Chon Ip (Henry) Sio
Assistant Quantitative Research Manager at Hang Seng Indexes Company Limited- Claim this Profile
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English Professional working proficiency
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Mandarin Professional working proficiency
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Cantonese Native or bilingual proficiency
Topline Score
Bio
Credentials
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CFA Level 1
CFA Institute -
CFA Level 2
CFA Institute -
CFA Level 3
CFA Institute
Experience
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Assistant Quantitative Research Manager
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Oct 2021 - Present
Quantitative Index Research Quantitative Index Research
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Bloomberg LP
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United States
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Financial Services
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700 & Above Employee
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Data Analyst
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Sep 2020 - Sep 2021
Manage and maintain Corporate Actions Dataset globally (primarily Hong Kong). Manage and maintain Corporate Actions Dataset globally (primarily Hong Kong).
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PwC
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Professional Services
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700 & Above Employee
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Financial Engineer
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Jun 2019 - Aug 2019
Our team is responsible to implement various stochastic models for risk and valuation purposes• Calibrated Hull-White 1F model with swaptions and optimized the parameters using Levenberg-Marquardt algorithm.• Implemented Monte Carlo Simulation to price fixed income products by simulating the evolution of yield curve.• Automated risk metrics calculation such as S&P and RBC by translating >30 spreadsheets into an integrated Python code. Our team is responsible to implement various stochastic models for risk and valuation purposes• Calibrated Hull-White 1F model with swaptions and optimized the parameters using Levenberg-Marquardt algorithm.• Implemented Monte Carlo Simulation to price fixed income products by simulating the evolution of yield curve.• Automated risk metrics calculation such as S&P and RBC by translating >30 spreadsheets into an integrated Python code.
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Quantitative Strategy Researcher
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Jan 2018 - May 2018
• Built a crypto-currency cross-exchange arbitrage platform to fetch data from multiple exchanges with multithreading in Python.• Helped construct a mean-reverting crypto-currency portfolio using PAMR model which was profitable in live trading.• Cleaned tick data and backtested trading ideas for commodity futures with extensive use of Python, pitched results to traders.• Improved the parameters of existing strategies which increases the profitability of the firm by 1-2% in the first half of the year.• Developed a medium-frequency(intraday) statistical arbitrage strategy with Kalman Filter returning 10% in a week.• Constructed a low-frequency momentum strategy termed “Time Series Momentum” with Python.
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Ant Financial
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Australia
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Financial Services
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1 - 100 Employee
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Financial Analyst
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Jun 2017 - Nov 2017
• Built Sharpe’s return-based style analysis model using Matlab and Python to investigate mutual funds’ style and assisted in developing the model on ODPS database• Constructed confidence interval for the style analysis model to test the validity of the model’s result• Utilized machine learning techniques such as k-means algorithm and principle component analysis to cluster SWS industry indices into six categories and analyzed industry exposure of mutual funds• Developed a quantitative investment strategy using SWS industry indices provided by Suntime, with a Sharpe ratio of 1.5 and a MDD less than half of HS300 index• Assisted supervisor to prepare mutual funds’ analysis material
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Education
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2018 - 2020
New York University
Master of Science - MS, Financial Engineering -
2013 - 2018
University of Macau
Bachelor’s Degree (Honours College), Finance -
2016 - 2016
The George Washington University - School of Business
Study Abroad Program, 3.7/4.0
Community
