summer and fall 2020 internship candidates€¦ · summer and fall 2020 internship candidates...
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Summer and Fall 2020 Internship Candidates
Resume Book
Summer and Fall 2020 Internship Candidates Resume B00kColumbia University Mathematics of Finance MA Program Publication Date: Friday, April 17, 2020
Dear Colleague,
Enclosed please find the resumes of students in Columbia University’s Mathematics of Finance MA program (MAFN) who are expected to be available for summer and fall internships during 2020. The most current version can be downloaded from our website: http://bit.ly/MAFN-resumes
We invite you to review the resumes and consider these students for employment. Feel free to contact them directly.
You are welcome to forward this resume book to your colleagues. Also, we would appreciate if you would suggest hiring managers and human resource personnel in your organization who should receive our resume books in the future. Please email [email protected]
We can also set up a recruiting presentation on campus, or you may send us a specific job description which we can then circulate to the MAFN community.
For information about the MAFN program, please visit our website at http://www.math.columbia.edu/mafn/
Sincerely yours,
Izabela Rutkowski Assistant Director of Career Development and Alumni Relations [email protected]
Laurent Breach Coordinator of the Mathematics of Finance MA Program [email protected]
Please turn to the next 3 pages for a list of students and their email addresses.
A list of Summer and Fall 2020 Internship Candidates and their Email addresses:
Cao, Yuchao - [email protected]
Chen, Junping (Chloe) - [email protected]
Chen, Kailun (Aaron) - [email protected]
Chen, Yunfei (Sophie) - [email protected]
Cui, Yingxian - [email protected]
Deng, Jinjin - [email protected]
Fang, Kanglei - [email protected]
Fu, Shijia (Scarlett) - [email protected]
He, Huiwen (Katherine) - [email protected]
Hu, Jiangwei - [email protected]
Huang, Yuxiang - [email protected]
Jiao, Jian (James) - [email protected]
L'Ghoul, Houssam – [email protected]
Lei, Zhimao – [email protected]
Li, Kebing - [email protected]
Li, Zhengnan (Aaron) - [email protected]
Liu, Guixin (Gary) - [email protected]
Liu, Xinran - [email protected]
Liu, Yuhan (Caleb) - [email protected]
Lu, Yunzhi - [email protected]
Mei, Yilun (Alan) - [email protected]
Nguyen, Elise - [email protected]
Salvi, Adwait Vijay - [email protected]
Shan, Jiamin - [email protected]
Shen, Hanmiao (Sharon) - [email protected]
Tang, Chao - [email protected]
Tong, Xinyu (Martin) - [email protected]
Wang, Hanyu - [email protected]
Wang, Haoyang - [email protected]
Wang, Kai - [email protected]
Wang, Mengyu (Vera) - [email protected]
Wang, Mengyuan (Melissa) - [email protected]
Wei, Xiheyu (Crystal) - [email protected]
Wei, Yexin (Patrick) - [email protected]
Wu, Gu - [email protected]
Wu, Xinyi (Cindy) - [email protected]
Xiang, Siqi – [email protected]
Xiu, Binpeng (Kevin) - [email protected]
Xu, Lei - [email protected]
Xu, Yichen (Ethan) - [email protected]
Yang, Andi - [email protected]
Yang, Buqing - [email protected]
Yao, Xiang (Allen) - [email protected]
Yu, Yue (Serena) - [email protected]
Zhang, Hong - [email protected]
Zhang, Hongrui (John) - [email protected]
Zhang, Wo - [email protected]
Zhang, Yilun (Allen) - [email protected]
Zhang, Yuqing (Ivy) - [email protected]
Zhao, Peijie (Brian) - [email protected]
Zhu, Yanlin - [email protected]
YUCHAO CAO 211 West 109th St., New York, NY 10025
646-525-2528 | [email protected] | http://bit.ly/caoyuchao
EDUCATION Columbia University, New York, NY, Sept 2019 - Dec 2020 Master of Arts in Mathematics of Finance (MAFN)
• Courses: Intro to the Math of Finance, Prog for Quant & Comp Finance(C++), Statistical Inference/ Time-SeriesModeling and Stochastic Methods in Finance
University of Richmond, Richmond, VA, Sept 2015 - May 2019 Bachelor of Science in Mathematical Economics Minor in Business Administration
• Courses: Multivariate Calculus, Statistics for Bus & Econ, Microeconomic Theory W/Lab, Differential Equation,Probability, Mathematical Economics, Numerical Analysis, Data Structure(Java), Introduction to Data Science
• Honors : Summa Cum Laude, Dean’s List (2015 Fall), Dean’s List (2016 - 2018), Dean Memorial SchorlarshipDavid & Leslie, Member of Phi beta Kappa
INTERNSHIP CaiTong Assets Management Co.Ltd, Shanghai, 07/2018 - 08/2018 Intern, Department of Index and Strategy
• Gathered historical price and fundamentals information of all publically traded companies on Shanghai Exchangeand Shenzhen Exchange in the auto, airport, insurance, and securities industries.
• Cleaned the data through implementing average fill-in for absent data and used mathematical interpolation todetermine the supposed stock prices during stock suspensions.
• Assisted the supervisor in measuring the correlations between different factors of the stocks using Python.
HuaYing Securities Co.Ltd, Shanghai, 12/2017 - 01/2018 Intern, Department of Fixed Income
• Collected daily bond market information included in open market operations statistics, interest products and creditproducts based on particular needs.
• Assisted the group in setting up a GUI structure that would automatically conduct the computation once the userinput the relevant parameters of the bond using Python notebook.
• Calculated the dollar duration and dollar convexity of the avalaible product by setting up two simultaneousequations.
ACADEMIC EXPERIENCE Summer Research Fellowship, University of Richmond Richmond, VA, 05/2017 - 07/2017 Research Assistant, Department of Math and Computer Science
• Received summer research fellowship grant to investigate Poncelet Curves.• Attended and gave presentations in weekly meetings.• Provided advisor with the data and images related to finite Blaschke products.• Prepared and gave a poster presentation for Spring Symposium at University of Richmond.
Youth Life Foundation, Richmond, VA, 09/2016 - 04/2017 Mentor
• Helped elementary school students with their homework and engaged students in puzzle games like word searchesto help them develop interest in exploring and thinking individually.
SKILLS AND INTERESTS • Intermediate proficiency in Java, Python and Octave; basic proficiency in R; Proficient in Excel and PowerPoint• Certificate: Coursera: Machine Learning(by Andrew Ng)• Native in Chinese; basic proficiency in Japanese
JUNPING (CHLOE) CHEN
[email protected] | 1-646-387-1836 | linkedin.com/in/junping-chen
EDUCATION
Columbia University New York, NY
MA in Mathematics of Finance 08/2019 – 12/2020
• Coursework: Time-Series Modelling, Programming for Quantitative and Computational Finance, Stochastic Process,
Hedge Funds Strategies and Risk
Zhongnan University of Economics and Law Wuhan, China
Bachelor of Finance with emphasis in Chartered Financial Analyst (CFA) 09/2015 – 07/2019
• GPA: 3.80/4.00
• Honors: Plane Tree Scholarship (top 0.5% of freshmen); First Class Scholarship (top 2% of university students)
Stony Brook University Stony Brook, NY
Exchange Student, Major in Applied Mathematics and Statistics 08/2017 – 12/2017
• GPA: 4.00/4.00
WORK EXPERIENCE
Sea Aurora Asset Management Co., Ltd. (startup company) Wuhan, China
Quantitative Research Intern 06/2018 – 06/2019
• Back-tested dozens of strategies from the Global Alpha Strategy Handbook based on constitutes of the CSI300, 50ETF, and CSI
Small Cap 500 indices in order to extract useful strategies; yielded 18% return with only 5% drawdown
• Constructed a generic valuation model for Blue Chip using MATLAB; provided technical support and guidance for the automatic
valuation system; developed a model to estimate individual stock beta and potential alpha
• Applied historical back testing, Monte Carlo Simulation and dynamic time series parameter methods to build six risk assessment
models in order to calculate Value at Risk for different holding periods
Guangzhou Securities Guangzhou, China
Industry Research Intern 01/2018 – 03/2018
• Explored industry chain for new energy vehicles and processed data for seven relative sector indices in R in order to obtain an
exponent linear regression model
• Authored an industry research report and issued a buy recommendation for five companies; fetched sector index data and financial
statements of potential companies from Wind database
• Performed Discounted Cash Flow valuation and scenario analysis to estimate intrinsic value of relevant companies using VBA
RESEARCH EXPERIENCE
Pricing American Options Zhongnan University of Economics and Law
Project for Numerical Calculation and Financial Simulation course supervised by Prof. Zhisheng Li 05/2018 – 06/2018
• Built generic American option pricing models in MATLAB with Black-Scholes Model and binomial and trinomial tree methods
• Optimized pricing method using a Weibull distribution and jump diffusion model under the Monte Carlo simulation in order to
simulate the price path of the underlying stock and calculate the option price
• Produced a report analyzing the efficiency and accuracy of path dependent options
Statistical Analysis of Gene-Environment Interactions Stony Brook University
Project for Data Analysis course supervised by Prof. Stephen Finch 11/2017 – 12/2017
• Led a team of four members to study gene and environment factors that contribute to depression
• Investigated the interaction between factors and reduced factor number using Principal Component Analysis; applied lack of fit
test in Minitab to remove repeated value
• Modified candidate model through the AIC principle and conducted multiple regression in R; created a mathematical model report
analyzing the effect of genes and the environment on gene expressions of depression
SKILLS AND CERTIFICATIONS
• Computer: MATLAB, C++, Python, R, C, VBA, EVIEWS, Minitab
• Certifications: Passed CFA Level 1; FRM Program - Passed Part II; Securities Qualification; Futures Securities Qualification;
Baruch online certification for C++ Programming for Financial Engineering; Certificate of Accounting Professional
ADDITIONAL INFORMATION
• Language: Mandarin Chinese (native), Cantonese(native)
• Interests: Chess (FIDE rating 1790, Chess teacher, National First-Class Athlete, licensed arbiter in China), Badminton
Kailun(Aaron) Chen
225 W 109th
Street, Apt 25, New York, NY,10025|[email protected] | (929) 353 – 2623| www.linkedin.com/in/kailunchen
EDUCATION
Columbia University, New York, NY Sept 2019-Expected Dec 2020
Master of Arts in Mathematics of Finance
Coursework: Mathematics of Finance, Time-Series Modeling, Stochastic Processes and Applications, Hedge Fund Strategy & Risk
Michigan State University, East Lansing, MI Sept 2014-May 2018
Bachelor of Science in Mathematics with honor, Bachelor of Art in Supply Chain Management with honor Cumulative GPA: 3.9/4.0
Coursework: Probability Theory, Linear Algebra, Ordinary Differential Equations, Machine Learning, Number Theory, Microeconomics,
Macroeconomics, Business Analytics& Info System, Quantitative Business Research Method
WORK EXPERIENCE
Fosun International Ltd. Quant Risk Intern, Asset Allocation Center Shanghai, Oct 2018-May 2019
• Conducted research on external rating agents’ credit risk models (Moody’s EDF and S&P’s Market Signal) and Bloomberg
credit models (DRSK) to determine features and indexes for credit risk model(Excel)
• Researched the methodology on bond issuer, obligor and credit parent to enhance the coverage of credit model more than 30%
• Established excel based risk management model to categorize the bonds pool whose market value is over one billion dollars
• Monitored “Risky” bonds’ performance and reported the detailed criteria for the implied rating to the B of D
• Cooperated with outsourced data analyze team to transfer excel based risk management model to java based model
Fosun International Ltd. Investment Management Intern, Investment Management Group Shanghai, Aug 2018-Oct 2018
• Pre-screened and reviewed bond investment reports, present my credit opinions to supervisors for approval
• Used Moody's credit opinions, S&P's rating summaries, FactSet's info and Bloomberg terminal to evaluate bonds' credit risk and
wrote evaluation report for corporate bonds, EETC, loans and direct lending
• Analyzed S&P industry scorecard and industry rating methodology to evaluate bonds' industry risk
• Automated and optimized the credit risk weekly reporting process and minimize heavy reporting workload within 30 minutes
Orient Securities Private Equity Intern, Private Equity Group Shanghai, July 2018-Aug2018
• Collected industrial and corporate information from Bloomberg and Wind to analyzed the supply chain and competitive
advantage from collected information and drafted research reports
Zhongliang Real Estate Group Co., Ltd Financing Assistant Intern, Financing Department Shanghai, July 2016 – Aug 2016
PROJECT EXPERIENCE
Sector Momentum Strategy Hedge Fund Group, regarding back testing and implementing intra-sector and inter-sector Momentum
strategy on commodity futures. Holding period 1 Month and ranking period 60 days with annualized return 31%, MaxDD 31.5%(Python)
Dispersion Strategy Hedge Fund Group, regarding taking long/short position on S&P100 index option and its constituent stock option
with delta hedging and vega hedging. Employing principal components analysis on stock selecting(pick 13 out of 100) to reduce
transaction cost and hedging cost, annualized return 30.427% and volatility 39%, maxDrawdown31.38%, Sharpe0.73(Python, SQL)
NR4/IBAR FX Strategy Hedge Fund Group, regarding generating the alpha from G10 currencies by discovering NR4 and IBAR pattern
and taking long/short position based on different closing methods. Annualized return 1% for volatility adjusted threshold. (Python)
Yield Curve Arbitrage Hedge Fund Group, regarding taking long and short positions on different points of the yield curve of the
treasuries so as to profit from treasuries misprices by utilizing Nelson‐Siegel Model. Sharpe Ratio 0.88 and MaxDD 5%(Python)
Electricity Trading Hedge Fund Group, regarding conducting research on North American electricity dual pricing system(DART
markets) and exploring virtual bidding strategy and geographic arbitrage using FTRs and CFDs
Early Warning Strategy With Moody’s EDF Fosun Credit Risk Group, Team leader, regarding conducting research on analyzing
Moody’s’ EDF model to generate four early warning methods for rating deterioration and issuer default.
Bond Rating Downgrade With Machine Learning Fosun Credit Risk Group, individual project, regarding predicting whether or not a
bond will downgrade from Baa level to Ba level (from investment grade to high yield) by using several algorithms including random
forest, gradient boosting and SVM(Python)
Model Validation For Credit Risk Model Fosun Credit Risk Team, individual project, regarding conducting researches on model
validation methods including CAP, receiver operating characteristic, Kolmogorov Smirnov, logarithmic loss, Kendall Tau to select best fit
methods for our team’s credit risk model; Conducting threshold-setting research and presenting model validation methodology to my
asset allocation team to make AUC of our risk management model up to 91% (Better than EDF’s AUC) (Python)
Implied Rating From USD US Composite Yield Curve Fosun Credit Risk Group, Team leader, regarding generating implied rating of
senior unsecured bonds from Bloomberg’s yield curve involving akima interpolation(Python)
SKILLS
Programming: Python (NumPy, Pandas, SciPy, Scikit-learn, matplotlib, seaborn) , C++, R(fGarch, quantmod, stats, ggplot2), VBA,
SQL(mysql workbench, DB API, MySQL Connector), MATLAB
Tools: Bloomberg terminal, Bloomberg Excel Adds-in, Factset, S&P CapIQ, S&P Excel Adds-in, Moody’s Adds-in, Moody’s
Creditedge,Wind, Latex, Excel, PowerPoint, Tableau
Certifications: CFA Level II Candidate (Passed Level I in June 2019), Bloomberg BMC Certificate, Data Science Python Certificate,
IBM Databases and SQL for Data Science, IBM Data Visualization with Python
INTERESTS
Snowboarding(Black Diamond), Cooking(over 30 different Chinese special foods)
EDUCATION
Yunfei (Sophie) Chen
[email protected] | 517 W 121st St, NY10027 | 917-378-0713 |
https://www.linkedin.com/in/yunfei-c
Columbia University | Master of Arts, Mathematics of Finance New York, NY, Expected Dec 2020
· Coursework: Stochastic Processes, Time-Series Modelling (R), Linear Regression Models (R), Math Finance (MATLAB,
Python, VBA), Numerical Methods in Finance, Stochastic Methods in Finance, Non-linear Option Pricing
· Champion of the UBS Global Markets Quant Hackathon 2019 (1 out of 1000) Oct – Nov 2019
Fudan University (Ranks 40th in QS World University Rankings 2020) Shanghai, China
Bachelor of Economics, Mathematical Economics Sep 2014 – Jul 2018
· Coursework: Mathematical Analysis, Linear Algebra, Differential Equations, Stochastic Processes, Optimization,
Econometrics, Time Series, Probability, Financial Engineering, Investments, International Finance, Python Programming,
MATLAB Programming, Advanced Macroeconomics (PhD), Machine Learning & Deep Learning Specialization (Coursera)
· Exchange Program at University of Hawaii at Manoa
EXPERIENCE
Guotai Junan Securities Co., Ltd. (Top-tier Securities in China) Shanghai, China
Remote Quant Intern | Department of Securities Derivatives Investment, Shanghai Headquarters Dec 2019 – Present
· Reviewed academic research and wrote an in-depth report on the pricing and hedging methods of knock-out option
· Conducted empirical research on the Vega Greeks (Vanna, Volga) and Vega-hedging of vanilla and exotic options with
Python; presented work to senior colleagues in a weekly meeting
China Times Asset Management Co.,Ltd. Shanghai, China
Quantitative Analysis & Database Intern | Department of Investment & Research Oct 2018 – May 2019
· Built Python programs to pull data from APIs, conduct data cleaning and interpolation, and interact with SQL databases
· Aggregated futures trading data from contract level to commodity; calculated weighted daily indices for each commodity
· Developed functions for calculating 5 momentum factors relevant to limit-up/-down and real-time quantity relative ratio
· Extended and revised the CTA deal analysis framework; translated it from MATLAB to Python (thousands of lines)
· Developed a captcha recognition program to detect characters with a sliding window, achieving over 90% accuracy
Ningbo Rongan Asset Management Co.,Ltd. Shanghai, China
Quantitative Strategy Research Intern | Shanghai Investment Research Center Sep 2017 – Jan 2018
· Implemented stock selection with a stock-bond rotation strategy using Python; processed data from Wind Terminal
· Evaluated strategy performance, including yearly return, max drawdown and Sharpe ratio on backtesting platforms
Shanghai Puzhi Information Technology Co.,Ltd. Shanghai, China
Financial Analyst Intern | Quantitative Trading Team Jul – Aug 2017
· Implemented stock picking using Elliott Wave Theory and made daily reports to supervisor; collected A-shares data
· Conducted technical analysis to help with stock trading, including expected buy/selling prices, stop-profit/-loss points etc.
PROJECT / RESEARCH EXPERIENCE
A Joint Market Risk and Liquidity Risk Model, Shidler College of Business, UH Manoa Honolulu, HI
Research Assistant in Finance | Supervisor: Professor Gunter Meissner Sep 2016 – Aug 2019
· Quantified liquidity risk in the market using the Geometric Brownian Model with a Bernoulli Jump
· Batch-downloaded from Bloomberg Terminal 6-month per second bid and ask prices of 30 DJIA bonds with VBA
· Used Python and SQL to sort out the highest bid price and the lowest ask price per second for each bond; derived the bid-
ask spread and price volatility of each bond, statistically testing the downside occurrences of liquidity shocks
SKILLS / HONORS
Computer skills: Python, SQL, VBA (Intermediate); C++, MATLAB, R, TensorFlow, Stata (Basic); Bloomberg, Wind
Certifications: CFA I Passed, FRM I Passed, Bloomberg Market Concepts, Certificate of Accounting Professional in China
Honors: Undergraduate Outstanding Scholarship (Fudan University, Sep 2016 & Jun 2018)
Languages: Mandarin & Shanghainese (Native), Korean (Basic)
YINGXIAN CUI 188 Claremont Ave, New York, NY 10027
[email protected] (646) 266-0289 www.linkedin.com/in/yingxian-cui
EDUCATION
COLUMBIA UNIVERSITY New York, NY
Master of Arts in Mathematics of Finance Sep 2019 - Dec 2020 (expected)
Relevant Courses: Stochastic Processes - Applications, Statistical Inference/Time Series Modeling, Financial Risk
Management and Regulation, Stochastic Methods in Finance, Numerical Methods in Finance
BOSTON COLLEGE Chestnut Hill, MA
Bachelor of Arts in Mathematics and Economics, Minor in Finance Aug 2015 - May 2019
GPA: 3.85/4.00 (Rank: 58/1404)
Relevant Courses: Financial Accounting, Corporate Finance, Probability, Computer Science I&II, Mathematical Modeling,
Numerical Analysis, Machine Learning for Economics, Math Statistics, Data Analytics in Finance Honors & Awards: Summa Cum Laude, Dean’s List All Semesters, Omicron Delta Epsilon Honor Society
EXPERIENCE
CHINA CITIC SECURITIES CO., LTD. Beijing, CHINA
Summer Analyst Jun 2018 - Aug 2018
Tracked the latest stock quotes, financial and business news of several stocks, and built the interactive excel dashboards
Wrote codes via MATLAB to predict the market risk of stocks and evaluated the predictive performance
CHINA CITIC BANK, SHOUTI SOUTH ROAD BRANCH Beijing, CHINA
Account Manager Assistant Jun 2017 - Aug 2017
Processed transactions and managed customer accounts, set users up with credit cards and managed the inventory
system for key accounts
Assisted the Manager to finish two financial evaluation reports in accordance with the corresponding enterprises’
balance sheets, income statements, and statements of cash flows
Visited customers to identify their businesses, analyzed their competitive advantages according to their business models
and core competences, assessed the rationality of applied credit limits, and analyzed the risk of guarantees
Conducted the regular checking of enterprises’ post-loan credit assets and finished the reports
PROJECTS
COLUMBIA UNIVERSITY New York, NY
Portfolio Risk Calculation System Sep 2019 - Dec 2019
Designed a risk calculation system using R for users to analyze risks for portfolios containing stocks and European
options
Implemented parametric, Monte Carlo and historical methods to calculate Value at Risk (VaR) and Expected Shortfall
(ES) for the portfolios, and performed backtesting
Composed the report including model documentation, software design documentation, and test plan
Quantitative Alpha Stock Selection Strategies in Chinese Market Sep 2019 - Dec 2019
Researched the 300 representative stocks traded in the Shanghai and Shenzhen Stock Exchanges, explored the internal
mechanisms of price fluctuation and constructed alpha factors
Built corresponding stock selection strategies and backtested the strategies using Matlab; compared the performance of
the strategies and found the best one achieving net sharpe ratio of 2.53
BOSTON COLLEGE Chestnut Hill, MA
Community Violent Crime Rates Prediction Sep 2018 - Dec 2018
Accessed data from CSV file in Python with pandas, and modified the dataset
Used a validation-set approach to perform a linear regression and a lasso regression and estimate the training set and test
set errors
Conducted a cross-validation analysis and discussed the bias/variance trade off with the graph plotted, and found the best
model is the lasso model with the best λ of 0.08
SKILLS
Skating, Traveling, Board games, Table Tennis
INTERESTS
Certificates: CFA level I Passed, Bloomberg Market ConceptsLanguage: Mandarin (native)
Computer Skills: Python, R, Java, MATLAB, STATA, SPSS, Latex, Bloomberg, Excel, PowerPoint
Jinjin Deng [email protected] | 200 W 96St, NYC, NY, 10025 | +1(332)201-5284 | www.linkedin.com/in/jinjin-deng
Education Columbia University, M.A. in Mathematics of Finance New York, USA/ expected Dec. 2020
⚫ Coursework: Fixed Income Portfolio Management, Hedge Fund Strategies, Financial Risk Management ⚫
Columbia University, Visiting Student Program New York, USA/ Sep.- Dec. 2018
⚫ Coursework: Stochastic Process and Application, Time-series Modeling, Python for Data Analysis ⚫
Jinan University, Bachelor of Economic Guangzhou, China/ Sep. 2015~Sep. 2019
⚫ Coursework: Financial Engineering, Corporate Finance, Econometrics, Security Investment, Accounting, Statistics
⚫ GPA: 3.6/4.0
Internship Experience GF Securities/ Investment Banking Intern (leading IB in China) Shenzhen, China/ May - July 2019⚫ Researched TMT startups and E-commerce industry, used trend analysis and comparative method to evaluate investments.
