned to use different vendors (Factset, QADirect, Eikon) and packages in R; 2. rewrote codes according to different vendors. Wisdom Capital Asset Management New York

Part-time Quantitative Analyst Sep 2017 - Nov 2017

· Validated the study of VIX and SPX using data from 1994-08-01 to 2003-01-31: conducted regression on quantiles of VIX in the past 2 years rolling window and the cumulative return of SPX in 1, 5, 20 and 60 days.

· Implemented Mean-Variance, Mean-CVaR, Black-Litterman model in python for portfolio allocation. First Manhattan Co. Beijing

Summer Intern Equity Researcher Jul 2015 - Feb 2016

· Studied and tested three classical value investment strategies (long only) on Hong Kong Stock Market: cigar butt strategy (2001-2016.02 Sharpe Ratio 1.06), high dividend yield strategy (2001-2016.02 Sharpe Ratio 1.16) and high growth strategy (2001-2016.02 Sharpe Ratio 0.94).

· Analyzed over 100 stocks listed in Hong Kong Exchange based on fundamentals. Identified two companies of investment value, which were highly recognized by the supervisor.

RESEARCH EXPERIENCE

Forecasting Ability of PCA and ICA on Term Structure (C++, MATLAB) New York

· Studied and compared the forecasting ability of PCA and ICA analysis on interest rates from 1 month to 30 years: Dec 2016 - Feb 2017 derived component factors of Libor rates and swap rates (2011-2016) using PCA and ICA and compared the average forecasting error by rolling out- sample forecasts using VAR (PCA had a better forecasting ability over ICA; 20-30 days rolling window had the best forecasting ability).

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