Quantitative Researcher

• Feb 2021 - Present

Practise of QCF Intern Project - Machine Learning Department

• Sep 2020 - Dec 2020

Data Science Internship

• Jun 2020 - Nov 2020

Quantitative Consultant

• Jul 2018 - Aug 2019

•Signal Combination Framework: Conducted research on alpha stream combinations and constructed a framework to solve the singular problem for sample covariance matrix via regularization and reduce to a weighted regression in the singular limit •Machine Learning Strategy: Preprocessed 100+ features with VARMA to handle missing data and used PCA to reduce dimensions. Applied Adaboost (hand-coded) and SVM (scikit-learn) to develop multifactor model on selected factors •Alpha Strategy Development: Tested 1,000+ alpha strategies on U.S. stock market, covering fundamentals, price volume, market sentiment, data from analysts and selected 23 of them to run out sample tests with an average Sharp ratio of 3.2 Show less

Quantitative Analyst Intern

• Oct 2018 - Jan 2019

•Automatic Alpha Seeking Framework: Established a genetic programming (GP) and co-evolution model to realize automatic alpha strategy generation process. Maintained an operator pool with a size of more than 100 including cross section operators, time series operators, index related operators, statistical model operators, etc. Costumed different loss functions considering risk exposure, turnover requirement, etc. •Alpha Strategy Development: Developed over 5000 alpha strategies with control of Barra risk exposure. Two alpha strategies have been put into real trading with an average annualized return of 32.15% and Sharp ratio of 6.30 Show less

Computational Economics Lab Research Assistant

• Jul 2018 - Oct 2018

• Multi Agent Reinforcement Learning: Reproduced Multi-Agent Deep Deterministic Policy Gradient Algorithm which solved the problem that Q-Learning is not applicable in continuous space and unstable under multi-agent environment • RL Trading Strategy: Conducted research on the application of deep reinforcement learning in digital currency trading which trained with rebalancing intervals of 10 minutes and resulted in improved performance in the main currency pairs • Execution Optimization: Established stochastic process models for order transactions in high-frequency trading and optimized trading ideas based on traditional VWAP and the Implement Shortfall to improve the success rate of rebalancing Show less

Co Chairman of the Association

• Jun 2017 - Aug 2018

Quantitative Analysis Intern

• Dec 2017 - Mar 2018