⚫ Responded to CSRC (China Securities Regulatory Commission) comments on preliminary prospectus of ZhouLiuFu’s IPO.
⚫ Analyzed (Excel) ZhouLiuFu’s expanding capacity and competitive advantages using its customer group and store
distribution patterns and revenues compared with similar companies.
Shenwan Hongyuan Securities/ Risk Management Intern (leading IB in China) Shenzhen, China/ June - Aug. 2018⚫ Validated model results of historical VaR and incremental VaR for bond and derivatives at portfolio and sub-portfolio level.
⚫ Analyzed Jiangsu Protruly’s fall-down with ratio method based on its balance sheet and auditing report, etc.
⚫ Collected and analyzed information about the companies in the 5G industry, wrote the industry research report, and
recommended the leading enterprise in 5G industry i.e. ZTE Corporation.
Industrial Securities/ Asset Management Intern Beijing, China/ Jan. - Feb. 2018 ⚫ Took post-loan follow-up survey of stock pledge repo business, regularly monitored financier’s risk level, and updated
post-loan statistic table.
⚫ Conducted due diligence in the ABS issuance, analyzing its annual reports, auditing reports, and business loan.
⚫ Applied fund-related knowledge in the sales of the LOF of YuanXinYongFeng.
Bronzehorse Capital/ Strategy Research Intern Beijing, China/ July - Aug. 2017 ⚫ Researched overall trends of the stock and bond market, including CSI 300 Index and T-Bond Futures.
⚫ Analyzed growth rate of listed companies by extracting financial data and valuation data.
Research & Project Experience Fixed Income Portfolio Management Project Columbia University/ Sep.-Dec. 2019
⚫ Constructed diversified fixed income portfolio with investment limit and DV01 and VaR limit.
⚫ Hedged interest rate risk using bonds, swaps and futures.
⚫ Employed active management strategies such as steepener, flattener and butterfly according to market condition.
⚫ Analyzed portfolio risk by computing duration and convexity.
Implementation on Production Spread Strategy Columbia University/ Nov. 2019
⚫ Conducted 1:1 crack spread and refined it with rolling cost and 3:2:1 crack spread
⚫ Wrote implementation paper, discussing the difficulties and reasoning refinements, and analyzed results.
Research on Risk Measurement in Financial Market Jinan University/ May - June 2018
⚫ Collected pertinent data and processed close price into Logarithmic yield.
⚫ Selected and used GARCH models to estimate conditional variance and evaluated VaR with parametric method.
⚫ Conducted back testing to test the robustness of VaR.
⚫ Developed the research paper Research on Risk Measurement in Financial Market Based on GARCH-VaR and FHS
published on Applied Economics and Finance
Skills & Interests Programming: Python (proficient), R (intermediate), VBA in Excel (intermediate), Bloomberg (beginner)
Languages: Mandarin (native), Cantonese (basic)
Interests: Reading The Economist, Wall Street Journal, Hiking, Road Trip, Piano, Latin Dancing
KANGLEI FANG323 W 96th St, Apt 1005, New York, NY 10025• (646) 309-7232
[email protected]•linkedin.com/in/kanglei-fang Education_____________________________________________________________________________ Columbia University | Graduate School of Arts and Sciences New York, NY Master of Arts in Mathematics of Finance (MAFN) Aug. 2019-Dec.2020(Expected) Related Coursework: Statistical Inference and Time-Series Modelling, Stochastic Processes, Capital Markets and Investments, Financial Risk Management and Regulations Jilin University | School of Mathematics Changchun, China Bachelor of Economics in Financial Mathematics, GPA:3.88/4, Major GPA:4/4 Aug. 2015-Jul. 2019Tang Aoqing Honors Program in Science (Mathematics) (Dean’s list, National Scholarship) Related Coursework: Calculus with Theory, Linear Algebra, Complex Analysis, ODE, PDE, SDE, Probability and Statistics, Financial Mathematics, Financial Computation, Real Analysis, Multivariate Statistical Analysis. Georgia Institute of Technology | School of Mathematics Atlanta, GA School of Mathematics Visiting Honors Student Program, GPA:3.89/4 Jan.2018-May.2018Related Coursework: Introduction to Probability and Statistics, Mathematical Statistics II. Professional Experience_________________________________________________________________ Huatai Securities Institute Beijing, China Intern Assistant Researcher, Financial Engineering Group Aug. 2018-Sep.2018 • Participated in the Stock Fluctuation Rate Prediction based on GARCH and its Derivative Models Program,
completed data cleaning and screening by Python.• Calculated and predicted the fluctuation ratio by GARCH and its derivative models which improved the
prediction accuracy rate by 17%.• Solved the possible convergence problem of GARCH model in the Second-board market through Augmented
Lagrange Method.Shanghai HuaAn Funds Shanghai, China Intern Equity Assistant Researcher, Index and Quantification Head Office Jul.2018-Aug.2018 • Attended in the Multifactor Stock Selection Analysis Based on Consensus Data Program.• Processed more than 2.2 million consensus data from GO-GOAL (a finance database) and completed format
unification, worthless data elimination and data fitting in Python and SQL.• Selected stocks according to four factors constructed by the processed data achieving 16% profit rate compared
to SSE.• Prepared roadshow to promote improved models and learned from other funds’ roadshows.Huatai United Securities Co., Ltd Beijing, China Intern Manager Assistant, Investment Banking Department Jul. 2017-Aug.2017 • Attended internal thematic training on Corporation Law, Securities Act, IPO and M&A Administration Measures,
and financial management.• Responsible for the previous due diligence for an assets reorganization program, cleared up some historical
documents and contracts.• Cooperated with capital operation proposals and finished PPTs, presentations, and prospectuses.Project Experience_____________________________________________________________________Financial Risk Calculation System Nov.2019-Dec.2019 Columbia University Financial Risk Management and Regulations Final Project• Used Python to write a risk calculation system (about 1200 lines) to calculate different kinds of VaR and Expected
Shortfall (like GBM, Parametric, Historical, Monte Carlo etc.) of a portfolio contains arbitrary numbers of stocksand options.
• Backtested calculated risk factors and provided improvement suggestions about calculating options risk factors.• Using LaTeX to write model documentation, software documentation and test plan.Skills_________________________________________________________________________________Computer skills: Advanced: PowerPoint, LaTeX; Intermediate: Python, C, R, MATLAB, SQL, EXCEL.Languages: Native Chinese SpeakerClub: Columbia Quant Group (Quant Analyst)Interests______________________________________________________________________________Reading, Curling[A Winter Sport], Badminton
Shijia (Scarlett) Fu 501 W 113th St New York, NY 10025
332-201-8363 � [email protected] EDUCATION Columbia University MA in Mathematics of Finance
New York, NY Sept. 2019- Dec. 2020 (Expected)
Coursework: Mathematics of Finance, Statistical Inference, Programming for Quantitative Finance, Stochastic Processes Renmin University of China BS in Mathematics and Applied Mathematics
Beijing, CN Sept. 2015- June 2019
Honors: Second-class Scholarship(2018), Third-class Scholarship(2016, 2017), Merit Student (2016,2018) Coursework: Real Analysis, Time Series, Probability, Statistics, Optimization, ODE, PDE, C, Data Structure University of Helsinki Exchange Program
Helsinki, Finland Sept. 2017- Dec. 2017
Coursework: Stochastic Methods, Artificial Intelligence, Machine Learning, SAS PROFESSIONAL EXPERIENCE Horizon Asset Management Co.Ltd. Quantitative Strategy Intern Provided support for the first quantitative investment product of the company.
Beijing, CN Sept. 2018 - Dec. 2018
� Grasped the backbone of over 80 research papers and sorted out a detailed spreadsheet about the core concepts and dependent data of each report in one week
� Cleaned 15 years of data, and pointed out the loopholes of the data merge logic � Wrote functions of the back-test platform in Python. The program that implemented intersection and union of several
universes is still in use today � Constructed price/volume alpha factors for inter-day market neutral strategy on A-shares HSBC Data Analytics Summer Intern
Shanghai, CN July. 2018 – Aug. 2018
� Segmented customers based on their consumption habits and product character, and used SQL to compile customer information from database
� Assisted data scientist in building Random Forest model to capture specific customer group, predict their demands and improve response rate. Used A-B test to validate its effect
� Conducted Bayesian Analysis on the purchase history of credit card users, created customer profiles and selected cooperative merchants accordingly
PROJECT Graduation Thesis: Journe Wavelet SVM Based on Kernel Polarization(Renmin University) Feb. 2019 – Apr. 2019 � Created a new kernel function for complicated classification tasks � Achieved 71% and 85.5% accuracy on the German credit dataset and the Australian credit dataset, respectively. ACTIVITIES Renmin University Youth Volunteer Association, Vice Minister Sept. 2015 – June. 2017 Renmin University Debate Team, Member Sept. 2015 – June. 2016
SKILLS & INTERESTS
Technical Skills: Python(Numpy, Pandas), C++(beginner), R, SQL(basic), C(intermediate)
Certificates: Coursera Financial Engineering and Risk Management I, II, C++ Programming
Productivity Software: Excel, PowerPoint
Interests: opera, dancing, archery, etc.
Huiwen(Katherine) He 400 West 113th St, New York, NY, 10025 • 857-413-7787 • [email protected] • www.linkedin.com/in/huiwen-katherine-he
EDUCATION
Columbia University, Graduate School of Arts and Sciences New York, NY
M.A. in Mathematics of Finance Expected Dec 2020
Coursework: Quant Methods in Investment Management(Python), Time-Series Modelling(R), Stochastic Processes, Essential Data
Structures (C and C++); Numerical Methods in Finance(VBA); Stochastic Methods in Finance; Artificial Intelligence(Python);
Machine Learning(Python)
Boston University, Questrom School of Business Boston, MA
Bachelor of Science in Business Administration Sept 2016 – May 2019
Dual concentration in Accounting and Finance; Mathematics Minor
Awards: Dean’s List (Spring 2017 – Spring 2019); Summa Cum Laude; Beta Gamma Sigma
Coursework: Probability, Financial Statement Analysis, Investment Analysis, Data Science in R(R), Differential Equations, Linear
Algebra, Multivariable Calculus, Numerical Analysis, Python, Management Communications, Accounting
WORK EXPERIENCE
China Merchants Securities Co., Ltd., Shenzhen, China June 2019 – Aug 2019
Quantitative Analyst Intern
Enhanced the factor selection process for China A-shares portfolios by constructing a rank IC-based feature selection model and
incorporating information on feature importance derived from AdaBoost using Python
Preprocessed data for convertible bonds research by performing data wrangling, such as normalization and merging DataFrames,
and Exploratory Data Analysis (EDA)
Performed regression analysis to investigate the collinearity in multi-factor models for China A-shares portfolios and enhanced the
models by incorporating interactions term using Python
Panacea Lab, Inc., Cambridge, MA June 2018 - Aug 2018
Research Intern
Proposed a social media marketing campaign through analyzing market trends of the toothbrush industry, assessing market
competitors and user preferences and researching advertising strategies in the industry
Performed a cluster analysis on a 350-consumer survey to personalize customer marketing strategies and optimized the price point
based on purchase intent using demand curve
Guangzhou Industrial Transformation and Upgrading Investment Fund Co., Ltd, Guangzhou, China
Research Intern July 2017 - August 2017
Assessed a potential investment opportunity on a cosmetics company and conducted a due diligence analysis, including industry
analysis, profitability analysis and other analysis of financial statements
Examined the overall risk of the potential investment opportunity through qualitative analysis by creating a qualitative risk
assessment matrix, classifying risk categories and estimating its risk probability and impact
PROJECT EXPERIENCE
Boston University, Boston, MA Oct 2018 - Jan 2019
Undergraduate Research Assistant for Prof. Albuquerque
Derived and synthesized an excel report for change in CEO compensation based on 8-Ks to determine the effectiveness Institutional
Shareholder Services(ISS)’s Pay-for-Performance guideline
Academic Team Project Jan 2018 – May 2018
Cross Functional CORE Project
Led a team of nine to develop a unique product idea on a stroller and devised an integrated business plan
Proposed a risk mitigation strategy from qualitative and quantitative perspective through scenario analysis, sensitivity analysis and
simulation by using excel and @Risk
Quantitative Methods in Investment - Pairs Trading and RSRS Combined Trading Strategy Sept 2019 – Dec 2019
Developed and tested a quantitative trading and risk management strategy with a team of five by analyzing 20-years historical daily
data, using the Resistance Support Relative Strength strategy(RSRS) method to identify trading signals and combining the
cointegration method in pair trading to hedge risk.
Collected, sorted and cleaned data from IBES and CRSP Data by performing filling null value, normalization, merging two data
and parsing data into a SQL database
Increased the speed for pair selection process by 16% by performing principal components analysis(PCA) and K-mean clustering
on stock returns to narrow the stock pool
Tested the strategy’s robustness and sensitivity by using Python to perform back-tests, in-sample/out-sample comparisons and
conducted perform analysis, such as Sharpe Ratio and VAR, and general evaluation against benchmarks.
SKILLS & LANGUAGES
Programming: Python; R; Excel (@Risk, XLMiner, solver); PowerPoint; Bloomberg Certificate; SQL
Languages: Mandarin(Native), Cantonese(Native), English(Fluent)
Interests: Violin, Broadway Shows, Hiking
JIANGWEI HU 203 W 108th ST New York NY 10025 | +1 6468528420 | [email protected] | www.linkedin.com/in/jiangweihu
EDUCATION
Columbia University Master of Arts in Mathematics of Finance
New York, NY December 2020 (expected)
• Coursework: Non-linear Option Pricing | Risk Management | Stochastic Processes | Stochastic Calculus | Numerical Methods |
Time-Series Modeling | Intro to Mathematics of Finance
Central University of Finance and Economics Beijing, CN Bachelor of Economics, Major in Finance (GPA: 87.83/100) July 2019
• Coursework: Investments | Fixed Income Securities | Risk Management | International Finance | Database Theory and
Application | Mathematical Analysis | Ordinary Differential Equations | Probability and Statistics | Linear Algebra
• Scholarship for Academic Excellence (Top 5%)
University of Pennsylvania Philadelphia, PA Exchange Student (GPA: 3.93/4.0) August 2017 – December 2017
• Coursework: Financial Derivatives | Econometrics | Advanced Corporate Finance | Statistics for Economists
PROFESSIONAL EXPERIENCE
China International Capital Corporation Limited (CICC) - Equity Derivatives & Solutions Team Beijing, CN Equity Derivatives Analyst Intern September 2018 – March 2019
• Proposed investment topics, identified and pitched derivatives solutions to institutional investors, including auto-callable options,
covered calls, and zero-cost collars, created sales support material and presentations for marketing purposes.
• Implemented Monte Carlo simulation to estimate the early termination value of an auto-callable option.
• Investigated and resolved queries from clients stemming from their trading positions. Processed daily pricing requests.
• Liaised with internal stakeholders to resolve day to day trading issues: processed invoices and resolved discrepancies in cash flow
settlement with middle and back office, reviewed documents and contracts with legal team.
• Onboarding new clients and prospects.
Guotai Junan Securities Co., Ltd. - OTC Derivatives Team Shanghai, CN Summer Research Analyst Intern July 2018 – August 2018
• Researched RANs (range accrual notes), performed scenario analysis on contract payoff, drafted term sheets specifying terms of a
RAN contract.
• Implemented option pricing (plain vanilla, digital, and barrier) in VBA.
• Collected market data for pricing model inputs: interest rates, dividends, trading days, historical and implied volatility.
CITIC Securities Co., Ltd. - Research Department Beijing, CN Equity Research Analyst Intern February 2017 – August 2017
• Researched industry parameters, built a multivariate regression model linking market size and growth of the furniture industry
to China’s real estate market dynamics and urban policies.
• Performed financial statement projection, applied DCF valuation and equity value multiples to determine the fair value of stocks.
• Drafted equity research reports to support BUY/SELL stock investment recommendations by the Senior Analyst.
SKILLS
• Computer skills: Excel, PowerPoint (Advanced); C++, R, Python, MATLAB, VBA, SQL (Intermediate)
• Languages: Mandarin (Native)
PROJECTS
Risk Calculation System in R - Columbia University New York, NY Term Project Sept 2019 - Dec 2019
• Developed risk calculation system in R that can compute parametric, historical, Monte Carlo VaR and Expected Shortfall for a
portfolio of stocks and options, and back test the result against history.
ACTIVITIES AND LEADERSHIP
College Dance Troupe – Central University of Finance and Economics Beijing, CN Core Member and Dance Performer September 2015 – July 2017
• 2nd Place Prize winner in the Beijing College Dance Competition.
• Co-organized and performed in biannual performance nights attended by over 700 fellow students and faculty.
• Initiated a series of events to promote performing arts literacy on campus, e.g., workshops and open-to-public training sessions.
YUXIANG HUANG
Email: [email protected] | Address: 504W 110th St., Apt 2F, New York, NY 10025
Tel: 347-283-3649 | LinkedIn: https://www.linkedin.com/in/yuxiang-huang-483314161/
EDUCATION
COLUMBIA UNIVERSITY New York, NY
MA in Mathematics of Finance Expected: 12/2020
• Coursework: Stochastic Processes, Statistical Inference / Time Series Modeling, Financial Risk Management &Regulations,
Hedge Fund strategies & Risk
JIANGXI UNIVERSITY OF FINANCE AND ECONOMICS Nanchang, China
B.A. in Economics 2015 - 2019
• GPA: 3.96/4.00 Ranking: 1/662
• Coursework: Calculus, Linear Algebra, Probability and Mathematical Statistics, Measure Theory, Stochastic Processes
• Awards: National Scholarship (5/2659); Scholarship of China Mobile Star (3/2659); 2nd Price in 15th “Challenge Cup”
National College Students Academic Science and Technology Competition
• Publication: Yuxiang Huang, “Quantitative Investment with Machine Learning in US Equity Market.” 2018 2nd
International Conference on Future Computer and Information Technology (ICFCIT 2018),[C]
PROFESSIONAL EXPERIENCE
RICEQUANT Shenzhen, China
Quantitative Research Intern, Equity Trading Division 07/2019-09/2019
• Constructed and improved stock selection models based on Amihud illiquidity factor (ILLIQ) across different frequency
measures
• Constructed quantitative investment strategies based on Hidden Markov Model to predict stock return
• Conducted backtesting for several strategies and designed fixed stop-loss and trailing stop-loss strategy based on the 10%
drawdown of max profit
• Built a performance and risk analysis program to assess various risk exposures and generate flexible reports and charts
GF SECURITIES Shanghai, China
Research Analyst, Research Division 09/2018-12/2018
• Performed data analysis on more than 90,000 public-private partnership project data entries of treasury department from Jan.
