Zhaoxi Chang

Quantitative Analyst at Harvest Fund Management
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Contact Information
us****@****om
(386) 825-5501
Location
Chicago, Illinois, United States, US

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Credentials

  • Exam: Financial Mathematics
    Society of Actuaries
  • Exam: Probabilities
    Society of Actuaries

Experience

  • Harvest Fund Management
    • China
    • Capital Markets
    • 200 - 300 Employee
    • Quantitative Analyst
      • Jun 2023 - Present

      Constructed GRU, LSTM, and other recurrent neural network models using PyTorch. Utilized daily stock price data and 15-minute data as inputs to predict the Information Coefficient (IC) of yield. Incorporated techniques such as batch normalization, dropout, and gradient clipping into the models. Optimized the parameters using algorithms including AdaGrad and Adam. Employed various loss functions to guide the model's parameter updates. Applied attention and mask mechanisms, and other methods to enhance the predictive capability of the model, and compared it with original GRU and LSTM models. Show less

  • Neuberger Berman
    • United States
    • Financial Services
    • 700 & Above Employee
    • Quantitative Analyst, Project Lab University of Chicago
      • Jan 2023 - Mar 2023

      Auto Loan ABS; Default risk; ESG factors Auto Loan ABS; Default risk; ESG factors

  • Harvest Fund Management
    • China
    • Capital Markets
    • 200 - 300 Employee
    • Quantitative Analyst Intern
      • Apr 2022 - Jul 2022

      Constructed Style factors with descriptors guided by Barra Equity Model; built risk model by using Style factors and Industry factors, estimate covariance matrix, and idiosyncratic volatility of all A-share stocks for optimal portfolio. Performed portfolio optimization using quadratic programming in Python based on factor constraints; Constructed CSI300 Index Enhanced portfolio. Constructed Style factors with descriptors guided by Barra Equity Model; built risk model by using Style factors and Industry factors, estimate covariance matrix, and idiosyncratic volatility of all A-share stocks for optimal portfolio. Performed portfolio optimization using quadratic programming in Python based on factor constraints; Constructed CSI300 Index Enhanced portfolio.

  • China Fund Management Co., Ltd.
    • Chaoyang Qu, Beijing, China
    • Quantitative Analyst Intern
      • Jul 2021 - Sep 2021

      Analyzed the effectiveness of stock factors by significance test; calculated potential correlation between factors, long and short combinations, and Fama-Macbeth regression results for factor analysis. Analyzed the effectiveness of stock factors by significance test; calculated potential correlation between factors, long and short combinations, and Fama-Macbeth regression results for factor analysis.

  • Shanghai ZTCapital Management Co., Ltd.
    • Shanghai, China
    • Quantitative Analyst Intern
      • May 2021 - Jul 2021

      Processed original stock factor data including missing values, standardization, and orthogonalization. Processed original stock factor data including missing values, standardization, and orthogonalization.

  • Huarong Securities Co.,Ltd.
    • China
    • 1 - 100 Employee
    • Summer Intern
      • Jun 2020 - Aug 2020

Education

  • University of Chicago
    Master of Science - MS, Financial Mathematics
    2022 - 2023
  • Penn State University
    Bachelor of Science - BS, Statistics
    2018 - 2021

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