Experience

Huatai Securities Co., Ltd.

• China
• Investment Banking
• 700 & Above Employee

• 量化分析师

  • Mar 2018 - Present

  自营部门量化交易策略 自营部门量化交易策略



The Johns Hopkins University

• United States
• Higher Education
• 700 & Above Employee

• Graduate Student

  • Aug 2015 - Present

  Courses: Stochastic Process, Monte Carlo Simulation, C++, Investment Science, Financial Derivatives, Interest Rate and Credit Derivatives, Time Series Analysis, Commodity Markets, Equity Market and Quantitative Trading, Data Mining, Risk Management, Optimization, Advanced Equity Derivatives Temporal GPA (two semesters): 3.86 Courses: Stochastic Process, Monte Carlo Simulation, C++, Investment Science, Financial Derivatives, Interest Rate and Credit Derivatives, Time Series Analysis, Commodity Markets, Equity Market and Quantitative Trading, Data Mining, Risk Management, Optimization, Advanced Equity Derivatives Temporal GPA (two semesters): 3.86



Haitong Securities

• China
• Investment Banking
• 400 - 500 Employee

• Quantitative Analyst

  • Jun 2016 - Aug 2016

  Designed investment strategies for stocks and futures, implemented back-test and optimized on MATLAB. Finished back-test on four strategies: Pair trading based on AH stocks (listed both on Shanghai and Hong Kong); Funds selecting and benchmark timing to establish FOF portfolios; Stock-selecting according to skewness; Stock selecting via momentum acceleration; Stock index futures arbitrage. Designed investment strategies for stocks and futures, implemented back-test and optimized on MATLAB. Finished back-test on four strategies: Pair trading based on AH stocks (listed both on Shanghai and Hong Kong); Funds selecting and benchmark timing to establish FOF portfolios; Stock-selecting according to skewness; Stock selecting via momentum acceleration; Stock index futures arbitrage.



Agricultural Bank of China

• Banking
• 700 & Above Employee

• Analyst

  • Oct 2014 - Jan 2015

  Assisted the senior analyst to design an agricultural loan risk index to represent the non-performing loan ratio based on a canonical correlation analysis and built an ARIMA model to forecast and guide the credit policy. Implemented the model on SAS and optimized the algorithm. Assisted the senior analyst to design an agricultural loan risk index to represent the non-performing loan ratio based on a canonical correlation analysis and built an ARIMA model to forecast and guide the credit policy. Implemented the model on SAS and optimized the algorithm.



Morgan Stanley

• United States
• Financial Services
• 700 & Above Employee

• Summer Trainee

  • Jul 2014 - Aug 2014

  Generated a trading strategy on the Chinese derivatives market and optimized it by means of back-testing on MATLAB. Programmed the strategy with VBA to achieve a semi-automatic system. Simulated a high-frequency trading strategy on the derivatives of CSI 300 Index, CSI 500 Index and SSE 50 index. After one month of trading, ended up with annualized return of 120% (10% return in a month). Generated a trading strategy on the Chinese derivatives market and optimized it by means of back-testing on MATLAB. Programmed the strategy with VBA to achieve a semi-automatic system. Simulated a high-frequency trading strategy on the derivatives of CSI 300 Index, CSI 500 Index and SSE 50 index. After one month of trading, ended up with annualized return of 120% (10% return in a month).



Prudential Financial

• United States
• Financial Services
• 700 & Above Employee

• Trainee

  • Jan 2014 - Jan 2014

  Conducted fundamental analysis on global securities market and filtered appropriate markets. Evaluated the returns and risk of filtered mutual funds and built the portfolio according to the client’s risk appetite. Conducted fundamental analysis on global securities market and filtered appropriate markets. Evaluated the returns and risk of filtered mutual funds and built the portfolio according to the client’s risk appetite.