2016 to Sep. 2018 and analyzed regional implementation rate of these projects
• Developed a reporting system to update the real time order information of major companies in the construction industry
• Completed a study of the added-value tax on construction enterprises and wrote reports by analyzing the financial statements
of eight major construction enterprises
CAIDA SECURITIES Shijiazhuang, China
Summer Analyst, Securities Investment Department and Investment Banking Department 07/2018-08/2018
• Assisted business managers in collecting and analyzing companies' financials of new issuance stocks, and constructed a
regression model to calculate new issuance prices based on various factors, including trends of stock prices of comparable
companies, business volume, stock price fluctuation range, and company’s ranking in the industry
• Completed the interest rate pricing analysis and used bond market conditions, prevailing coupon rate, and margins between
primary and secondary markets to give recommendations for the pricing range of new issuance bonds
• Applied Monte Carlo Simulation for various credit scenarios of underlying collaterals to classify and grade ABS products
RESEARCH EXPERIENCE
Quantitative Investment with Machine Learning in Us Equity Market 08/2018-10/2018
• Performed technical analysis and predicted technical indicators of S&P 500 index by extracting underlying stock data from
Thomson Reuters and conducting data processing and classification using Python, and its scientific packages such as
NumPy, Matplotlib, Pandas, and TA-Lib
• Designed quantitative investment strategies using machine learning algorithms including support-vector machine, k-nearest
neighbors, and neural networks implemented by scikit-learn and achieved an annualized rate of return of over 40%
Quantitative Investment Research Based on Alpha Smart-Beta Strategies 07/2017-09/2017
• Identified key drivers for CSI 800 Index return by using regression method to filter 64 indicators and developed multi-factor
stock selection model based on Barra risk factors
• Conducted research on event-driven investment strategy, analyzed the characteristics of stock repurchase events such as
seasonality, industry and valuation distribution, and repurchase ratio, and explored potential event-driven strategies
SKILLS & INTERESTS
⚫ Technical Skills: C, R, Python, MATLAB, Stata, SAS, SPSS
⚫ Hobbies: Table-tennis (National table-tennis referee), swimming, piano
⚫ Certifications: CFA level II candidate, FRM Program – Passed Part I and Part II
JIAN (JAMES) JIAO 225 W 109th, New York, NY 10025 • [email protected] • (646)427-5961 • www.linkedin.com/in/jian-james-jiao
EDUCATION Columbia University, New York, NY Expected 2020 Master of Arts in Mathematics with a Specialization in the Mathematics of Finance • Core curriculum: Time Statistical Inference/Time-Series Modeling, Stochastic Processes, Financial Risk Management, Fixed Income Portfolio
Management, Stochastic Methods in Finance, Numerical Methods in Finance, Multi-asset Portfolio Management, Equity Derivatives; • Columbia Quant Group: Quant Analyst Class of 2020 Shanghai University of Finance and Economics, Shanghai 2015 - 2019 Bachelor of Science in Quantitative Economics, School of Economics • Core curriculum: mathematical analysis, function of real variables, differentiation equation, stochastic process, intermediate microeconomics
and macroeconomics, probability and mathematical statistics, game theory, C++, econometrics, analysis of financial time series, operational research, data mining, SAS
• Cumulative GPA: 3.62; Second-prize scholarship; Honored graduates; • National second prize of 2017 Mathematical Contest in Modeling, rank the first campus wide University of Wisconsin-Madison, Madison, WI 2017 - 2018 • Core curriculum: applied econometrics analysis, data programming, data analytics, investment theory, decision analysis; • Cumulative GPA: 4.0; Academic Excellence Award CERTIFICATIONS AND SKILLS • Computer Science: Visual Pascal, C++, Matlab, Python; Statistical software of R, SAS, Tableau; Proficient in PowerPoint , Excel • Finance: Security qualification of SEC China; FRM II pass; CFA II candidate; Second Prize Award Tsinghua University QTC-MLS workshop
PROFESSIONAL EXPERIENCE
China Galaxy Securities(CGS), Beijing (Held by Ministry of Finance, PRC, with top 5 margin trading balance in China) 7/2019 - 9/2019 Margin Trading Data Analytics Summer Intern; Drawing margin trading yield curve and scoring listed companies, revenue forecasting. • Processed time series margin trading data so as to calculate the rate income and generate the yield curve on a branch basis, which acts as a
leading factor of the security market; Used these pattern to form a scoring model to all listed companies; • Forecasted future revenue from margin trading or short selling business and quantified potential risk exposure for further risk analysis. Huatai Securities Asset Management, Shanghai (Top 2 Asset Management Scale in China) 5/2019 - 7/2019 ABS Duration Management Quant Intern, Structured Financing Department; Automation for income distribution and credit re-rating for ABS. • Designed and utilized ABS-Duration management system to monitor post-investment activities, realizing automatic calculation and reminder of
revolving period, amortization period and multiple reporting days; Construct the underlying logic of automatic generation of income distribution reports, according to the amortization rule on prospectus;
• Examined the credit rating model, anticipating future cash inflows and outflows; Modified rating in order to trigger event of default. Guotai Junan Securities, Shanghai (Rank 1st Financial Engineering Research Team in 2017 New Fortune Best Analyst) 11/2018 - 3/2019 Financial Engineering Research Team Intern, Equity Research Department; Alpha digging and realizing, backtesting, optimizing, data mining. • Applied logistic regression and machine learning algorithms to analyze the validity of Multi-factorial stock-picking strategy through correlation
test and monotonic test respectively and took CIC 500 stock index futures as a hedging object, completed a back testing on effectiveness of fund selection strategy; Included but not limited to excess return on corporate bond, shell value and supply chain factors;
• Conducted data mining process with genetic algorithm to intelligently generate factors that yield a stable excess return.
Porsche Consulting, Shanghai 7/2018 - 11/2018 Data Scientist Intern; A project helped Nike set up their supply chain in Greater China, lowering cost and enhancing service agreement level. • Upgraded Nike’s logistic and warehouse system, including network setting, delivery, economic order quantity and inventory management within
Greater China; Set up supply chain model based on historical financial data, cost data and inbound/outbound data; • Finished Intelligently operational research with the help of Llamasoft through parameter adjustment and optimized the quantitative model,
which devoted to 20% cost cut with a 300% service agreement level up.
Projects Fixed Income Portfolio Management, Columbia University 9/2019 - 12/2019 • Constructed a fixed income portfolio in US bond market betting on 26 speculative grading bonds; Monitored weekly P&L and portfolio yield; • Rebalanced portfolio within concentration and plafond; Hedged duration and convexity by shorting swaps, CTD futures and Euro$ futures;
• Applied Steepening and Butterfly strategies to ride the yield curve; Active portfolio management yields an EAR of 13% on $400 million initial.
Portfolio Risk Calculation, Value at Risk and Expected Shortfall System, Columbia University 9/2019 - 12/2019 • Developed a risk calculation system for arbitrary portfolio of stocks and options under various window lengths and exponential weightings; • Implemented Parametric, historical and Monte Carlo method to calculate VaR and Expected Shortfall and compared performance;
• Back-tested the system by inputting historical stock prices and implied volatility of options under real world scenarios.
Stock Index Volatility Prediction with LSTM model (Python), Tsinghua University 8/2018 • Computed individual volatility of CSI500 stocks and weighted average by index weights to generate effective alphas; • Set up, complied and trained the LSTM model for volatility prediction by dynamic parameter calibration for neural network nodes,
regularization ratio, eigen value, etc. and reach a chance of nearly 60% probability of correct prediction of CSI500 volatility.
Interests • Level 10 for percussion; 3-year experience in symphony orchestra; 7-year experience in acoustic band; proficient in stage and lightening effect; • Registered Level 3 Football Referee in Chinese Football Association; Mixed Martial Arts.
Houssam L’Ghoul 92 St Nicholas Ave, New York, NY 10026 +13472849535 [email protected]
linkedin.com/in/l-ghoul-houssam
EDUCATION
Columbia University New York, USA
Mathematics of Finance MA Program Expected Dec 2020
Relevant Coursework: Introduction to the Mathematics of Finance, Statistical Inference/Time-Series Modeling, Stochastic
Processes-Applications, Stochastic Methods in Finance, Fixed Income Portfolio, Quantitative Methods in Investments, Multi-Asset Portfolio Management
Ecole des Mines de Nancy: French Graduate School of Engineering Nancy, France Major in Applied Mathematics GPA:3.7/4 2017 – 2019
Relevant Coursework: Partial differential equation, Probabilities, Data analysis, Modeling and simulation of real
systems, Financial modeling
Lycée La Martinière Monplaisir : Classes Préparatoires aux Grandes Ecoles Lyon, France
Major in Advanced and Applied Mathematics, Computer Science and Physics, ranked among the Top-10 students 2015 – 2017
A 2-year undergraduate program preparing to national competitive exams for admission to French most prestigious graduate schools of engineering
Selected in Elite class for the second year
Baccalaureate in Science/Mathematics and Engineering Science (high school leaving diploma) Lyon, France
Passed with Distinction 16.7/20 2015
PROFESSIONAL EXPERIENCE
Saint-Gobain Paris, France Data science intern Sep 18 – Jun 19
Developed a mathematical protocol programmed in Matlab and R, using statistical methods and stochastic processes
such as “principal component analysis” and time series to detect and anticipate the deterioration of humidity sensors in
manufacturing process.
Skills developed: algebra and statistical methods, data analysis with the PCA methods and programs.
OCP Group (a leading exporter of crude phosphate and phosphate fertilizers worldwide) Youssoufia, Morocco Intern Jan 17 – Feb 17
Controlled the data collected by sensors of the production process using Excel monitor
Provided updated daily report to senior manager
Academic Projects
Fixed Income Portfolio: Columbia University New York, USA Developed tools for valuating and hedging of Fixed income securities in order to have a certain return 2019
within a certain set of parameters, using Matlab and Excel monitor
Hedge Fund Trading Strategies: Columbia University New York, USA Trading on stock and derivatives using Pair trading and Trading on convexity of spread in option calls 2019
with different strike prices. Used Matlab and R
SKILLS & Others
Computer Skills:
Advanced: Python, Matlab, R, Power Point, Excel
Intermediate: SQL, VBA, LateX Languages:
French & Arabic Native speaker, English Advanced C1, Spanish Intermediate B1, Portuguese Beginner
Leadership & Campus Involvement
TEDx Nancy Partnership department Nancy, France Find companies that agree to support the event TEDx Nancy (June 2019) 2018 – 2019
Cordées de la Réussite Teacher of Mathematics and Physics in high school Nancy, France
Volunteer Mathematics teacher to promote access to higher education for youngsters 2017 – 2018 Winner of the Speech Contest of Nancy 2017 Nancy, France
Zhimao Lei 204 W 108th St Apt 34, NY, 10025 | (765) 430 -3529 | [email protected] | https://www.linkedin.com/in/zLei/
EDUCATION COLUMBIA UNIVERSITY New York, NY
Sep 2019 – Dec 2020 (Expected) • Courses: Stochastic Processes and Applications, Time-Series Modelling, Financial Risk Management, Multi-asset
Portfolio Management COLUMBIA UNIVERSITY New York, NY Columbia Video Network (Non-Degree Graduate Coursework), GPA: 4.00/4.00 Jan 2019 – May 2019 • Courses: Probability and Statistics, Optimization Models and Methods for Financial Engineering PURDUE UNIVERSITY West Lafayette, IN B.S. in Electrical Engineering, Minor in Economics, GPA: 3.79/4.00 Aug 2013 – May 2017 • Courses: Programming Applications, Linear Algebra, Ordinary Differential Equations, Multivariate Calculus • Honors: Eli Shay Scholarship in Electrical and Computer Engineering, Dean’s List (2013-2017)
ACADEMIC PROJECTS • Portfolio Management: Researched on the method of Black-Litterman asset allocation model, coded in MATLAB to
stabilize variables and applied VARMA models to generate unbiased investor’s views regarding the performance of various assets with market equilibrium, realized the asset allocation model in program and constructed portfolios with relatively high Sharpe ratio 1.7 ± 0.3 with robustness test on extended periods (Fall 2019, Columbia University)
• Quantitative Risk Management: Developed a quantitative risk calculation system in Python, integrated Monte Carlo, historical, and parametric VaR and ES in the system, backtested the numerical risk measure against history, obtained acceptable number of expectances that validated the system (Fall 2019, Columbia University)
PROFESSIONAL EXPERIENCE YINHUA FUND MANAGEMENT CO., LTD Beijing, CN Intern FOF Researcher/Asset Manager, Quantitative Investment Jun 2018 – Oct 2018 • Analyzed risk-return characteristics and correlations of various underlying assets in Python, with a calculation system
that has ability to analyze 100+ funds with high efficiency • Developed investment strategies in a group, calculated return covariance matrix, and balanced the risk contribution of
targeted assets in the portfolio with risk parity strategy • Predicted the annualized rate of return, annualized volatility, Sharpe ratio, maximum drawdown, and Calmar ratio of
the portfolio in Python BANK OF CHINA, SICHUAN BRANCH Chengdu, CN Intern Risk Analyst, Quantitative Risk Management Department Jan 2018 – May 2018 • Derived correlation of risk exposure, time adjustment factors, and capital requirements for non-default and default
credit exposure in SQL database and Python • Collected financial statements of 15+ corporate loan clients with a team, built a SQL database, and performed
sensitivity analysis in Python to evaluate risk and return of lending opportunities worth $3.7 billion BANK OF CHINA, CHENGDU SUB-BRANCH Chengdu, CN Intern Customer Manager, Corporate Banking Department Jul 2017 – Sep 2017 • Assessed clients’ credit rating using the internal rating-based approach (IRB), tracked clients’ risk status to
compensate any delay of change in external credit rating PURDUE UNIVERSITY West Lafayette, IN Teaching Assistant, Physics Department Jan 2014 – May 2014 • Mentored 30 students to learn Python programming and review mathematical formulas and implements in use
SKILLS • Programming: Python (Numpy, Scipy, Matplotlib, vPython, cvxpy), C/C++, MATLAB (Simulink), R • Certificate: FRM Part I Passed, FRM Part II Passed, CFA Level I Candidate • Tools: VBA, Jupyter, R-Studio, Bloomberg, MS Excel, MS PowerPoint, Premiere, AutoCAD, Catia • Languages: Mandarin (Native), English (Fluent) • Interests: Tennis, Piano (Grade Examination of Musical Level 10, China), 3D Printing, Judo
M.A. in Mathematics of Finance
KEBING LI 2840 Jackson Avenue, Long Island City, NY | 207-313-7841 | [email protected] | https://www.linkedin.com/in/kebing
Education
Columbia University | Master of Arts in the Mathematics of Finance (MAFN) Dec. 2020 · Related coursework: Statistical Inference and Time-Series Modeling, Numerical Methods, Stochastic Process, Stochastic Methods
in Finance, Hedge Funds Strategies & Risk, Multi-Asset Portfolio Management, Financial Risk Management, Math of Finance
Colby College | Bachelor of Arts | Overall GPA: 3.78, Major GPA: 3.86 May 2019 · Double-Major: Mathematics and Economics (Graduated with Honor) | Minor: Computer Science | Honors: Dean’s List (five times),
Putnam Mathematical Competition (Individual: 530.5th/4164, Team: 1st in Maine), MCM 2018 (Honorable Mention)
· Related coursework: Econometrics, Statistical Modeling, Data Structures & Algorithm, Data Analysis & Visualization, Game
Theory (TAed), Auction Theory, Behavioral Economics, Corporate Finance, Financial Accounting, Probability, Real Analysis
Related Experience
ETFication | Financial Engineer Intern 02.2020 – Present | New York, NY · Developed a Mean-Variance Optimization tool to allocate 14 sector-ETFs given users’ risk tolerance and investment objectives.
Everspring Capital Management | Hedge Fund Quant Analyst Intern 01.2020 – 02.2020 | New York, NY · Directly assisted the portfolio manager in optimizing portfolio asset allocations using various mean-variance optimizers. Conducted
research on Bloomberg and TradeStation Futures and ETF data adjustment conventions and wrote Python scripts to convert the
unadjusted prices. Helped the portfolio manager automate the trading execution process and monitor transactions using Python.
· Back-tested two long-only systematic equity trading strategy that employs machine-learning-based models.
China Everbright Bank | Summer Trading Assistant 06.2019 – 07.2019 | Beijing, China · Assisted experienced traders with outsourcing trading signals from research papers, gathering data on analyst-recommended stocks
and investment-grade bonds, automating trade execution processes via Python and Bloomberg API, collecting daily trading data
through Wind API, and evaluating the potential market, liquidity, and model risks with the Risk Management team.
Eaton Vance Investment Management | NextShares Summer Analyst 06.2018 – 08.2018 | Boston, MA · Built models in Excel to analyze 100+ ETFs and mutual funds data with EV's originated NextShares Funds data and monitored
NextShares’ daily trading data, including volume, Intraday Indicative Value, and bid/ask price using Python.
· Contributed to the completion of the NextShares Impact Performance Study that examined how the financial mechanism behind the
NextShares funds allowed it to outperform its competing ETFs and mutual funds.
Colby College | Teaching Assistant, Tutor, Grader 02.2016 – 05.2019 | Waterville, ME · Organized and led the Vector Calculus, Linear Algebra, and Game Theory recitation sessions for 20+ students; Tutored Single-
Variable Calculus, Linear Algebra, and Data Analysis & Visualization students; Graded Vector Calculus and Intro Python projects.
Project Experience
Hedge Funds Strategies Implementation @ Columbia University 09.2019 – 12.2019 | New York, NY · Implemented inter-sector rotation trading strategies on commodity futures using 12 combinations of ranking/holding periods and
back-tested over 3 years. Implemented a Stat-Arb pairs-trading strategy on Russell 1500 stocks and back-tested over 10 years.
Risk Measure Calculating Software @ Columbia University 09.2019 – 12.2019 | New York, NY · Developed a risk calculation system that enables users to calculate and plot the VaR and CVaR of a user-selected portfolio of stocks
and options using Monte Carlo simulation, historical distribution, or parametric method.
Economics Honors Thesis @ Colby College 09.2018 – 04.2019 | Waterville, ME · Built econometric models in R on over five million Uber and Yellow Taxi data to investigate the effect crime has on Uber and
Yellow Taxi pickups in NYC, and used Python (Matplotlib, Pandas), R, and ArcGIS to visualize the difference in pickup patterns.
Data Analysis & Visualization Project @ Colby College 03.2018 – 05.2018 | Waterville, ME · Investigated the relation between hero selections and winning rates in Dota2 games using PCA, Naïve Bayes and KNN in Python.
Summer Researcher @ Tsinghua University (Center for Statistical Science) 05.2017 – 07.2017 | Beijing, China · Applied Python NLP package to interpret medical contexts and used the model to help doctors in rural areas make better decisions.
Skills / Other
Computer: Advanced: Python, R, Excel VBA | Intermediate: Octave, Matlab, Java, Stata | Beginner: Bloomberg, C++, SQL
Club & Interests: Colby Game Club (Founder); Columbia Quant Group; Colby Student Investment Association; Columbia Chinese
Soccer Team; Colby Basketball Club | Strategic Games (Poker, Go, Dota2, Hearthstone, FM), Sports Betting (Soccer, NBA, Esports)
Zhengnan (Aaron) Li
Address: 501 W 113th St, New York, NY 10025 USA | Phone: +1 (615) 602-7912
Email: [email protected] | LinkedIn: www.linkedin.com/in/zhengnan-aaron-li
EDUCATION
Columbia University, Master of Arts
Program: Mathematics of Finance
New York, USA
(Expected) 09/2019 - 12/2020
Related Coursework: Multi-asset Portfolio Management, Numerical Method in Finance, Financial Risk Management &
Regulation, Stochastic Process, Time Series
Vanderbilt University, Bachelor of Arts, GPA:3.93/4.0
Double Major: Mathematics and Economics
Nashville, USA
08/2015 - 05/2019
Minor: Managerial Studies: Financial Economic
Related Coursework: Multivariable Calculus, Linear Algebra, Probability and Statistics, Mathematical Data Science,
Corporate Finance, Investment Analysis, Financial Management, Economics of Risk, Programming for Eng & Sci
Honors: magna cum laude, Dean’s List (For all semesters) WORK EXPERIENCE
• Responsible for grading homework, midterms, exams
• Assisted and provided individualized feedback to 80 students a week via email and during office hours
Huayi Capital Medical Industry Investment Co., Ltd.
Assistant Analyst, Investment Dept.
Shanghai, China
06/2018 - 08/2018
Led a 3-person team focusing on the industry/enterprise research project on the myopia laser treatment equipment industry
• Automated data collection from WIND database, target company’s websites, industry reports, and Google
• Established two models to calculate the potential market size of myopia laser treatment equipment in 2020
• Conducted corporate evaluation on an Australian firm (CV Laser Pty) regarding its products and financial statements
Shanghai Dongxing Investment Holdings Co., Ltd.
Investment Banking Summer Analyst, Investment Management Dept.
Shanghai, China
05/2017 - 07/2017
Participated in the $900M equity investment of Zhongchang Marine, second-largest private CN cargo enterprise
• Carried out field investigation and interviews to supervise the construction process and housing sales status
• Co-wrote a financial analysis and investment feasibility report to identify the risk level for senior manager’s reference
• Assisted in composing a comprehensive financial plan and risk control measures based on the profitability and risk
assessment for the target company
CEFC Shanghai Securities Co., Ltd.
Management Assistant, Investment & Management Dept.
Shanghai, China
05/2016 - 07/2016
• Provided advice and recommendations to customers on stock or fund products and tactics on selling points
• Organized Financing Salons with the customer manager to market financial products and Apps PROJECT EXPERIENCE
Project on Risk Calculation System
Financial Risk Management & Regulation Class
Columbia University
11/2019 - 12/2019
• Used Python to build a risk calculation system, which takes a random portfolio of stocks and options as input by
calibrating years of samples, weights of stocks and options, portfolio position to calculate historical VaR & ES, Monte
Carlo VaR & ES, parametric VaR of the portfolio
• Wrote a project report that includes five deliverables: model documentation, software design documentation, test plan,
software, test results
Project on Regression Classification and Missing Data Imputation
Mathematical Data Science Class
Vanderbilt University
03/2019 - 04/2019
• Conducted Lasso and Ridge regressions in R Studio to analyze relevant continuous factors for cardiovascular disease,
and Linear and Quadratic analysis to analyze relevant discrete factors
• Used Glmnet and MICE packages in R Studio to impute missing values and evaluate the effect of imputation on
regression and classification SKILLS & INTERESTS
Programming Skills:
Certificate:
Language:
Interests:
Python, Matlab, R Studio, Stata, Excel, PowerPoint
Passed CFA Level 1
Chinese (Native)
Playing Dota2 (Top 1% player), Singing, Exploring Restaurants
Department of Mathematics, Vanderbilt University
Teaching Assistant, Intro to Statistics and Linear Algebra
Nashville, USA
01/2018 - 12/2018
Guixin (Gary) Liu 203W 109th St., New York, NY, 10025 | +1 646-206-1263 | [email protected]
EDUCATION
New York, NY Expected 12/2020
Chengdu, Sichuan
COLUMBIA UNIVERSITY Master of Arts in Mathematics, with a Specialization in the Mathematics of Finance
SOUTHWESTERN UNIVERSITY OF FINANCE AND ECONOMICS (SWUFE) Bachelor of Economics in Finance, International Innovation Class 09/2014-06/2018 • Coursework: Partial Differential Equations, Numeric Analysis, Real Analysis, Computational Finance, Econometrics• National Scholarship (Top 1%); Academic Scholarship, 7 consecutive semesters• Provincial 1st Prize, National Undergraduate Mathematical Modeling ContestTEXAS A&M UNIVERSITY College Station, Texas Exchange Program, Spring Semester 01/2017-05/2017 • Coursework: Maths Statistics II, Investment, Financial Derivatives, Applied Time Series, Game Theory
PROFESSIONAL EXPERIENCE
FOUNDER SECURITIES CO., LTD Beijing Intern, Asset Management Department 10/2018-01/2019 • Used Python to attribute multi-period active returns of equity and fixed-income portfolios to various factors suggested
by Brinson (1985) and Campisi (2000)• Used Barra Risk Model to attribute equity portfolio risk & return; assessed fund managers' investment stylesHUAXI FUTURES CO., LTD Chengdu, Sichuan Intern, Option Trading, Derivatives Department 07/2018-09/2018 • Maintained commodity options trading book on a daily basis by pricing options, computing delta, calculating hedging
P&L, and performing overnight scenario risk analyses• Priced OTC commodity options including European, American, Asian, Lookback, Barrier, Binary, and other exotic
options using Black-Scholes, Binomial Tree, Monte-Carlo Simulation, and LSMC Simulation in MATLAB• Optimized pricing scheme with price simulation and ensured price mark-up covers hedging cost 95% of the timeCCCC FUND MANAGEMENT CO., LTD Beijing Intern, Investment Department 06/2017-08/2017 • Prepared fund-raising plans by calculating NPV and projecting future cash flows and other financials• Used Lingo to optimize debt borrowing and repayment schemes under financial constraints for a railway project• Used MATLAB to project future financial situations of Special Purpose Vehicles (SPV) for infrastructure projects
PROJECTS
GARCH MODELS AND VALUE AT RISK FOR CHINESE STOCK MARKET Chengdu, Sichuan Graduation Thesis, Bachelor of Economics in Finance, SWUFE 10/2017-03/2018 • Used GARCH, EGARCH, GJR-GARCH, and Markov Regime-Switching GARCH models in R to predict realized
volatilities of Shanghai Composite Index• Compared goodness of fit for realized volatility and checked resulting VaR against realized price distributionFINALIST, YINKE CUP Online Futures Trading Competition 04/2018-10/2018 • Tested futures trading strategies in Python using techniques including regression analysis, Principal Component
Analysis, and Neural Network
ADDITIONAL INFORMATION
Programming Skills: MATLAB (4 yr), R (2 yr), C++ (Baruch College online certificate), Python (1 yr), Lingo Organization: Columbia Quant Group (Quant analyst) Interests: Piano (Band 10 certificate, Chinese Musical Association), Table Tennis
Xinran Liu (510)610-8694 | [email protected] | https://www.linkedin.com/in/xinran-liu-20264812a/
501 W 113th Street, New York, NY, 10025
EDUCATION Columbia University, New York, NY September 2019 - December 2020 Master of Arts in Mathematics of Finance Related courses: Mathematics of Finance, Analysis & Probability, Stochastic Processes, Time Series Modeling, Stochastic Partial Differential Equations, Numerical Methods, Analysis of Algorithm. University of California, Berkeley, CA August 2015 - May 2019 Bachelor of Arts: Mathematics (GPA: 3.90/4.0, High Distinction) Related courses: Analysis, Linear Algebra, Abstract Algebra, Probability, Statistical Inference, Numerical Analysis (Matlab), Data Analysis (R), Stochastic Process, Algebraic Combinatorics.
SKILLS Computer: R, Python, LaTex, Matlab, Microsoft (Word, Excel, PowerPoint), Adobe Audition. Certificate: Coursera Game theory (Stanford University and University of British Columbia). Language: Mandarin (native), English (proficient).
WORK EXPERIENCE Research Assistant—Tsinghua University, PBC School of Finance June 2018 - December 2018 • Participated in “Philanthropic Behavior of Chinese Entrepreneurs” project initiated by Bill &
Melinda Gates Foundation; conducted independent research on the relation between company life cycle and philanthropic behavior; collected and analyzed corresponding data and completed research report “Analysis of the Relation Between Corporate Life Cycle and Philanthropic Behavior”;
• Studied the history of around 300 years for a family business in Germany; drafted interview questions for CEO of Heraeus Group; recorded and translated the interview; wrote case analysis;
• Studied UBS Group’s annual reports of year 2015 to 2017; analyzed the development of wealth management in three years, changes of strategies of investment portfolio and corresponding performance; completed UBS wealth management analytic report.
Teaching Assistant— UC Berkeley, Department of Mathematics Spring 2018 • Led two discussion sections twice a week; went over lecture materials and worksheets; • Held office hours to answer students’ questions; • Protocolled and graded exams, designed and graded quizzes; • Wrote homework solutions and submitted weekly report to the professor.
Project Volatility Modeling of S&P 500 Returns • Simulated volatility of S&P 500 daily returns using GARCH family models; tested effectiveness of
each model using diagnostic testing; compared forecasting capability with VIX. Simulating Grading Calculation (UC Berkeley) • Used R to perform raw data cleaning, analyzing and applied shiny app for data visualization. Scheme Interpreter (UC Berkeley) • Used Python to develop an interpreter of a subset of Scheme language; implemented small
programs in Scheme.
Yuhan (Caleb) Liu 214 W 109th St, New York, NY, 10025
+1 (929) 920-8681 | [email protected]
EDUCATION
Columbia University New York
MA in Mathematics of Finance Sep.2019-Dec.2020 (Expected)
Coursework: Derivatives Modeling and Trading, Quant Methods in Investment Management, Statistical Inference and Time Series,
Stochastic Process Application
University of International Business and Economics Beijing
B. Eco in Financial Engineering, GPA: 3.6/4.0 (Ranking: 14/97) Sep.2015-Jun.2019
Coursework: Stochastic Calculus for Finance, Financial Econometrics, Fixed Income Securities Analysis, C++ Programming,
Mathematical Analysis, Probability Theory, Mathematical Statistics, Time Series Analysis
Honors: National Scholarship (Top 1%) (Nov.2016), Academic Scholarship for Excellence (Nov. 2017, Nov. 2016, Nov. 2015)
Baruch College, City University of New York New York
Exchange Program majoring in Financial Engineering, GPA: 3.84/4.0 Aug.2017-Dec.2017
Coursework: Intro to Financial Mathematics, Data Mining for Business Analytics, Programming for Analytics
PROFESSIONAL EXPERIENCE
The Nielsen Company Beijing
Data Analyst Intern Aug.2018-Nov.2018
➢ Followed up various automobile projects, analyzed the development of the auto industry, and studied the decision factors for
customers’ purchases. ➢ Utilized Python to perform data mining and correlation analysis after collecting and integrating data; researched markets and
clients by regression analysis, cluster analysis and decision trees to offer marketing strategies.
➢ Assisted in preparing project reports and proposals.
Huatai Securities Beijing
Quantitative Analyst Intern Mar.2018-Jun.2018
▪ AI Stock Selection Based on Improved Stacking algorithm
➢ Improved the traditional two-layer stacking algorithms with different base models and differentiated train data.
➢ Chose the six models, namely the logistic regression model, the SVM model, Naive Bayes, random forest model, XGBoost
model, and neural network model.
➢ Compared and analyzed the stock selectivity of different models in the context of the same trained dataset, and the stock
selectivity of the same model in the context of different trained data.
▪ Multi-factor Stock Selection Strategy
➢ Extracted data from financial terminals like Bloomberg and Wind, standardized factors and identified effective factors. ➢ Reduced the dimensions of factors, composed major class factors, analyzed the multicollinearity of multi variables and
heteroscedasticity, and calculated factor returns with the multiple linear regression.
➢ Estimated factor returns based on historical time series, calculated prospective returns of stocks, devised investment portfolios
and analyzed the performance attribution of the portfolio.
➢ Responsible for writing research reports and factor tracking weekly reports.
RESEARCH PROJECTS
Pricing of European Options Based on Deep Neural Network-Evidence from 50 ETF Options Market May.2019
➢ Used tensorflow to build up a Long Short Term Memory(LSTM) model for European Option pricing.
➢ Conducted empirical research on the 50 ETF Option market, used Stochastic Gradient Descent and adjusted parameters such as
epoch and mini-batch size to minimize the loss function.
➢ Used Monte Carlo Simulations and Black-Scholes to price the same options, compared and evaluated the performance of these
two models in different aspects.
Hedging of Barrier Options and its Model Risk Feb.2019
➢ Used different static and dynamic hedging methods to hedge barrier options, with different base models including Black-Scholes,
constant elasticity of variance model, Heston stochastic model and Merton jump diffusion model.
➢ Evaluated the hedging performance under these models.
➢ Studied the risk of model misspecification in the context of different base models.
Return Spillover Effect and Volatility Spillover Effect on Main International Stock Markets Jun.2018
➢ Selected data and built the VAR (p) model for analyzing spillover in mean and constructed BEKK-GARCH (1, 1) model to study
the volatility spillover effect between above markets.
➢ Applied Generalized Forecast Error Variance Decomposition to measure the spillover index between specific markets.
SKILLS & INTERESTS
Technical: Python (Numpy, Pandas, Scikit-learn, Tensorflow), R, C++, Matlab, Excel(VBA), SPSS, Bloomberg
Language: English(Fluent), Mandarian(Native), Cantonese (Intermediate)
Interests: Chess, Swimming, Table Tennis
Certificates: FRM Holder, CFA level II Candidate
YUNZHI LU+1 (646)207-3095 � [email protected] � https://www.linkedin.com/in/yunzhi-lu/
70 West 93rd Street, New York, NY, 10025
EDUCATION
Columbia University New York, NYMaster of Art in Mathematics of Finance Sep 2019 − Dec 2020Relevant Coursework: Machine Learning, Nonlinear Option Pricing, Stochastic modelling, Time Series,Capital Market, Mathematics of Finance
Nanjing University Nanjing, ChinaBachelor of Science in Computational Mathematics, Honor Degree Sep 2015 − Jun 2019Honors: Meritorious Winner (top 8%) of ICM (Interdisciplinary Contest in Modeling) 2018
University of California, Berkeley Berkeley, CAExchange Program Aug 2018 − Dec 2018Relevant Coursework: Principles and Techniques of Data Science, Longitudinal Data Analysis
PROFESSIONAL EXPERIENCE
Everspring Capital Management, LLC New York, NYQuantitative Research Intern Feb 2020 − Current∗ Adopted machine learning models, including linear regression and ANN to predict the gold price.
Changjiang Securities Company Ltd. Shanghai, ChinaFinancial Engineering Research Group, Quantitative Research Intern Jul 2019 − Aug 2019∗ Proposed a dynamic machine learning model for building stock trading strategies.∗ Compared two markets by analyzing stock data with statistical tools like generalized linear regressionand hypothesis testing. Visualized results and made a presentation to group mentors.∗ Implemented effective alpha trading strategy algorithms, built a dynamic strategy selection modelusing neural networks (LSTM). Backtested the model on historical data.∗ Achieved a higher excess return and a higher average Sharpe ratio than single strategies. Results aremeaningful for high-frequency trading.
Big Data Lab, The University of Hong Kong Hong Kong, Hong KongResearch Assistant Jan 2019 − May 2019∗ Implemented a robust adaptive prediction model driven by feature engineering and generalized ma-chine learning methods.∗ Managed a mega-dataset using SQL, manipulated unstructured NYC taxi data and augmented themissing value. Visualized features using ggplot2 and Shiny, and selected influential features.∗ Proposed a mixed model of random forest and logistic regression, validated the model with L1, L2regularization.∗ Tested the model performance and achieved a new state-of-the-art accuracy: 93%.
DataGrand Tech Inc. Shanghai, ChinaAlgorithm Engineer Intern, responsible for Deloitte project Jan 2018 − Feb 2018∗ Developed a Chinese word segmentation model with machine learning methods.∗ Built a CNN model to capture rich n-gram features. Pretrained character embeddings and wordembeddings on unlabeled data by word2vec. Integrated the model with word embeddings and optimizedit with Adam algorithm.∗ Tested the model and achieved a state-of-the-art performance. The test accuracy: 97%.
SKILLS/OTHERS
Programming Python, R, MATLAB, SQL, C++, VBATechnologies Pandas, Numpy, Scikit-Learn, PyTorch, LaTex, Bloomberg
Yilun (Alan) Mei784 Columbus Ave. 15P, New York, NY 10025 | [email protected] | (929)-624-0814
EducationColumbia University New York, NYMaster of Arts in Mathematics of Finance Dec. 2020(Expected)• Coursework: Stochastic Processes, Financial Risk Management, Statistical Inference /Time-Series
Modeling, Modeling and Trading Derivatives; GRE 160+170+3.5Peking University Beijing, ChinaBachelor of Economics in Finance, Guanghua School of Management (GSM) July 2019Bachelor of Science in Applied Mathematics (Double Major), School of Mathematical Science July 2019• GPA: 3.5/4.0; Awards: Outstanding Graduate of Beijing (top 5%); Merit Student of PKU (top 10%)• Coursework: Numerical Methods, Pattern Recognition, Convex Optimization, C++ Programming, Data
Structure and Algorithms, Stochastic Calculus, Alphanomics, Time Series, Econometrics, Probabilityand Statistics, ODE, Corporate Finance, Financial Statement Analysis, etc.
Professional ExperienceGraduate Thesis Beijing, ChinaAdvisor: Yu-Jane Liu, Professor of GSM, Peking University May 2019-June 2019• Cleaned and preprocessed data from Internet and constructed the index based on consumer confidence
index, investor growth, share turnover and initial returns with PCA and PLS• Explained the index in the four-factor model and found the strong relationship with volatilityOrient Minerva Asset Management Beijing, ChinaQuantitative Analyst Intern Mar. 2018-Sept. 2018• Designed a preliminary high frequency trading framework with the flexibility to add new indicators to
make market in times of market stress signaled by AskVol and BidVol divergence in order to avoid pricechanges and adjust orders for each tick; tested them in iron future market on X-Quant platform fortrading with Java
• Developed CTA strategies based on future market with machine learning methods including decisiontree and k- Nearest Neighbor; indicators like MACD and ADX were chosen as characteristics to classifythe market into different regimes with Python and Scikit-Learn
Nipun Capital Beijing, ChinaQuantitative Intern Nov. 2017-Feb. 2018• Scraped stock-pledge ratio weekly data since 2014 from the website of CSDC with python multithreading• Tested the ratio and its periodic changes as indicators in the stocks listed more than 2 months in
A-shares; summarized the background of ratio and proposed possible explanations for its ineffectivenessLeadership & ActivitiesYouth League Committee of GSM Beijing, ChinaDirector of publicity department June 2016-June 2017• Wrote formal news reports for official website and WeChat platform of GSM for undergraduate and
postgraduate program weekly and cooperated with other departments to finish the arrangement ofstudent activities
• Conducted surveys on topic students concerned and collected their opinions regularly, including basicconditions, student loans and other topics
Skills and InterestsComputer Skills: Proficient in Python/LaTeX, basic in R/Matlab/C++Languages: English(fluent), Mandarin(native)Interests: Long-distance running, especially for five-kilometer running
ELISE NGUYEN
[email protected] | Cell: 917-603-1512 | www.linkedin.com/in/linguyen1/
EDUCATION
Columbia University, Master of Arts: Mathematics of Finance New York, NY, December 2020 • Courses: Stochastic Methods in Finance, Numerical Methods in Finance, Programming for Quantitative and
Computational Finance, Linear Regression Models, Time-Series Modeling, Stochastic Processes – Applications
DePauw University, Bachelor of Arts, Major: Mathematics, Minor: Economics Greencastle, IN, May 2015
• Cumulative GPA: 3.69/4.00; Major GPA: 3.88/4.00; Cum Laude
PROFESSIONAL EXPERIENCE
Investment Banking Analyst Intern, The Opes Group, LLC New York, NY, March 2020 – Present
• Develop projections and optimal financial models for Mergers and Acquisition deals
• Brainstorm clients’ evolving business plans and financial models for capturing new revenue opportunities
• Conduct fundamental research and outreach initiatives, pitch deals to potential investors
• Draft diverse business agreements, edit investor pitch decks; actively participate in clients’ meetings
Financial Marketing Associate Manager, FULLBEAUTY Brands New York, NY, February 2017 – July 2019
• Implemented rule-based predictive model for forecasting three brands’ marketing budgets (>$12 million), by analyzing
trends in demand and site visits, creating data visualizations, and incorporating knowledge of marketing strategies
• Developed multiple VBA programs to automate corporate reporting, shortened the process duration by 60%
• Optimized advertising strategies and initiatives through analysis and A/B tests
• Managed vendors’ performance through weekly calls; ensured vendors met budget and revenue goals
• Projected and managed accruals across all marketing programs for eight brands ($27 million in spend)
Business Analyst, Backlash Solutions, LLC New York, NY, August 2015 – November 2016
• Designed and tested new products performance for royalty processing software and sales analytics platform
• Managed the sales import process for all clients by analyzing clients’ sales statements and generating templates for
automatic import, accelerating the process by three hours
Corporate Strategy Intern, H&R Block Headquarters Kansas City, MO, June 2014 – August 2014
• Analyzed pricing in over 300 districts to make tax bundle pricing more consistent using VBA
• Audited the IT department’s telecom mischarges, resulting in cost savings of about $9000 annually
Business Development Intern, Tortoise Capital Advisors, LLC Kansas City, KS, August 2013 – January 2014
• Developed and presented sections of the annual report to the Board of Directors
• Prepared two quarterly investment product dashboards to analyze current products’ performance compared to 75
competing funds
• Prepared funds and indices’ month end performance and historical data to support investor relations activities
PROJECTS
Momentum Strategy Exploration, Columbia University New York, NY, October 2019 – December 2019
• Developed a trading signal using Price-to-earnings ratio and Relative Strength Index
• Back-tested the signal using S&P 500 components over 16 years, obtaining a 2.6% annualized return
Ordinary Differential Equation Modeling, DePauw University Greencastle, IN, September 2014 – December 2014
• Applied a simple ordinary differential equation to model large oscillations in suspension bridges caused by small
periodic forces
SKILLS AND INTERESTS
• Skills: Intermediate: Python, R, VBA; Advanced: Excel, PowerPoint; Basic: Bloomberg Terminal
• Languages: English, Vietnamese
• Interests: Cycling, Piano, Traveling, Fashion, Volunteering (Test Prep Tutor for Minds Matter 2016 – 2017)
JONNATHAN ROMERO [email protected] • linkedin.com/in/jonnathan-romero • github.com/jonnathan-romero • 1 (347) 350-0324
EDUCATION COLUMBIA UNIVERSITY, GRADUATE SCHOOL OF ARTS & SCIENCES (PART-TIME)
Master of Arts in Mathematics, Specialization in the Mathematics of Finance 9/19 - Present
BARUCH COLLEGE, CITY UNIVERSITY OF NEW YORK
Bachelor of Arts in Mathematics; Summa Cum Laude 5/17
Major: Mathematics; Minor: Economics; Dean’s Scholar; Major GPA: 3.91, Overall GPA 3.85
RELEVANT COURSEWORK Non-Linear Option Pricing, Hedge Fund Strategies & Risk, Multi-Asset Portfolio Management, Stochastic Calculus
Advanced Machine Learning, Applied AI with Deep Learning, Stochastic Processes, Data Analysis for Financial Engineers,
Monte Carlo, Mathematical Statistics, Mathematics of Finance, Algorithm Computers & Programming I/II
FINANCIAL EXPERIENCE LAZARD ASSET MANAGEMENT, New York, NY
Quantitative Risk Analyst 9/17 - Present
Summer Analyst, Quantitative Research & Risk Management 5/16 - 8/16
• Back-test investment ideas and use quantitative tools to screens stocks for long and long/short strategies
• Develop and maintain quantitative tools to analyze long/short portfolios, trading activity & manager’s skills
• Use convex optimizations to create factor mimicking portfolios and to test portfolio construction decisions
• Developed web-based UI with interactive charts using ReactJS/HTML/CSS with a Flask API backend
• Created an automated month end report to summarize firmwide risk exposures across all strategies and asset classes
• Oversee the portfolio risk for Long EM Equity, Long/Short EM Macro Trend, Long/Short European, Long/Short
EM Factor, Long/Short International, Explainable AI and Quantamental US Long/Short equity portfolios
CMP GROUP, New York, NY
Commodities Research Intern 3/15 - 5/15
TRADING COMPETITIONS TRADERS @ MIT TRADING COMPETITION, Cambridge, MA 11/16
Team Leader – 1st, 2nd, and 3rd Overall out of 50 teams
• Wrote a triangle arbitrage/market making algorithm in Python to trade simulated foreign exchange currencies
• Created a Maximum Likelihood Estimator algorithm in Python to price stocks based on inaccurate news reports
UCHICAGO MIDWEST TRADING COMPETITION, Chicago, IL 4/16
Algorithmic Trader– 2nd Overall out of 25 teams, 1st in Options Market Making, 3rd in Cross Listed Stocks
• Created algorithms to analyze trading strategies in Python, that found lead/lag relationship by using an auto-
correlation method in Java and C++, and coded an options market making algorithm in Java
• Analyzed data provided to find the distribution of broker and bid ask offers, parsed data files in Python and Excel,
and created graphs and charts to display findings
PROJECTS QUANTITATIVE STRATEGY IMPLEMENTATION, Columbia University 11/19
• Created sector specific random forest alpha models using 15 years of monthly financial ratios for SP 1500
• Created a risk model which included growth, size, value, momentum, market and industry factors for ex-ante risk prediction
• Created a convex portfolio optimizer to maximize alpha with a target volatility of 9 and a set of given constraints, such as
beta, turnover, value, growth and industry limits to achieve a Sharpe ratio of 0.23 across 5 years
ORGANIZATIONS BARUCH TRADERS CLUB, Baruch College
President, Co-Founder, Trader 1/15 - 5/17
• Participated in different trading simulations that dealt with assessing risk, stock liquidity, commodities, options
and implied volatility, interest rates, mergers and acquisitions, equity valuation, and trading algorithms
• Wrote a market making algorithm for equities and options in C++, an index arbitrage algorithm in VBA, a
triangle arbitrage algorithm in Python, and Excel support sheets to help decision making in trading competitions
CERTIFICATIONS • Passed CFA Level 2 6/19
PROGRAMMING AND COMPUTING SKILLS • Bloomberg, C++, Python, R, VBA, SQL, Excel, Powerpoint, LaTeX, Java, Javascript, Reactjs, Css, HTML
LANGUAGES Spanish (native speaker)
Adwait Salvi 615-736-1525 • [email protected] • 190 Claremont Avenue New York NY • https://www.linkedin.com/in/adwait-salvi
EDUCATION
Columbia University MA in Mathematics of Finance New York, USA Dec 2020 (excepted)
On Going Coursework – Stochastic Processes and Applications, Time-Series Modeling, Statistical Methods inFinance, Introduction to Mathematics of Finance.
Vellore Institute of Technology (CGPA: 3.9/4.0) B.Tech, Information Technology Vellore, India (Jul’14 – May’18)
Relevant Coursework – Artificial Intelligence, Multivariable Calculus, Linear Algebra, Probability and Statistics.
SKILLS
Programming Languages: Python (Advanced), C++ (Intermediate), MATLAB (Basic), R (Basic) Core Competencies: Machine Learning, Power Point, Excel.
EXPERIENCE
Astral Management Consulting Mumbai, India (Jun’17 – Jul’17) Intern Astral Management Consulting: Provides Technology and Business consulting services. Partnered with leading software
vendors like IBM, Oracle, and Infor to provide cost-effective solutions. Used Python to conduct Sentimental Analysis using NLTK (Natural Language Tool Kit). Conceptualized and created a web application named “Stock Predictor” which used web scrapping and Natural Language
Processing to conduct Sentimental Analysis of Stock prices based on the current news trends. Prepared and presented a project report to the Director detailing the results of the final project and also conducted statistical
analysis to determine its success.
Abacus Info Systems Mumbai, India (Jun’18 – Oct’18) Software Developer Created a Web API using Python for reading data from excel sheet and making orders. (Testing software) (Live:
https://burgundybox.in/) Built RESTful API’s using Asp .NET for an E-commerce application. (Live) Co-Developed Front end Web Application using Angular CLI as a part of my training and simultaneously also learning Node JS.
(Part of initial Training Process)
PROJECT EXPERIENCE
Fraud Detection in Credit card transactions (Vellore Institute of Technology) (Jan’17 – Apr’17) Developed an algorithm that uses historical transaction data of each user to generate the spending pattern of that
particular user which is used to detect fraudulent transactions. Used Python and its libraries like Pandas and Matplotlib for building this project. Used Markov model to build a state
transition matrix for creating a Spending Pattern for Individual Users.
Early Detection of Coronary Heart Diesease (CHD) (Vellore Institute of Technology) (Jul’16 – Nov’16) Developed a predictive model for early detection of Coronary Heart Disease using currently available data. Used data from the Framingham Study 1947-1950 to implement a predictive model. Used R Studio for developing the predictive model.
ADDITIONAL INFORMATION
Currently working as a Quant analyst for Columbia Quant Group.
Worked as a Web Developer for developing the official website of ASME SLDC (Student Led Design Conference) 2016(October).
Language: Spanish (Basic), Hindi (Near Native), Marathi (Native)
Interests: Cricket.
JIAMIN SHAN 225 W 109th ST APT 22, New York, NY 10025 | (201)-245-7601 | [email protected]
EDUCATION Columbia University Expected December 2020
• Master of Arts in Mathematics of Finance• Core Courses: Statistical Inference and Time-Series Modelling, Stochastic Processes and
Applications, Quant Method in Investment Management, Multi-asset Portfolio Management, FinancialPrice Analysis, Stochastic Methods in Finance, Numerical Methods in Finance
The Pennsylvania State University, University Park, PA May 2019 • Double Major in Mathematics and Finance, Minor in Digital Entrepreneurship• Cumulative GPA: 3.94/4.0• Honors: Dean’s List for Academic Excellence (7/7 full time semesters)• Core Courses: Financial Trading and Application, Derivative Markets, Financial Markets and
Institutions, Multinational Financial Management, Security Analysis and Portfolio Management
PROFESSIONAL EXPERIENCE Soochow Securities, Suzhou China July 2018-August 2018 Intern - Merger & Acquisition Department
• Involved in the pitching process, performed due diligence, created risk analysis reports and preparedthe information memorandum to convince potential customers
• Implemented industry investigation and researched development trends to evaluate the target company• Analyzed the general public company leverage situations in Suzhou to access the risk of investments• Assessed the rationality and reasonability of valuation, purposed ideas about improving company value
and gaining advantage during acquisitionSuzhou Trust, Suzhou China May 2018-July 2018 Assistant Trust Manager
• Collaborated with due diligence team, assisted in project evaluation by performing data analysis andcash flow analysis based on financial reports of the borrower and guarantor
• Analyzed products’ structure and executed valuation assessment applying financial modeling• Implemented field visits and produced reports to verify the valuation of corporations• Responsible for regional economic and debt analysis in local governments’ financing projects
Bank of Jiangsu (Branch), Suzhou China July 2017-August 2017 Intern - Investment Banking Department
• Managed and revised over 10 due diligence reports from sub-branches across various industry sectors• Conducted field trips to analyze the feasibility of over 5 companies in 3 different industries, analyzed
financial reports for the debt examiner to make final investment decision; Produced high quality reviewopinions on industry risk and potential benefits
Projects
Analysis of Effectiveness of Different Machine Learning Strategies September 2019-December 2019 Team Member
• Evaluated the effectiveness of support vector machine, neural networks, random forest and linearregression in stock selection in the US stock market
• Designed strategies by generating trading signals with different machine learning methods andcompared the profitability of these strategies
Order Book Dynamics Prediction by Machines Learning Techniques September 2019-December 2019 Team Member
• Compared performance of different machine learning techniques and devised a random forest classifieron Level I order book data to predict stock price movement
• Developed a high frequency trading strategy with the prediction on future order book dynamics
Leadership & Activities
Chinese Students and Scholars Association, University Park, PA – Leader May 2017-April 2019 • Led the group in organizing a multicultural festival with clubs from five different countries• Edited Chinese new students’ handbook to help freshman get involved more quickly• Held over 5 lectures on international student problems in one semester with over 200 audience
Skills
• Skills: Python, Microsoft (Word, Excel, PowerPoint)• Language: Mandarin Chinese• Interest: Basketball, Guitar (Writing original lyrics)
HANMIAO (SHARON) SHEN 70 West 93rd street apt 11F, New York NY 10025 · (217)-979-7561 · [email protected]
https://www.linkedin.com/in/hanmiao-sharon-shen
Education Columbia University in the City of New York 09/2019-12/2020
MA in Mathematics of Finance
Courses taken: STAT 5263: Statistics Inference/Time-Series Modeling, STAT 5264: Stochastic Process-Application, MATH
5320: Financial Risk Management and Regulation
The University of Illinois at Urbana-Champaign 08/2015-05/2019 Major: Bachelor of Science in Actuarial Science and Statistics GPA: 3.96/4.00
Honors & Awards: Dean’s List, James Scholar, Fall 2015-Spring 2018
Courses taken: FIN 300: Financial Markets, MATH 476: Investments and Fin Markets, MATH 478: Loss Models, STAT 430:
Basics of Statistical Learning, INFO 490: Introduction to Programming for Data Science, CS225: Data Structures
Professional Experience Great Wall Glory Securities Co., Ltd. Xiamen, China
Wealth Management Intern 07-08/2018
• Composed two due diligence reports for equity pledge financing projects by analyzing the financial statements and the industry
status of companies whose shares will be pledged to Great Wall Securities Co., Ltd.; Assisted in completing two after-loan
reports by analyzing the business circumstance of the companies whose shares mortgaged to the Great Wall Securities Co., Ltd.
• Filtered and sorted out the news of existing projects to monitor risk every day.
China Life Insurance Company Limited (Leading life insurance company in China) Xiamen, China
Data Analyst Intern 06-07/2017
• Researched a twenty-year customers database using Excel and generated a graph stated that customers whose last insurance is
within one year ago are most likely to insure again
• Presented to sales managers about the differences between the Chinese insurance companies and the US insurance companies
Academic Experience Research Assistant Champaign, IL
Actuarial Science Research with Northwestern Mutual 09-12/2018
• Developed a user-friendly stochastic performance measurement tool for public fixed income portfolios that produces the investable
opportunity given constraints from a portfolio manager in Northwestern Mutual in a group of five
• Held the weekly meeting and presented the progress to the client in Northwestern Mutual and the professors in the Actuarial
Science program and Finance program Instructor Champaign, IL
Actuarial Problem-Solving course for FM exam 08-12/2018
• Taught the lecture for two hours teaching the topics in FM exam and how to solve the questions relating to the topics every week • Had a better understanding of the time value of money, and the financial instruments and the related financial concepts, like
duration
Teaching Assistant Champaign, IL
Assistant Professor in Statistics for Risk Modeling Course 01-05/2018
• Assisted Prof. Daniel Linders to hold office hour for 2 hours every week, made solutions and graded for midterms and finals in
the class of 48
• Developed teaching and communication skills, enhanced the ability to understand thoughts of students, teach students in different
ways and compose report skills
ACTIVITIES
Actuarial Science Club Champaign, IL
Participant 09/2017-05/2019
• Participated in the career fair organized by the club and attended the different presentations hosted by the recruiters, strengthened
studying strategies to enhance understanding of actuarial science
DGS leader Champaign, IL
Division of general studies, University of Illinois, Urbana-Champaign 10/2017-12/2018
• Introduced the fundamental of DGS college and the self-experience of transferring major to new-coming freshman and their
parents, boosted the presentation skills, and got familiar with how DGS college bring thoughts to students and help them with
finding the direction in the university life
Skills and Interests
• Programming skill: C++, Python, R, SAS, Excel, PowerPoint(Advanced); HTML, Java Script, LaTex(Basic)
• Language: Chinese(Native)
• Interests: Detective Novels, Boardgame, Swimming
Actuarial Certificates
• Passed Exam MFE/3 Models for Financial Economics 03/2018
• Passed Exam P/1 Probability 03/2017
• Passed Exam FM/2 Financial Mathematics 10/2016
Education
Columbia University – New York, NY Dec 2020
Master of Arts in Mathematics of Finance
CFA Level III Candidate (June 2020 Exam)
Finance Courses: Hedge Funds Strategies & Risk, Multi-Asset Portfolio Management, Quantitative Programming (C++)
Math Courses: Machine Learning, Stochastic Methods in Finance, Time-Series Modelling, Numerical Methods in Finance
Memberships: Columbia Quant Group, Columbia Statistics Club
University of Notre Dame – Notre Dame, IN May 2019
Bachelor of Arts in Economics; supplemental major in Applied and Computational Mathematics and Statistics
Cumulative GPA 3.75/4.00; Dean’s List in 2017 Spring, 2018 Spring & Fall
Relevant Courses: Data Mining, Option & Bond Pricing, Econometrics, Mathematical Modelling, Accounting
Work Experience
XMonetae Capital LLC – New York, NY Feb 2020 – Present Quantitative Research Intern
Conducting exploratory research on alternative data and cryptocurrencies to uncover new insights of alpha
CIS Academic “Hedge Fund Strategies & Risk” – New York, NY Jan 2020 – Apr 2020 Teaching Assistant
Tutoring students from different backgrounds and assisting Columbia Professor Eric Yeh in operating the online courseabout common hedge fund strategies and strategy evaluation; supporting students’ individual research on relevant topics
High Hope Wisdom Capital – Nanjing, China Jun 2019 – Aug 2019 Quantitative Strategy Intern
Performed factor analysis for 18 variables in R on previously inaccessible behavioral datasets from scratch; applied statisticaltechniques on large scale financial data and delivered detailed quantitative reports that helped firm-level decision making
Constructed back-testing algorithms to investigate the performance of trading strategies based on the explored behavioralfactors; the portfolio reached a Sharpe Ratio of 2.97
Improved noise handling in signal generation by integrating Gaussian Smoothing in the process and the code was sharedwith other asset class groups
Streamlined and automated processes for extracting financial data from Wind Terminal; assisted research on convertiblepremium of all convertible bonds in the market using Wind API in R
ZhenFund – Beijing, China Jun 2018 – Aug 2018 Operation Intern
Facilitated the launch of an incubator program “Zhen Academy” at a top 3 venture capital funds in China with both USDand RMB funds; interviewed startup founders and analyzed candidates’ data for the new program; compiled “StartupBrochure”, which helps founders to address critical issues of valuation and capital structure in early stage
Devised and developed a classification model in R using 41 characteristic features to predict the entrepreneurial potential ofstartup founders; the model was highly recognized by founders and adopted by the department
China CITIC Bank – Nanjing, China Jun 2016 – Aug 2016 Global Capital Intern
Advised top corporate clients in import & export industry on foreign capital management based on their financial situationand our market forecast; assisted in conducting FX market research and preparing daily newsletter
Projects & Activities
Team Leader / Columbia ASA Data Fest 2019 – New York, NY Nov 2019
Awarded first prize “Best Insight” for the 2nd consecutive year by offering a visualized explanation of the contribution of72 religious and socioeconomic factors to the result of the 2016 presidential election
Created tree models using rpart and Random Forest to attack multiple demographical datasets; reached a misclassificationrate of 6.98% in predicting the county-level result of 2016 election
Team Leader / Earnings Momentum Implementation – New York, NY Sep 2019 – Nov 2019
Developed Earnings Momentum strategy (ABR) on S&P 500 stocks in Python for Hedge Fund Strategies & Risk, using 10-year companies’ quarterly earnings report data and market movement data
Enhanced the process of signal generation and portfolio construction by incorporating the CAPM model into the ABRformula and trading on a rolling basis; back-tested the strategy using historical data and calibrated sizing and hedging
Team Leader / Citi Trading Simulation – Notre Dame, IN Jan 2017 – May 2017
Led the team achieved second place among 12 teams in the final competition; performed fundamental analysis of US equity,bond, and commodity; simulated market oriented trading as a leveraged investor seeking highest ROE
Skills
Programming: R (most advanced), Python (data science), C++ (Excel add-in), Matlab (intermediate), VBA (intermediate)
Software: Excel, PowerPoint, Bloomberg, Wind, Light Room
Certificate / Standardized Test: Bloomberg Certification (BMC), GRE Q170/170, V165/170
Foreign Language: Mandarin (native), German (conversational)
Interests: Active Personal Stock Investment, Eight-Ball, Table Tennis (China Provincial Team), Photography
CHAO TANG
+1(574) 401-9134 | [email protected] | 606 W 57th St, New York, NY, 10019 | linkedin.com/in/chao1215
Xinyu (Martin) Tong Apt 14G, 70 W 93rd St, New York, NY, 10025
(646) 875 9659 | [email protected] | www.linkedin.com/in/xinyutong
EDUCATION
Columbia University at the City of New York New York, NY
Master of Arts, Mathematics of Finance September 2019 – December 2020 (Expected)
Relevant Coursework: Financial Risk Management, Time Series Modeling, Numerical Analysiss
University of Michigan - Ann Arbor Ann Arbor, MI
Bachelor of Arts, Honors in Economics, Minor: Mathematics September 2016 – May 2019
Relevant Coursework: Econometrics, Computational Methods in R, Advanced Calculus, Stochastic Processes
University of Delaware Newark, DE
Bachelor of Arts, Economics February 2015 – May 2016
Relevant Coursework: Intermediate Microeconomics, Intermediate Macroeconomics, Financial Accounting
PROFESSIONAL EXPERIENCE
CITIC Futures March 2018 – April 2018
Quantitative Intern Shanghai, China
• Designed selection process for talented investment advisors by using large databases and writing programs
• Used over 5 quantitative assets allocation models to classify assets into 8 different stock markets
• Conducted field survey on due diligence of over 20 chosen investment advisors based on 5P model and wrote reports
Fulbright Commission June 2017 – August 2017
Administrative Assistant Bratislava, Slovakia
• Made 10 pivot tables summarizing host institutions, grant years, area of study and types for all Fulbright grantees
• Created geo-referencing map of 57 Slovakian schools with English Teaching Assistants from 2006 to 2016
• Selected 20+ articles about Slovakian generation Z behavior via Google and library databases for presentation
• Cleaned data and created summary statistics on number of Slovakian students studying abroad from 2005 to 2015
Accenture December 2016 – January 2017
Part-time Assistant Shanghai, China
• Performed market research on Internet of Things and created slides for presentation to clients and employees
• Identified benchmark on new energy industry by comparing firm performances in Excel based on financial indices
• Held weekly meeting to discuss progress with teammates; wrote minutes to record meeting proceedings
PROJECTS
University of Michigan Bicentennial Archive January 2017 – April 2017
Assistant Data Analyst Ann Arbor, MI
• Conducted and recorded 5 interviews per week with students and alumni on topics of culture and issues on campus
• Tested and improved 6 MATLAB scripts transcoding and engraving 1000 interview audio files onto data chips
Research Project on Censorship and Propaganda in China September 2016 – December 2017
Research Assistant to Dr. Blake Miller Ann Arbor, MI
• Coded 2000+ censored posts from 200+ censorship documents in Excel into 50+ categories for data analysis
• Cleaned data in Excel for 300 censorship documents summarizing posts forwarded and commented by government
• Held weekly seminar to discuss difficult-to-identify posts and help improve the accuracy of categorization
Research Project on Equity/Fairness Factor February 2016 – May 2016
Research Assistant to Prof. Dustin Sleesman Newark, DE
• Selected 7 out of more than 100 papers related to equity factor from Google Scholar and library databases
• Summarized and reviewed research papers and found evidence that equity/fairness values differ among 50 states
• Held monthly meetings to present findings to Dr. Sleesman and communicated with other professors in the field
SKILLS/ OTHERS
Programming Skills: Proficient - MATLAB, C++, R, Stata; Intermediate - Excel, Word, PowerPoint, Python, C; Beginner -
Minitab, Mathematica
Awards: Phi Kappa Phi Honor Society, Dean’s List (Spring 2015, Fall 2016, Spring 2016)
Languages: Chinese – fluent
Interests: Reading economics books, Violin (Lv.10 Certification), Basketball, Fitness
HANYU WANG [email protected] | 425 Riverside Dr | +1(917)452847 | linkedin.com/in/hanyu-wang-752a28190
Education Columbia University, MA in Mathematics of Finance 09/2019-12/2020
Coursework: Stochastic processes, Capital Markets &Investments, Intro to Math of Finance,
Time-Series Modeling
Sun Yat-sen University Guangzhou, China
Bachelor of science GPA:3.7/4.0 09/2015 –06/2019
Major: Mathematics and Applied Mathematics
Coursework: Mathematical Analysis, Algebra, Probability and Statistics, Functional Analysis, Differential Geometry, Partial Differential Equations, C &C++ Programming, macro-economics
Awards: Academic Innovation Scholarship and 2nd class scholarships (Top 5%)
University of California Berkeley Berkeley
International Exchange Student 01/2018 – 05/2018
Coursework: Stochastic Modeling, Mathematical Economics, Complex Analysis(A+)
Internship
GF Securities Co., Ltd. (leading Chinese Company) Shen Zhen, China
Financial engineering quantitative research assistant 07/2019-09/2019
▪ Fitted a linear model using ordinary least squares regression of order imbalance against a 20
time-step average price change. Applied the model to forecast future price changes and trade
when the forecast is greater than 0.2 ticks
▪ Applied time series methods to backtest the annual Tick data of CSI 300 in 2018, optimized in
different ways including setting the stop-loss order, introducing new factors such as order
imbalance ratio, mid-price basis, and diving them by bid-ask spread, adjusting forecast window
for average price change and trading threshold to enhance the rate of return
▪ Assisted with multi-factor stock selection model research and backtesting, standardized factors
and identified effective factors, reduced the dimensions of factors, analyzed the multicollinearity
of multi variables and heteroscedasticity, calculated factor returns with multiple linear regression,
and used Matlab to group stock according to the factors
▪ Investigated into the 11 S&P sector indices using a diversity of fundamental and economic
attributes, proposed sector-based strategies which significantly outperform S&P 500
State Information Center Beijing, China
Research Assistant, Department of Economics Forecasting 07/2018- 09/2018
▪ Analyzed correlation between GDP growth rate and unemployment rate change, adopted the
logarithmic form of Neo-classic Product Function to investigate the correlation between
economic growth and factor input, conducted Chow breakpoint test to testify the stability of
structure parameters, completed research paper published on Undertaking & Investment
China Minsheng Banking Corp. Ltd Guangzhou, China
Intern, Risk Management Department 06/2018-07/2018
▪ Applied various models under different assumptions including GBM, parametric, historical,
Monte Carlo and Monte Carlo underlying methods to the development of a risk calculation
system, which is used to calculate VaR and ES
▪ Used historical data to estimate parameters in model, derived formulas for computation of VaR
and ES for different cases of portfolio construction
▪ Calculate actual losses on each day to backtest and examine the accuracy of the models and
assumptions
Project Experience ▪ With pairs trading and cointegration test as the basis, created residual series via rolling
regression between SPY and IWM, traded when current residual exceeds pre-determined signal.
▪ Used technical indicators to identify momentum opportunities across all of the S&P 500 industry
sector ETFs and SPY(the S&P 500 ETF)
▪ Set the objective function as the subtraction of total mean from variance, minimized objective
function using gradient descent method until it breaks a certain threshold, to determine the
allocation on each trading strategy, tested data set to see how the allocation performs.
Additional InformationSkills: Python/C/C++/Matlab/R/Excel/Word/Bloomberg
Interests: Piano level 10 certificate and stage performance experience, Reading, Singing
HAOYANG WANG+1 (917) 808-5998 | [email protected] | 504West, 110th Street, NY10025 | http://linkedin.com/in/haoyang-wang
EDUCATIONColumbia University, Graduate School of Arts and Sciences New YorkM.A. in Mathematics of Finance Aug 2019 – Dec 2020(expected)• Membership of Columbia Quant Group• Coursework: Stochastic Process, Time-Series Modelling, Hedge Fund Strategies and Risk, Modelling and
Trading Derivatives, Machine LearningSun Yat‐SenUniversity (SYSU), Lingnan College GuangzhouB.Econ in Finance (with Mathematics Program) Sep 2015 – Jun2019• GPA: 3.8/4.0 ; Awards: 2ndPrize Undergraduate Scholarship by SYSU• Coursework: Econometric, Differential Equations, Probability & Statistics, Linear Algebra, Operations
Research, Dynamic Programming, Financial Engineering, InvestmentPROFESSIONAL EXPERIENCEKaifeng Investment Co.Ltd (Top - tier global macro hedge fund in China) ShenzhenQuantitative Intern (Index Future Track) Jul 2019 - Aug 2019▪ Identified the fundamental factors of the market and individual stocks which have significant impact on the
values of the stock indices, and incorporated them into the statistical models▪ Improved VAR model, utilizing the macroeconomic factors to predict the movement of index futures (SSE 50
and CSI 300 Index futures), and achieved the annual return greater than 9% as well as a Sharpe ratio over 0.7Huatai Security Co.Ltd BeijingQuantitative Intern (Multi-Asset Allocation Track) May 2019 - Jun 2019▪ Researched on the technical indicators of stock indices to develop various CTA strategies retaining to stock
indices and bonds▪ Developed a strategy to invest on SSE 50 Index and CSI Universal Bond Index (as a proxy of bonds) according
to the momentum of trunover ratio and achieved a Sharpe ratio greater than 1 within the backtest periodChenghao Asset Management Co. Ltd ShenzhenQuantitative Intern Feb 2019 - May 2019▪ Collected the data fromAPI or by web crawler and updated to MongoDB (NoSQL) database daily▪ Wrote a web crawler to collect text data from the Xuangubao.com, etc., cleaned the data, used the natural
language processing to analyze the market sentiments factor to support the event-driven strategy based on CSI300 Index, and finally achieved an annual volatility less than 5% during the backtest period
Morgan StanleyCapital International (MSCI Inc.) BeijingFinancial Analytic Assistant Jun 2018 - Jul 2018▪ Supported Risk Management Division in analyzing risk exposure, the VaR of the clients▪ Devised metrics to evaluate the desirability of the risk exposure of the positions conditional on the current
market, and highlighted areas for attention to the trading teams or institutions▪ Built a model to predict the potential risk exposure under extreme market conditions based on factors such as
liquidity trend of the portfolio, historical correlation of the assets, special events volatility, etc.ACADEMIC PROJECTSSun Yat‐SenUniversity (SYSU), Lingnan College GuangzhouResearch Assistant Mar 2018 - Jun 2019 Company's DebtPricing▪ Constructed the Implicit Government Guarantee (IGG) index and estimated the bond price based on the affine
CIR model with IGG index Stock Price Prediction via Machine Learning▪ Applied deep learning algorithms, mainly convolutional neural network (CNN) and long-term short-term
memory model (LSTM), to predict the future trend of stocks▪ LSTM can correctly predict rise and fall within five days of all the stocks testedSKILLS AND OTHER INFORMATION• Programming Skills: Python, MATLAB, C/C++, R, SQL, NoSQL, Stata; Bloomberg,Wind• Language: English, Mandarin, Cantonese• Interests: Chinese traditional paintings, Basketball, Singing
Kai Wang 2510 38th Ave Unit 5A, LIC, NY 11101
(917) 332-8414 · [email protected] · linkedin.com/in/kaiwang95 EDUCATION
Columbia University New York, NY Master of Arts in Mathematics of Finance Sep 2019-Dec 2020 (Expected)
Coursework: Hedge Fund Quant-Strategies, Capital Markets & Investment, Time-Series Modelling, Stochastics Process Columbia University New York, NY
Bachelor of Arts in Mathematics & Statistics, GPA: 3.63 (Dual Degree) Sep 2015-May 2017 Honors: Cum Laude, Dean’s List, TOMS Scholarship Coursework: Financial Accounting, Macroeconomics, Probability Theory, Discrete Time Models in Finance, Analysis & Optimization, Linear Regression Models, Partial Differential Equations, Modern Analysis, Statistical Inference
City University of Hong Kong Hong Kong, China Bachelor of Science in Computing Mathematics, GPA: 3.68 (Dual Degree) Sep 2013-May 2015
Honors: First Class Honors, Dean’s List, HKSAR Government Scholarship
EXPERIENCE
UG Investment | ($2Bn QFII Hedge Fund) Shanghai, China Quantitative Research Analyst Jun 2018-May 2019 l Spearheaded an index-rebalance strategy with Sharpe 2.7 & 5% weekly returns; automated the forecasting of stocks’
inclusion schedules by modeling MSCI, FTSE and other local indices’ methodologies using excel & SQL l Developed a quantitative strategy focused on 3,000 A-share stocks’ daily investment flows by aggregating data from
onshore mutual fund subscriptions, offshore QFII / Mutual-Market-Access holdings & EPFR database l Covered fundamental research in the Auto industry with in-depth research of 7 stocks; pitched investment ideas
making up ~ 15% of the fund’s portfolio, including one Auto OEM and one long-short pair trade l Explored various alternative datasets in support of fundamental research, including weekly silicon wafer/module price,
bi-weekly auto dealers’ discount level, monthly industry-specific profits & export value for individual companies
Maxim Group | (Merchant Capital) New York, NY Analyst Sep 2017-Jan 2018 l Sourced series-rounds investment opportunities in the life sciences industry with $10mn to $100mn per round l Drafted investment pitches with exit value projections for two clinical-stage pharmaceutical companies
Schafer Cullen Capital Management | ($20Bn Mutual Fund) New York, NY Equity Research Analyst May 2016-July 2017 l Pitched a Saudi Arabia catering stock & a Singapore gaming stock through fundamental research & DCF analysis l Orchestrated the compilation of two ~60-page Annual Country Reports, which studied and compared 46 countries by
various valuation metrics, macroeconomic maturity, governance, external strength and banking system stability l Developed a scoring system measuring stocks’ momentum characteristics observed in their Coppock curves; coded it
into a Bloomberg field and integrated it with EQS function to screen for oversold stocks with attractive momentum
Cocktail Bar Dongji Island, China Founder and Bartender Jun 2015-Aug 2015 l Established a rooftop cocktail bar from the ground up; bartended and grew the business until it reached maturity l Started with a $700 budget for utilities & drinks and generated a $2,400 revenue (242% ROI) in the final month PROJECT
Equity Statistical Arbitrage Strategy Columbia University - Fall 2019 l Implemented a Stat Arb Strategy with S&P 1500 constituents using Python; selected 60+ co-integrated pairs by Eagle
& Granger test, calculated signal as the Z-score of Ornstein-Uhlenbeck process on beta-adjusted return deviations l Achieved out-sample Sharpe 1.2, Annual Return 9.5%, 1D 0.05 VaR -3.7% Commodity Production Spread Strategy Columbia University - Fall 2019 l Implemented a Crack 1:1 Production Spread strategy; constructed a spread representing refiners’ gross margin by
longing/shorting oil & gasoline futures; set entry/exit/stop-loss signals at ±1.5/0.5/2Std away from 5Y avg spread l Achieved out-sample Sharpe 1.9, Annual Return 10.8%, 1D 0.05 VaR of only -1.2% CERTIFICATES & SKILLS
Certificates: CFA Level III Candidate, Series 7, Series 63, Skills: Bloomberg, Wind, Thomson Reuters, MorningStar, Python, SQL, Microsoft ExcelLanguages: Mandarin (Native), English (Fluent) Others: Member of Mensa, Black Belt in Taekwondo
Mengyu (Vera) Wang +1 (917) 518-6113 | [email protected] | 203 West 108th Street, New York, NY 10025 | www.linkedin.com/in/mengyuwang
EDUCATION New York, NY Columbia University
MA Program in Mathematics of Mathematics Expected Dec. 2020 • Coursework: Stochastic Processes, Statistical Inference and Time Series Modelling, Capital Markets and Investments
Peking University �PKU� Beijing, CN Guanghua School of Management | BE in Finance, GPA:3.6 Sep. 2015-Jul. 2019 • Coursework: Advanced Mathematics, Linear Algebra, Probability and Statistics, Economics, Econometrics, Data Analysis
and Statistical Software, Financial Analysis and Quantitative Investment, Securities Analysis and Investments • Awards: Merit Student of Guanghua School of Management, Dec.2017School of Mathematical Sciences | BS in Mathematics and Applied Mathematics (second degree) Sep. 2016-Jul. 2019 • Coursework: Mathematical Analysis, Advanced Algebra, Abstract Algebra, Functions of Real Variables and Functional
Analysis, Probability, Applied Regression Analysis, SAS, Ordinary Differential Equations, Operation Research
PROFESSIONAL EXPERIENCE Zero2IPO Research Beijing, CN Assistant Analyst, Financial Information Service Group Jul. 2018-Sep. 2018 • Collected data using Wind to compose monthly analysis reports on the status of Chinese network companies listing overseas• Assisted in the research about the comparison of domestic and overseas listing environment for Chinese enterprises• Participated in a research project to study the conditions of unicorn companies in China
Huachuang Securities Co., Ltd. Beijing, CN Off-cycle Intern, Fixed Income Department Sep. 2017-Dec. 2017 • Responsible for establishing an industry credit rating model and industry research to support in-house credit ratings• Traced credit risk events in the bond market and wrote daily credit monitor reports and weekly debenture reports
Huarong Securities Co., Ltd. Beijing, CN Summer Intern, Department of the Over-the-Counter Market Jul. 2017-Aug. 2017 • Applied Black-Scholes algorithm in European option pricing and calculated the stock market volatility• Made critical check of the business documents and finished monthly reports of form of OTC derivatives business• Completed the introduction of options PPT, and regularly updated the financial products publicity form
SELECTED PROJECT WORK The Market Response of the Financial Statement Restatements of A-share Listed Companies (PKU) Jan. 2019-Apr. 2019 • Classified financial restatement announcements from 2012 to 2018 according to restatement causes and adjustment amounts• Implemented empirical analysis on the impact of different types of announcements on stock price performance using Stata
Empirical Analysis of Momentum Strategy in China’s Commodity Futures Market (PKU) Sep. 2017-Dec. 2017 • Studied the formation causes and formation mechanism of the Momentum effect based on behavioral financial theories• Conducted empirical analysis on time series type Momentum strategy using the contracts and settlement prices of rubber
futures, soyabean futures, copper futures and the portfolios of them from 2000 to 2017 as a sample
A Quantitative Investment Strategy Based on the Investors’ Sentiment Index (PKU) Sep. 2017-Dec. 2017 • Applied various rates and indexes to construct the investor sentiment index based on principal component analysis• Performed empirical analysis on the influence of investor sentiment on the yield rates of Shanghai Composite Index,
Shenzhen Composite Index and CSI 300 through the investor sentiment index
ADDITIONAL INFORMATION Quant Analyst of Columbia Quant Group Sep. 2019-Present Technical Skills: R, SAS, Stata, Eviews, Python, Wind, Excel, PowerPoint, Word, Bloomberg Interest: Ping-pang, Tutoring Teaching Assistant for Prof. Zhicheng Wang (Seminar on Corporate Finance, 2018 Fall; Financial Econometrics, 2019 Spring)
Mengyuan (Melissa) Wang 400 W 113 St, New York, NY 10025| (646)-428-4141| [email protected]
LinkedIn: https://www.linkedin.com/in/mengyuan-wang-/ EDUCATION
Columbia University, Master of Arts in Mathematics of Finance New York, NY
Courses: Stochastic Processes and Applications; Statistical Inference and Time-Series Sep. 2019-Dec. 2020
Modeling; Introduction to the Mathematics of Finance; Financial Risk Management and Regulations; Numerical Methods in
Finance; Programming for Quantitative & Computational Finance; Stochastic Methods in Finance
Sichuan University, Bachelor of Economics in Finance Chengdu, China
GPA:91.20% (WES Certified GPA: 3.9/4.0); Ranking: 1/88; Sep. 2015-Jun. 2019
Honors: The National Scholarship (top 1%); First-class Scholarship (top 2%); Relevant coursework: Calculus I & II; Probability and Math Statistics; Statistics; Linear Algebra; Mathematical Optimization;
Numerical Methods; C programming; Econometrics; Financial Engineering Experiment (Matlab); Financial Risk Management; Fixed Income Securities; Mathematical Finance; Corporate Finance
University of California, San Diego, Exchange Student San Diego, CA
GPA: 4.0/4.0; Courses: Investment Banking; Enterprise Finance; New Venture Finance Sep. 2017-Dec. 2017
SELECTED WORK EXPERIENCE
State Street Corporation, Hangzhou, Risk Analytic Intern at Risk Middle Office Hangzhou, China
Ran daily risk reports for enhanced custody business line without errors Jan. 2019-May. 2019
Back-tested the Hybrid VaR model on a daily basis using Matlab and generated reports using VBA
Utilized Python to rewrite a VBA-wrote model to help optimize risk data processing and EOD report generating, which
functioned as the first step of daily margin calculating report; reduced the processing time from 30 min to 8 min
Assisted in a collaborated project with AI team about Natural Language Processing on Companies’ Prospectus: read about 50
Copies of funds prospectus to assess the credit risk level of those funds and provide reference results for the NLP program
Deloitte& Touche LLP, Beijing, Summer Intern at Audit& Assurance Department Beijing, China
Involved in the interim audit of China Galaxy Co. (a top 5 securities company in China); Jul. 2018-Aug. 2018
summarized subsidiaries’ financial data and prepared consolidated financial statements for customer’s four subsidiaries
Valued options with Black-Scholes model in Excel using VBA and completed the valuation report
Carried out Variation Analysis to find the driven factors of the abnormal changes in several accounts
EverBright Securities, Nanjing, Intern Analyst at Wealth Management Department Nanjing, China
Evaluated and analyzed the performance of the stock-selection products; Jul. 2017-Aug. 2017
built a new portfolio that earned 13% more returns than the previous one in back-testing by technical analysis
Wrote the summary report of daily industry research seminars and the daily Chinese capital markets closing reports
Maintained the client database and consolidated client risk preference information to facilitate customer analysis
China Citic Bank, Nanjing, Debt Capital Market Intern at Investment Banking Division Nanjing, China
Collected operational and financial status about construction companies to assist in the Jan. 2017-Feb. 2017
evaluations on the companies’ qualifications for issuing bonds
Prepared issuing documents for the qualified City Investment Bonds according to the requirements of CSRC
PROJECTS Risk Calculation System Development, Columbia University, Course Project New York, NY
Developed a system using Python to calculate risk factors (VaR and ES) of a portfolio of stock and Oct. 2019-Dec. 2019
option positions; Used methods including GBM assumption, historical method, parametric method and Monte Carlo Simulation
Empirical Study and Optimization of Delta-hedging Strategy for Options, Bachelor’s Graduation Thesis Chengdu, China
Utilized Matlab to conduct empirical analysis on three different delta-hedging strategies based on Mar. 2018-Jun. 2018 Thread Steel 1904 Futures Options: fixed-interval method, Walley-Wilmott’s asymptotic method, and Zakamouline’s asymptotic
method SKILLS Computer Skills: Python, R, Matlab, VBA, Stata, C, SQL(Oracle), Tableau, Bloomberg, WIND, Spotfire, Excel, PowerPoint
Language Skills: Mandarin (Native), Japanese (Basic) Certificate: CFA Level I (Passed); Python online courses certificate at Coursera (provided by University of Michigan)
ADDITIONAL INFORMATION Interests: Playing the piano (10+ years), traveling (have been to 14 countries), drawing Activity: Quant Analyst at Columbia Quant Group (Started from Sep. 2019)
Xiheyu (Crystal) Wei 225 W 109th Street, New York, NY 10025 | [email protected] | +1 (917)767-7711 | www.linkedin.com/in/xiheyuwei
EDUCATION Columbia University, New York, NY Sept. 2019 – Dec. 2020 Master of Arts in Mathematics of Finance • Courses: Mathematics of Finance, Time-Series Modeling, Stochastic Processes, Hedge Fund Strategies & Risks
Shanghai University of Finance and Economics, (SUFE), Shanghai, China Sept. 2015 – Jul. 2019 Bachelor of Economics, Major in Banking and International Finance • Honors: Outstanding Graduate of Class 2019 (5%); Merit-based Scholarships (4 consecutive years)• Core Courses: Ordinary Differential Equations, Financial Econometrics, Financial Engineering, Game Theory and Optimization
Stanford University, Palo Alto, CA, Summer Visiting Intensive Studies Jun. – Aug. 2017 • Courses: Financial Economics (A), Introduction to Decision Making (A+)
INTERNSHIP EXPERIENCE Teradata, Quantitative Business Analytics Department, Shanghai, China Jul. – Aug. 2018• Led internship project on consumption volume increase project for Agricultural Bank of China (ABC)’s Credit Card
Department; conducted desk research on credit card marketing strategies. Applied SQL to extract data from database, analyzed and visualized historical data in Python; summarized statistical descriptions and drew slides for presentations.
Tianfeng Securities Research Institute, Financial Engineering Group, Shanghai, China May – Jul. 2018 • Participated in stock picking to design an equity-based portfolio. Analyzed real-time stock data and completed data
visualization in Python. Assisted analysts and supervised interns with research on target date fund project; updated related news and information in China and abroad; complied research reports and presented slides.
PricewaterhouseCoopers, Assurance Department, Shanghai, China Jan. – Mar. 2018• Responsible for bank confirmations and control sheets for the Nanjing Tuniu Technology Limited Company assurance project.
Carried out cash handling and managed spreadsheets; assisted co-workers to complete 2017 annual audit. Willis Towers Watson, Investment Consulting Department, Shanghai, China Sept. – Dec. 2017 • Assisted senior consultants with investment market research; responsible for data collection, analysis and visualization in
Excel. Collected data of monthly performance of different portfolio managers. Compiled investment reports monthly and quarterly.
PROJECTS Research on the Influence of CSI 300 Index Futures on Spot Market’s Volatilities Dec. 2018 – May 2019 Senior Thesis, Shanghai University of Finance and Economics • Applied Propensity Scoring Matching (PSM) methods and Difference in Differences (DiD) in STATA to analyze day-to-
day empirical data. Applied models like (E)GARCH to analyze time series, capture statistical features and get to know during 10 years after the release, how this new-to-China financial instrument affected Chinese stock market
Fama-French Multi-Factor Model Applications Aug. 2018 Instructed by Boris Skorodumov, Morgan Stanley Quantitative Derivative Strategies (QDS) • Applied Fama-French three-factor model to analyze an unknown strategy/portfolio using R language. Conducted full-fit and
rolling regressions in different windows. Plotted graphs to understand the strategy and managed to replicate it.
International Investment Environment Evaluation Method Applications in Belt and Road (B&R) Research Assistant for Professor Jian Wang, Fudan University Sept. 2017 – Jun. 2018 • Designed algorithms to evaluate international investment environments for different needs. Adopted analytic hierarchy
process in operations research and variable weights and expression methods in fuzzy set theory. Combined B&R with evaluation methods and derived factors to achieve more appropriate evaluation results for B&R.
SKILLS AND INTERESTS Computer: C++, Python, SQL, MATLAB, R (intermediate); Excel, Power Point (expert) Certificates: CFA Level 1 candidate; Passed 7/14 subjects of ACCA Interests: Guzheng (10 years); Aerobics (Team Captain); Latin Dance
YEXIN (PATRICK) WEI#12L1, 601 West 110th Street, New York, NY, 10025 | (929)-334-1450 | [email protected]
EDUCATION
Columbia University New York, NY
M.A. in Financial Mathematics Sep. 2019 – Dec. 2020
•Coursework: Financial Modeling and Derivative Trading, Financial Mathematics and Stochastic Processes,
Investment Strategies, Time Series
Vassar College Poughkeepsie, NY
B.A in Economics and Mathematics Sep. 2015 – May 2019
• GPA: 3.76/4.0
• Coursework: Probability, Numeric Methods, Programming in MATLAB and Python, Statistical Analysis, Calculus,
Linear Algebra, Discrete Mathematics, Macroeconomics, Microeconomics, Financial Markets and Investments,
Financial Modeling, Global Economics
• Non-Degree / Exchange Program: London School of Economics, London, UK; GPA: 3.84/4.0
WORK EXPERIENCE
Capital Zero One Technology Ltd. New York, NY
Quantitative Research Analyst Dec. 2019 – Present
• Conducting research and analyzing different market making strategies
• Training a machine learning classification model from 50 signals to increase prediction accuracy of market returns
Peltast Partners New York, NY
Quantitative Strategist Jul. 2019 – Sep. 2019
• Generated trading signals and performed for systematic trading strategies; trading signals includes simple &
exponential moving averages, volatility, price momentum within trading windows, UTXO data
• Analyzed different discretionary trading strategies and tested the prediction accuracy on different price movement
scenarios and backtested them on bitcoin historical data
• Created a benchmark for bitcoin fundamental valuation and evaluated bitcoin pricing via NVT ratio and valuation
ratio between fundamental and speculative values by modifying Metcalfe’s Law equations
• Generated automatic process for daily data update and bitcoin market indices visualization for different time periods
with both on-chain and off-chain value thorough out the bitcoin market history
China Cinda Asset Management Co. Ltd Beijing, China
Research Analyst Jul. 2018 – Aug. 2018
• Built DCF valuation models and wrote equity research reports on the large cap and growth stock companies in
environmental and metal industries
• Analyzed fundamental data for corporates and public companies from Wind, and leveraged MATLAB interface to
formulate daily macroeconomic and sector trend reports
RESEARCH PROJECTS
Economics Department Research Assistant Jun. 2018 – Apr. 2019
The Effect of Land Allotment on Native American Households during the Assimilation Era
• Collected and constructed a training dataset for machine learning application
• Created a database of American Indian Reservation Agents spanning 1880 to 1930
• Georeferenced cities to historical Indian Reservation using Geographic Information System
SKILLS & INTERESTS
Computer: Python, R, MATLAB, QGIS, VBA, SQL, GitHub
Statistical Modeling: Regression Analysis, Decision Tree, Cluster Analysis, Generalized Linear Model, PCA
Music Instruments: Erhu (Level 10/10, public performance for charity and cultural events)
Gu Wu 784 Columbus Ave, New York, NY | [email protected] | (+1)530-746-1928 | www.linkedin.com/in/guw
EDUCATION Columbia University, New York, NY Aug. 2019 – Expected Dec. 2020
M.A in Mathematics of Finance
• Courses: Hedge Fund Strategies and Risks, Stochastic Process, Statistical Inference and Time-Series Modeling, Intro to
Mathematics of Finance, Numerical Methods in Finance, Stochastic Methods in Finance, Multi-Assets Portfolio
Management, Machine Learning
University of California Davis, Davis, CA Sept. 2014 – June 2018
B.S in Mathematical Analytics & Operations Research (Honors) (Cumulative GPA: 4.0/4.0)
B.A in Economics; specialization in International Macro-Finance (Honors)
• Honors and Awards: Dean’s Honors List, James and Leta Fulmor Scholarship, Margaret Wildenradt Scholarship, Rola
Ortlieb Scholarship, Student Scholars Fund Scholarship, Departmental Citation (Mathematics and Economics)
• Core Courses: Probability Theory, Numerical Analysis, Real Analysis, Differential Equations, Microeconomics,
Macroeconomics, Corporate Finance, Data Science
PROFESSIONAL EXPERIENCE Point Zero One Technology (Fintech Company), Hong Kong Dec. 2018 – Mar. 2019
Quantitative Research Intern
• Implemented triangular arbitrage algorithm in Python and built up web-socket to achieve high-frequency trading.
• Conducted research and statistical analysis to build machine learning models for detecting trading signals, continuously
developed and improved mathematical models, and helped to translate algorithms into code.
• Back-tested and implemented trading models and signals in a live trading environment.
• Used data sources to drive innovations and implemented into Python code.
Shanghai Securities, Wenzhou, China Sept. 2018 – Nov. 2018
Investor Relationship and Research Intern
• Recommended financial products to investors based on their levels of risk tolerance.
• Managed clients’ information in Excel and increased work efficiency by 500% using VBA Macros.
• Identified investors patterns by analyzing data and investigated the relationships between pieces of information, such as
yearly income with purchasing history.
• Conducted independent research on modelling different Chinese stocks return by using ARMA and GARCH models.
• Check goodness of fit of different models and wrote research reports to present findings to the team.
Marto-HG Digital Asset Group (Cryptocurrency Hedge Fund), New York, NY July. 2018 – Sept.2018
Corporate Strategy and Operations Intern
• Performed cutting-edge investment research on various cryptocurrencies and blockchain platforms, analyzed the existing
competitors to targeted cryptocurrencies and compared the advantages and disadvantages.
• Assisted the operations team on comparing and contrasting analysis on EOS and Ethereum in Excel by investigating the
key information.
• Collected and compiled market data from online research. Constructed an adjustable model in Excel to chart and predict
returns of cryptocurrencies portfolio.
• Managed work streams for investment research and marketing and generated weekly trade insights.
PROJECT EXPERIENCE
Index Rebalance Arbitrage, New York, NY
• Aimed at arbitraging on the price effects associated with short-term demand due to index fund rebalancing, specifically
gaming the buying pressure of added stocks and the selling pressure of deleted stocks from indexes.
Statistical Arbitrage on Cryptocurrencies, New York, NY
• Explored the features of cryptocurrencies and the statistical arbitrage strategy by using pairs trading; Modelled the prices
difference as a mean-reverting stochastic process and tried to take advantage of this property.
Machine Learning Classification For Trading Signals, Hong Kong
• Utilized different cutting-edge machine learning models in Python to predict market returns based on filtered signals, and
sorted features according to their relevance to the trading signals.
Maximizing Social Influence under Budget Constraint on a Given Network, Davis, CA
• Given a budget constraint, built up an efficient algorithm in MATLAB to locate top N nodes for the purpose of covering
the network as much as possible.
SKILLS & OTHERS
• Programming and Software: Python, MATLAB, R, VBA, SQL, C++, SCIP, Stata, Bloomberg, Excel, PowerPoint
• Other Skills: Machine Learning, Strategies, Pricing, Numerical Methods, Econometrics, Risk Management, Multitasking
• Certifications: Coursera Python Certificate, Bloomberg BMC Certificate
• Memberships: Quant Analyst at Columbia Quant Group, Vice President at Aggie Stock Exchange Association
• Interests: Sudoku, Brainteaser, Ping-Pong, Badminton
Xinyi (Cindy) Wu +1-646-441-0693 | [email protected] | 400 W 113 St, New York, NY 10025 | www.linkedin.com/in/Xinyi-Wu-CU
EDUCATION Columbia University New York, NY, US Master of Arts in Mathematics of Finance Expected Aug/Dec 2020 Relevant Coursework: Python for Quantitative Finance, Numerical Methods in Finance, Mathematical Finance Practitioner, Quantitative Methods in Investment Management, Stochastic Process, Statistical Inference, Discrete Math Hong Kong University of Science and Technology Hong Kong Bachelor of Science in Quantitative Finance; Minor: Mathematics & Humanities; GPA: 3.71 / 4.00 Sep 2015-Jun 2019 Awards: First Class Honors; Outstanding Performance Award in Minor Program; University Scholarship: 2015-2018; Dean’s List Extracurriculars: Member of Traders@UST; Event Planner and Piano Performer of Wanshi Chamber Ensemble Relevant Coursework: Investment Theories, Corporate Valuation, Financial Accounting, Business Communication, Micro- and Macro-economics, Probability, Time Series Forecasting, Data Mining, Quantitative Trading Washington University in St. Louis St. Louis, MO, US Exchange program in Olin Business School; GPA: 4.0 / 4.0 Sep-Dec 2017 Relevant Coursework: Fixed Income and Derivatives Pricing, Derivative Securities, Financial Markets
INTERNSHIP EXPERIENCE Moregain Capital Arcadia, CA, US
Investment Analyst Intern (remote) Mar 2020 – Present
Design investment strategy and prepare pitchbook for a client with $19.6M asset; improve existing wealth plans for high-valued clients Huatai-PineBridge Fund Management Co., Ltd. (largest active quant fund manager in China) Shanghai, China Quantitative Investment Analyst Dec 2019-Jan 2020 Researched and translated papers on predicting stock returns by natural language processing for internal use
Assisted portfolio manager to develop a new factor capturing sentiment score by NLP in the firm’s multi-factor model
Attended regular roadshows presented by quant division of other companies and documented all past roadshows by Pinebridge China Securities Co., Ltd. (top 5 investment bank in China) Shanghai, China Investment Banking Summer Analyst Jun-Aug 2018 Participated in an M&A deal – advised a leading Chinese iron and steel group on minority investment in a British data center company: Reviewed and revised investment evaluation materials on fairness of future projections, cost structure, risk and mitigants, structure of
considerations and restructuring details; Translated 600+ pages of relevant contracts Performed due diligence on regulatory compliance and shareholding structure to facilitate with SPA signing process, such as past
successful cases in cancellation of shareholding entrustment for a counterparty with related concern China Industrial Bank Co., Ltd. (top 10 commercial bank in China) Shanghai, China Debt Capital Markets Summer Analyst Jul-Aug 2017
Drafted credit extension reports for 10+ companies across industries including food, finance, and construction sectors, contents of which included background checking, financial and business performance analysis, and risk evaluation: Conducted research on company history, corporate structure, business growth strategy and industry trends using Wind and annual reports Analyzed financial and operational metrics and calculated ratios to assess profitability, liquidity and solvency level of the companies Drafted summary on investment highlights and potential risk and mitigants for committee to review Haitong International Management Service Co., Ltd. (ranked top 1 on “Hong Kong IPO underwriter list”) Hong Kong
Corporate Finance Summer Analyst Jun-Jul 2017 Analyzed key trends on the offshore debt capital market and prepared presentation materials highlighting bond market update and
Haitong’s strengths in underwriting offshore bonds in terms of pricing and structuring advantages
Screened and reached out to 30 out of 2,000 potential investors for an online grocery start up seeking Pre-A/A round financing Prepared teaser and management presentation materials on industry and credit highlights Bank of China International Securities Ltd. (top tier investment bank owned by one of the largest banks in China) Hong Kong
Fixed Income Research Summer Analyst Jun-Jul 2016 Analyzed firm-specific financials from Bloomberg; drafted weekly reports on China USD bond market trends and macro events as Brexit
PROJECTS Quantitative Trading: Relative Strength of Resistance and Support Method Applied on Pairs Trading Fall 2019 Constructed a new strategy combining RSRS Method and Pairs Trading; analyzed the mathematics part in strategy development and
made several revisions on backtest timeline, trading time, pairs screening, stock weight limit, and trading basket limit Presented and wrote a report on the strategy and backtest results: 6% annualized return and 0.6 Sharpe ratio on average trading 10 pairs
of stocks; evaluated the performance based on robustness, transaction cost, and benchmark performance Time Series Analysis on Stock Return Fall 2019 Built time series models such as ARIMA to predict stock returns using R Conducted stationarity tests, seasonality test and plot ACF and PACF to test autocorrelation Data Mining: Predicting the First Booking Location of Customers at Airbnb Spring 2018
Conducted data analysis, data cleaning, model training and cross-validation given a 200,000-line-testing dataset Built an Azure model to conduct supervised and unsupervised learning and predicted first booking location with a 70% accuracy
SKILLS AND INTERESTS Technical Skills: Python, Excel, PowerPoint, Bloomberg, Wind, basics in R and Excel VBA Professional Qualifications: CFA Level I Exam (Dec 2018) Languages: Mandarin (Native), English (Fluent), Japanese (Fluent) Interests: Piano (Diploma of Music Performance awarded by ABRSM), Impromptu Accompaniment (Piano), Chinese Zither (Highest
Amateur Level Certification), Calligraphy (Highest Amateur Level Certification), Sketch, Bel canto, Erhu, Swimming
SIQI XIANG [email protected]｜504 W 110th St, New York, NY 10025｜(917)-428-8160｜www.linkedin.com/in/siqixiang
EDUCATION
Graduate School of Arts and Sciences, Columbia University Sep 2019-Dec 2020
• Master of Arts in Mathematics of Finance
• Relevant Coursework: Mathematics of Finance, Time-Series Modelling (R), Capital Markets and Investments
Department of Electronic Engineering, Tsinghua University Aug 2015-Jul 2019
• Bachelor of Engineering in Electronic Information Science and Technology, GPA: 3.51
• Awards: 2017 Chang Feng Scholarship (2nd among 275), 2017 Zheng Geru Scholarship (2nd among 275)
• Relevant Coursework: Probability and Stochastic Processes, Advanced Matlab Programming, Data and Algorithms,
Computer Program Design (C/C++), Databases (SQL), Computer Network Technology
PBC School of Finance, Tsinghua University Aug 2017-Feb 2019
• Minor in Finance, GPA: 3.77
• Relevant Coursework: Financial Derivatives, Financial Engineering, Risk Management, Corporate Finance
SKILLS
Computer Skills: R, MATLAB, C/C++, Excel (Advanced); Python, SQL, Verilog (Basic)
PROFESSIONAL EXPERIENCE
Mouhe Asset Management Co., Ltd., Beijing Jun 2019-Aug 2019
Quantitative Strategy Intern
• Conducted research on the domestic stock market and explored internal mechanisms of price fluctuation
• Founded effective alpha factors and created factor-driven alpha investment strategies with high returns in Matlab
• Established scoring models to evaluate the impact of news on the futures market, which automatically grabbed the
news with crawler technology and corresponded news with futures market information using Python
China Securities Co., Ltd., Beijing Jul 2018-Sep 2018
Quantitative Research Intern
• Developed macro-time trading strategies based on indicators selected by trend analysis
• Synthesized the Bull Call Spread with Delta hedge method using R and developed a software package to analyze its
return performance on individual stocks and the Growth Enterprise Index
• Constructed classic short-term quantitative trading strategies such as MACD timing strategy and evaluated their
performance in stocks traded in Shanghai Stock Exchange
NuanLiu Asset Management Co., Ltd., Beijing Jan 2018-Feb 2018
Data Analysis Intern
• Maintained and updated the underlying data pool of the credit rating system daily and optimized related codes
• Automated the process of daily industry credit spreads calculation using R
• Built logistic regression models to predict the default rate of Chinese listed companies and to assist the subsequent
optimization of companies’ current credit rating models
Founder Securities Co., Ltd., Beijing Jul 2017-Sep 2017
Summer Intern
• Assisted in macroeconomic analysis, calculated and analyzed ROE across various industries using Matlab
• Facilitated information flow between traders and the research group by completing research reports and PPTs
PROJECT EXPERIENCE
Design and Implementation of Open-loop GPS Software Receiver Oct 2018-Jun 2019
Research Assistant; Advisor: Prof. Xiaowei Cui, Tsinghua University
• Constructed a modifiable software receiver under C/A code modulation for GPS signals using Matlab
• Adopted the open-loop tracking mode to construct a combined batch/sequential processing GPS software receiver,
which allowed for improved tracking robustness in low carrier-to-noise environment
Image Processing Project: Face Beauty Mar 2018-Jun 2018
Research Assistant, Advisor: Prof. Shengjin Wang, Tsinghua University
• Optimized a 68-point Face Detection Algorithm to recognize multiple faces simultaneously using C/C++
• Implemented makeup effects such as lipstick based on HSI color transform and edge processing algorithms
ADDITIONAL INFORMATION
Interests: Basketball, Swimming, Piano
Languages: Chinese Mandarin (Native)
Binpeng (Kevin) Xiu 201-338-0106 | [email protected]
116th St, New York City, NY, USA 10027 | www.linkedin.com/in/kelvinxiu
EDUCATION
New York, NY
Sep.2019-Dec.2020
Tianjin, CN
COLUMBIA UNIVERSITY
Master of Arts in Mathematics of Finance
NANKAI UNIVERSITY – double majors:
Bachelor of Economics in Finance (Rank 1/200; GPA: 4.0)
Bachelor of Engineering (Major GPA: 3.9)
Sep.2015-Jun.2019
Honors & Awards: 2015/2016/2017/2018 National Scholarship of China (top 1%), Merit Student (top 5%)
WORK EXPERIENCE
COINNESS CO., LTD. Beijing, CN
Quantitative Trader Intern, Quantitative Trading Department Oct.2018-Feb.2019
Machine Learning: Applied model stacking to ensemble three classification models: Random Forest, Support Vector
Machine and Logistic Regression, to create trading signals. Tuned hyperparameters by rolling cross-validation using AUC and
F1-score. Got a return of approx. 22%, and 2.1 Sharpe ratio from 12/18 to 2/19(Out-of-Sample).
Automated Tool: Programmed a workflow to scrape multi-dimensional data, pre-process data, and identify features.
BIT CAPITAL GROUP, INC. Beijing, CN
Quantitative Developer Intern, High-Frequency Trading Department Jul.2018-Oct.2018
High-Frequency Trading: Designed and prototyped an automated arbitrage trading pipeline, including data accessing, signal
detecting, order execution, and visualization, using Object-Oriented Programming. (Python)
Deep Learning: Input fundamental and technical data of common Cryptocurrencies. Built a three-layer Long Short-Term
Memory (LSTM) model. Got a return of approx. 16%, and 2.3 Sharpe ratio from 10/17 to 7/18(Out-of-Sample).
CHINA GALAXY SECURITIES CO., LTD. Beijing, CN
Quantitative Researcher Intern, Quantitative Research Department Jun.2017-Sep.2017
Multifactor Model: Pre-processed (validate, clean, normalize) multi-dimensional (market, fundamental, and technical) stock
data sets. Developed and continuously improved multifactor model with multilinear regression, statistical tests, time-series
analysis models (ARIMA, GARCH), and matrix analysis. Designed and implemented optimization methods for portfolio
construction. (R, Python)
Model Backtesting: Selected CSI 300 as stock pool, got 12% return and 1.9 Sharpe ratio from 1/16 to 6/17(Out-of-Sample).
PROJECTS & RESEARCH
Innovation Research Project | Nankai University Mar.2017-Mar.2018
Read papers about Fama-French five-factor model, realized and tested the Fama-French five-factor model of the Chinese
stock market through all of its stocks. (Python) Awarded second prize (24/478).
COURSEWORK & SKILLS
Programming: Python (advanced, 3 years), R (3 years), SQL (2.5 years), C++ (basic, 1 year), Data Structure and Algorithms.
Statistics: Machine Learning, Deep Learning, Time-Series Analysis, Econometrics, Linear Regression, Statistics.
Mathematics: Stochastic Processes, Stochastic Calculus, Advanced Probability Theory, ODE, Calculus, Linear Algebra.
Finance & Economics: Investment, Derivatives, Fixed Income, Micro/Macro Economics, Accounting.
QUALIFICATIONS & INTERESTS
Qualifications: CFA level II candidate (expected 2020).
Interests: Public speaking, cooking, and history.
LEI XU (347) – 989 7831 | [email protected] | New York, NY 10031
http://www.linkedin.com/in/lei-alex-xu
EDUCATION
Columbia University New York
M.A. of Mathematics of Finance Sep 2019 – Dec 2020 (Expected)
• Courses: Time series, Stochastic Processes, Quant Methods in Investment Management, Risk Management & Regulations
Central University of Finance and Economics (CUFE)_Study in English Beijing
B.S. in Finance, Minor in Law, GPA: 3.85; Department Ranking: 3/61 July 2019
• Courses: Risk Management, Fixed Income, Derivatives, Corporate Finance, Intro to Database, Statistics & Probability
• Scholarships: 2018 Comprehensive Development Scholarship (5%), 2018 Scholarship for Academic Research
and Innovation (5%), 2017 Scholarship for Academic Excellence (5%), 2017 Outstanding Undergrad Scholarship
INTERNSHIP
DiDi Co. (Uber-like Company in China) Beijing
Data Analyst | International Business Department Sep 2018 – Jan 2019
• Extracted data from warehouse; constructed operational indicators for monitoring (SQL)
• Visualized and analyzed customers’ elasticity and the active level of drivers (Tableau) to attract 10% more passengers
• Performed K-means clustering to section driver groups (R)
• Scraped thousands of entries from Yelp and renting websites for main-stream customer portrait (Python)
• Constructed A/B testing to determine the effect of interception messages
China Securities Ltd. Beijing
Equity Analyst | Securities R&D Division Jun 2018 – Aug 2018
• Drafted reports on Live Streaming & Gaming industries independently (Bloomberg)
• Constructed a live streaming industry database; Maintained this database weekly
• Built reusable Excel templates to be updated by entering stock ticker (Excel, Bloomberg extensions)
PROJECTS Building Risk Management System, Columbia University New York
Oct 2019 – Dec 2019
• Collected and cleansed decades of stock and option data (Bloomberg)
• Built a risk valuation system that could calculate risk in Historical method, Parametric method and Monte Carlo Method (R)
• Conducted thorough case tests; Authored a 20-plus-page test plan and test results document
Quantitative Investment Strategy, Columbia University New York
Nov 2019 – Dec 2019
• Constructed a hybrid quantitative trading strategy that combined pairs-trading and technical indicators (Python)
• Performed K-means clustering and ADF test to narrow down stock pools to 10 stocks per period
• Tuned model parameters; Carried out Performance Analysis
• Presented the result to professor and over 70 students
Analysis of how CEO Decision Horizon affects Corporate Performance, CUFE Beijing
Mar 2018 – May 2018
• Used 2SLS model to do regression and found the effect of CEO decision horizon on corporate performance (Stata)
• Employed CEO incentive as instrumental variables to solve endogeneity; Used PCA for dimension reduction
CFA Investment Contest (North China Region)-Best Performance Award Beijing
Leader Oct 2017 – Mar 2018
• Predicted future revenues in 5 years using target market growth rates, segmentation, pricing trends, etc.
• Quantified public information in models; Performed Scenario Analysis
• Employed DCF, DDM, Comparative method for valuation; Utilized Monte Carlo to simulate risks (Excel)
• Illustrated our report to over 30 industry experts and hundreds of students (PPT)
SKILLS & ACTIVITIES • IT: Python, R, SQL, Java (Certificated, 88.3%), Bloomberg, Stata (A statistical software), Excel, Power Point
• Languages: Chinese (native); Japanese (beginner)
• Member of Columbia Quant Group, Columbia Data Science Society, Colloquia; regular Campus Conversation Facilitator
YICHEN (ETHAN) XU [email protected] | +1(646)384-4123| New York, NY | www.linkedin.com/in/xyCh4mpion
EDUCATION Columbia University New York, NY Master of Arts in Mathematics of Finance Dec 2020 Expected Coursework: Stochastic Processes, Statistic Inference& Time-Series Modeling, Hedge Fund Strategies and Risk, Financial Risk Management and Regulations, Artificial Intelligence, Machine Learning, Numerical Methods in Finance, Stochastic Methods in Finance, Programming for Quantitative and Computational Finance, Non-Linear Option Pricing.
Shanghai University of International Business and Economics Shanghai, China Bachelor of Economics in Finance | Cumulative GPA: 3.95/4.00 | Class Rank: 7/177 Sep 2015 – Jun 2019
PROFESSIONAL EXPERIENCE IQC Insights., Business Intelligence Analyst, Shanghai, China Nov 2018 – Mar 2019 • Coded a web crawler using Python to collect market data from past 3 years on JD.com and conducted detailed
analysis using Excel about market shares, suppliers and customers and growth potentials for the meat industry.• Collected relevant data from Wind Terminal and Eurostat, analyzed swine flu’s impacts on the meat industry and
major individual companies; given recommendations on adjustments to pricing and marketing strategies.• Visualized and map latest developments of swine flu using Excel, prepared report for analytics and prediction results,
presented to management.CIIT Asset Management Ltd., Private Equity Intern, Shanghai, China Summer 2017&2018 • Researched market data for battery and environment protection market segments and shares, suppliers and
customers and growth potentials; analyzed trends and strategies and presented to management.• Developed quantitative models using logistic regression with R to select companies with good financial performance.• Performed due diligence processes for one lithium battery company; valuated the company using DCF and
comparable models and analyzed funding options (transferring shares and issuing new shares), resulting in $45milinvestments.
Bank of China. Personal Banking Intern, Shanghai, China Jan-Mar 2018 • Assisted manager to make investing strategies for different people through their own IPS.• Participated in the closing of 12 auto loans totaling $2million through entering financial information from borrowers.
PROJECTS Risk Management Project Nov – Dec 2019 • Implemented different risk measurement methodology like parametric and historical VaR and ES to calculate the risk
of different assets like stocks.• Written a program in python which could get various stocks as input and returned the results with whatever time
window simulated by the Monte Carlo Method and so on. Link: https://github.com/xy-Ch4mpion/Risk-Management• Back tested the models and analyzed the dependency of the models.
Designing a Credit Rating Scoring Card Based on Logistic Regression Jan 2019 – Jun 2019 • Compared China’s credit rating system against other mature rating systems, visualized and analyzed the patterns of
FY2017 financial data from 70 major Chinese financial companies.• Developed a logistic regression model using above indicators to determine credit rating and generated a practical
credit rating scoring card using WOE evidence weight transformation, intervals and scoreboards.Automatic High-frequency Trading Algorithm Sep – Dec 2018 • Developed a t+0 automatic trading algorithm based on mean reversion strategy, achieved an average of 7.5% daily
return in multiple tests and presented results at https://github.com/xy-Ch4mpion/Trading.The Mathematical/Interdisciplinary Contest in Model (MCM/ICM). Feb 2018 • Employed Dynamic Factor Analysis, Stepwise Regression and ARIMA model in Python and R to predict the energy
profile in each state by 2025 and 2050.
SKILLS & Certificates
• Financial Risk Management (FRM) Level I & II Passed Nov 2017 • CFA Level II Candidate June 2020 Expected • Computer Science: Python (Proficient), MATLAB, R, SQL, VBA; Data Science; Machine Learning; Artificial Intelligence• Interests: Chinese Chess (Level 6), Ski, Tennis; Passionate about Modeling and Making Strategies.
Andi Yang 421 West 118th Street, New York, NY 10027
[email protected] • (929) 486-8680 • http://www.linkedin.com/in/ay01 EDUCATION Columbia University, Graduate School of Arts and Science New York, NY Master of Arts in Mathematics of Finance Expected December 2020 Relevant Coursework: Capital Markets and Investments; Stochastic Processes; Time-Series Modelling
Peking University, Guanghua School of Management Beijing Bachelor of Economics in Finance, GPA: 3.7/4.0 June 2019 Honors & Awards: Recipient of the China Scholarship Council Grant for Exchange Study, July 2017; AkzoNobel China Student Sustainability Award & Peking University Excellent Volunteer Group Award, December 2016.
Arizona State University, W. P. Carey School of Business Tempe, AZExchange Student August 2017-January 2018
WORK EXPERIENCE Hengtai Securities (SEHK: 1476) Shanghai Equity S&T Summer Analyst July 2019-August 2019 • Monitored trading desk inventory, product spreads and values, created spreadsheets, product-specific analysis,
portfolio comparative analysis reports.• Engaged in specific corporate-related projects (5G stocks), including the creation of PowerPoint presentations.
CSC Financial (SEHK: 6066) Beijing Wealth Management Winter Analyst January 2019-February 2019 • Assisted financial advisors in relationship management, client follow-up and administration.• Handled client inquiries, coordinated with specialists and service centers to deliver an integrated service to the
client, translated research notes into salient selling points for clients.
KPMG Huazhen LLP Beijing Audit Summer Intern June 2017-August 2017 • Assisted in the semi-annual audit of China Minsheng Bank (SSE: 600016), liaised with the client.• Collected relevant documentations, walked through financial statements, drafted audit reports.
China Foreign Economy & Trade Trust, a subsidiary of Sinochem (SSE: 600500) Beijing Security Trust S&T Winter Analyst January 2017-February 2017 • Participated in due diligence calls and meetings with company prospects, performed market research,
competitive analysis and other researches as needed.• Researched and analyzed portfolio company information, including financial statements, collateral, contracts,
legal documents and other key items that affect credit risk.
A Bridge for Children International, a U.S.-registered nonprofit organization Beijing Coordinator September 2016-December 2016 • Organized and implemented training sessions for volunteers, trained 200+ volunteer teachers in total.• Created and managed projects aimed at helping orphans and children left behind by migrant workers.
HANDS-ON PROJECT EXPERIENCEText-based 1970-2010 Chinese Pop Music and Listeners Sentiment Analysis July 2018-August 2018 • Built web crawlers to identify and extract subjective information from C-pop music lyrics and listener
comments, parsed, rated, and visualized text sentiment, analyzed C-pop music trends over the past 50 years.
Online Simulation Stock Trading Platform May 2018 • Applied C, Python, SQL plus CSS, and HTML to develop a stock trading website, with basic functions such as
registration, logging in/out, trading portfolios, getting real-time stock quotes, etc.
Value Estimation & Financing Decision Analysis of Vanke (SZSE: 000002) September 2016-December 2016 • Analyzed Vanke’s financial standing by doing horizontal/vertical comparison, applied DCF, NAV to valuate.
STUDENT LEADERSHIP EXPERIENCE Youth Volunteers Association, Peking University Guanghua School of Management Beijing President September 2015-June 2019 • Developed, coordinated, and managed outreach programs aimed at helping migrant and disabled children.• Created, launched fund-raising events, recruited and trained 400+ volunteers, managed social media platforms.
SKILLS & INTERESTSComputer: Python, R, SPSS, SAS, Bloomberg (BMC certificate), MS Office, HTML, Photoshop. Language: Native speaker of Mandarin Interest: Acting, nutrition and food science, cooking, singing, violin, travelling, running social media accounts.
Buqing Yang
Email: [email protected] | Address: 400 W 113th Street, New York | Tel. 646-229-4257 | LinkedIn: buqing-yang
EDUCATION
Columbia University, Graduate School of Arts and Sciences New York, US
Master of Arts in Mathematics, Mathematics of Finance Sep 2019 - Dec 2020
Coursework: Mathematical finance, Stochastic processes, Time-series, Capital markets and investments,
Stochastic methods, Numerical methods, Nonlinear option pricing, Programming for quantitative finance
The University of Sydney, School of Mathematics and Statistics Sydney, Australia
Bachelor of Science (Advanced Mathematics), Financial Mathematics and Statistics, GPA 3.9/4.0 Feb 2016 - Apr 2019
Coursework: Probability theory, Statistical inference, Statistical linear models, Statistical tests, Machine learning,
Programming, Data structures, Valuation of financial derivatives
Awards: Denison Research Scholarship (Student researcher), Academic Merit Prizes (Top 1%), Dean’s Lists (Highest letter grade)
PROFESSIONAL EXPERIENCE
Bank of China Investment Management, Equity Trading Intern Shanghai, China
• Tested trading system for the launch of the SSE STAR market, reported bugs and suggested fixes May 2019 - Jul 2019
• Opened and updated 15 fund accounts for trading, by preparing required documents and making phone or email contacts
• Collaborated with team on daily transaction confirmations between fund accounts and other financial institutions
HD Education, Tutor of Mathematics, Statistics and Business Analytics Sydney, Australia
• Delivered small-group tutoring (5~10 students) and revision lectures (40~60 students) Feb 2017 - May 2019
• Developed a comprehensive set of notes in statistical linear models, and taught this course in 4 consecutive semesters
Bank of China Sydney Branch, Risk Management Intern Sydney, Australia
• Entered and inspected processing data for various types of house loans Apr 2018 - Jun 2018
• Tracked on and produced compact reports for senior managers, summarizing latest update in government regulations and
legislative amendments by APRA, in aspects of operational risk management.
Chang Jiang Securities, Investment Intern Hangzhou, China
• Analyzed financial statements of rare-earth industry stocks and predicted short-term trends Dec 2016 – Jan 2017
• Compared stocks of security-industry in China A-share market and anticipated qualitative industrial trends
PROJECTS & RESEARCH
Sector based Active Investment Strategy using US Equity Columbia University
• Performed exploratory data analysis on the returns of S&P500 and 11 S&P sector indices Nov 2019 – Dec 2019
• Performed PCA, linear regression and logistic regression with fundamental and macroeconomic data to predict sector returns
• Constructed portfolios which achieve annual excess return of 5.6% than S&P500 and Sharpe ratio 1.75 which doubles S&P
An Investigation on the Success of Telemarketing via Machine Learning University of Sydney
• Implemented forward selection in Python and compared with tree-based feature selection Sep 2018 - Nov 2018
• Built multiple classifiers, including logistic regression, discriminant analysis and random forest
• Select the optimal models based on AUC and precision, to explain and predict clients’ purchase behavior after telemarketing.
An Investigation into Obesity in Australian Population via Machine Learning University of Sydney
• Estimated categorical relations among birthplace, social status and obesity using Poisson regression Aug 2018 - Nov 2018
• Predicted and explained obesity using macro-nutrients intake and physical activities, via logistic regression and decision trees
Exact Methods for Computing Distribution function of Poisson Binomial Distribution University of Sydney
Student Researcher in Computational Statistics Dec 2017 - Feb 2018
• Examined accuracy and complexity of existing exact and approximation methods, identified their short comes
• Proposed and implemented efficient naïve convolution method in R, achieving best complexity O(logN) and memory O(N)
• Proposed and implemented a more accurate method in R, by applying exponential shifts and shifted fast Fourier transform
SKILLS & OTHERS
• Computer skills: R (advanced), Python, SQL, OOP & Data structures (with Java), MATLAB, VBA, Bloomberg
• GRE: Verbal 164/170, Quant 170/170, Writing 4.0
• Chief Organizer at University of Sydney School of Mathematics Alumni Club (Sydney, 2017-2018)
• Outstanding Individual Award, HSBC Open Day (Hangzhou, 2016)
• Bronze Medal, 2014 Australia Physics Olympiad (Sydney, 2014)
Xiang (ALLEN) Yao [email protected] | (646) 785-2592 | New York, NY
www.linkedin.com/in/xiang-yao-ucla EDUCATION Columbia University New York, NY M.A. Mathematics of Finance Expected December 2020 • Coursework: Stochastic Process | Time-Series Models | Quantitative Methods • Spring 2020 Coursework: Numerical Methods in Finance | Non-Linear Option Pricing Programming for Quantitative and Computational Finance | Stochastic Methods in Finance University of California, Los Angeles Los Angeles, CA B.S. Financial Actuarial Mathematics December 2018 • Minor: Accounting; Statistics • GPA: 3.73/4.00 • Coursework: Financial Mathematics | Portfolio Theory and Option Pricing | Probability Theory |
Optimization | Numerical Analysis | Monte Carlo Simulation | Programming in Python and Applications | Matrix Computation and Optimization | Statistical Programming in R
PROFESSIONAL EXPERIENCE Research Internship Shanghai Shanghai Changjiang Security June 2017 - August 2017 • Evaluated performance of solar companies through constructing models in excel that analyzed their returns and calculated their trends • Collected data from Bloomberg, Wind, and updated through verifying sources • Constructed a multi-factor model (excel) that analyzed future demands and current cost of leading solar companies in order to predict future price on wafer-cutting diamond wire • Attended meetings of leading solar companies, summarized their plans, and wrote meeting reports. ACADEMIC EXPERIENCE Student Grader Los Angeles UCLA Department of Mathematics September 2017 - September 2018 • Make answer sheet for professors and teaching assistants • Communicate with students on grading policy PROJECTS EXPERIENCE Volatility Prediction on VIX index Columbia University Sep 2019 - Dec 2019 • Cleaned and converted data using R • Predicted VIX index volatilities based on GARCH model • Applied multiple trading strategies and compared their performance using python Mean Reversion Trading Strategies Columbia University Sep 2019 - Dec 2019 • Constructed a trading simulation program based on mean reversion strategy in R • Performed backtest on S&P 500 historical price SKILLS/OTHER • Programming languages: R (Intermediate), Python (Intermediate), C++ (Basic) • Microsoft Excel, Powerpoint • Foreign Language: Mandarin • Actuarial Exams Passed: Probability, Financial Math, Investment & Financial Market INTERESTS • Board Games: Chess, Xiangqi (Chinese Chess) • Video Games: League of Legends (Gold), Civilization 6 (Immortal)
Yue (Serena) Yu 204W 108th St, New York, NY 10025 • [email protected] • 4703435229 • https://www.linkedin.com/in/serena-yu0212/
EDUCATION Columbia University New York Master of Arts in Mathematics of Finance Expected Dec 2020 Coursework: Stochastic Processes; Time-Series Modeling; Statistical Method in Finance; Hedge Funds Strategies & Risk Expected Courses: Financial Risk Management; Fixed Income Management; Programming for Computational Finance Emory University Atlanta, GA Bachelor of Business Administration, Concentration: Finance, Informational System and Organizational Management Double Major: Mathematics May 2019 Cumulative GPA: 3.8/4.00; Dean’s List Fall 2015 and Spring 2016
WORK EXPERIENCE ChinaSecuritiesDepositoryandClearingCorporationLimited Beijing,ChinaRiskManagementIntern June.2019–Aug.2019• Examinedthefinancialstatementsof1500+companiesforfrauddetectionbyutilizingBenford’sLaw• Researchedandsorted700+securitiesappraisalreportsaswellascompiledandidentifiedcausesoflowratingsecuritiestooptimizethecompany’sinternalevaluationsystemforfuturebondriskassessment
• Assessedandvalidated2000+securities’creditratingsbyusingtheinternalevaluationsystem,comparedwiththoseofferedbycreditratingagency;presented summaries and insights to senior managers on securities with significant internal systemand external credit rating agency rating discrepancy weekly
GoizuetaBusinessSchool Atlanta,GACorporateFinanceandProcess&SystemsManagementTeachingAssistant Aug.2018–Dec.2018• Held3hoursofTAofficehoursweeklytoguidemorethan50studentsinsolvingproblemsencounteredandachieved30%gradeimprovement
• Conducted4reviewsessionsintotalbeforeeachmidtermandfinalexamsbygoingthroughsampletestsandansweringstudents’questions
• Evaluated200+students’in-classparticipationperformanceandgradedtheirmidtermandfinalexamsChinaMinshengInvestmentgroupAsia Shanghai,ChinaHumanCapitalAnalystIntern June.2018–Aug.2018• Co-establishedthecompany'shumanresourcesmanagementsystembycollectingandevaluating220employees’backgroundinformation
• Monitoredtheemployeeperformanceassessmentsysteminrealtimeandassistedthemanagertoorganizemorethan100employees’performanceappraisals
• Collectedandanalyzedemployees’vacationdatainlast10years,andprovidedcompanywidevacationlengthrearrangementstrategiesbasedonnumberofyearsofworking,performanceassessment,etc.
• Researchedonthecompany’sregulationsandthestatusquoofcompanymanagementintheindustry,andpresentedthepotentialfuturetrendofcompany’smanagementtotheseniorexecutives
PROJECT EXPERIENCE VenezuelaCurrencyCrisisAnalysis EmoryUniversity,Atlanta,GA• Wroteanin-depthanalysisreportontheVenezuelaCurrencyCrisisfromsocial,economicandpoliticalaspectsanditsimpactontheglobalmarket
• AnalyzeddatafromBloombergtogiveclientsrecommendationsonthewaystotradeintheshortandmediumrun(investinREITinVenezuelaandSpainetc...)ifthecrisiswastorepeatitself
CarlosMuseumStudentDocentscheduling CarlosMuseum,Atlanta,GA• Analyzedmorethanoneyearofmuseumvisitorlogtoforecastthefuturedailydemandsoftoursandstudentdocentsbyusingvariousdistributionassumptions
• Builtamuseumtourguideassignmentmodelfor10+studentdocentswith400+constraintstooptimizeworkshiftassignments;UsedVBAtocreatetheuserformtoscheduletheshiftsautomatically
SKILLS AND OTHER INFORMATION Computer Skills: Basic: Java, Proficient: MS office suite, Python, SQL, R Certificates: CFA level I (06/19), CFA level II (expected 06/20) Language skills: Chinese, French(proficient) Interests: Travel, Guzheng (a traditional Chinese instrument), dancing (UNMABOB first prize), drawing
Hong ZhangM.A. Student in Mathematics of Finance @ Columbia University
New York, NY +1 (585) 678-1238 [email protected] linkedin.com/in/hong-zhang-cu/
Sep 2019 - present
Sep 2017 - Dec 2018
Sep 2013 - May 2017
Education
Columbia UniversityMaster of Arts, Mathematics of Finance
Courses: Stochastic Processes Applications, Quantitative Methods in Investment Management, Multi-Asset Portfolio Management(Spring 2020), Numerical Methods in Finance (Spring 2020), Stochastic Methods in Finance (Spring 2020)
Columbia UniversityMaster of Arts, Statistics
Courses: Advanced Data Analysis, Advanced Machine Learning, Statistical Methods in Finance, Time Series Analysis,Nonparametric Statistics, Linear Regression Models, Statistical Inference
New York University ShanghaiBachelor of Science, Honors Mathematics
Dean’s List at NYU New York for Academic Year 2016 with GPA 3.87
Feb 2019 - Jul 2019
Jun 2018 - Jul 2018
Professional Experience
Wind Information - Shanghai, ChinaProduct Manager Intern
Designed and completed 60% coding of a Wind Quant exclusive Python module for dynamic financial data visualizationProvided assistance for institutional clients on the development & assessment of trading strategyImplemented & backtested trading strategies proposed in research papers from academic & industrial source
Roland Berger - Shanghai, ChinaPart Time Analyst
Researched on the transformation of 20+ traditional automotive part companies and automakers, from the perspective ofmanufacturing processes, the potential impact of new emission standards, etc.Interviewed with international experts regarding the barriers to entry in the automotive market, the layout of value chain, etc.
Dec 2019
Dec 2018
Dec 2018
Research Projects
Application of Relative Strength of Resistance & Support in Pairs Trading
Parsed 20-year CRSP U.S. stock data into SQL database and performed query optimization for maximum efficiencyImplemented RSRS algorithm, a time-selection strategy based on OLS between daily high & low price in a rolling windowConstructed a backtesting framework to handle periodically-updated cointegrated stock pool and daily trade signal
Implementation of Variational Autoencoder on SVHN Dataset
Implemented and trained a generative variational autoencoder on SVHN dataset in the structure of convolutional neural network
Ordered Logit Model in Wine Quality Analysis
Performed feature selection based on variance inflation factor & chemical reasoning to eliminate multicollinearityIdentified optimal re-grouping criteria to satisfy the condition of proportional odds and built ordered logit modelPerformed statistical inference and interpreted the contribution of significant variables & interactions
Skills
Programming: Python (advanced - industry experience); R (advanced - project experience); SQL (proficient - sqlite3 Pythonintegration); Microsoft Excel with VBA (intermediate); MATLAB (intermediate)Language: Mandarin (native), Shanghainese (native), Japanese (elementary)
Hongrui(John) Zhang 323 West 96th Street, New York, NY, 10025
+1 (646)689-2791 | [email protected] | www.linkedin.com/in/johnzhr
EDUCATION
Columbia University, Graduate School of Arts and Sciences New York, NY
M.A. in Mathematics of Finance Expected Dec. 2020
• Coursework: Stochastic Processes, Time Series, Fixed Income Portfolio Management, Modeling & Trading Derivatives,
Numerical Analysis, Stochastic Calculus in Finance, Python in Finance
University of International Business and Economics (UIBE), School of Banking and Finance Beijing
Bachelor of Economics in Financial Engineering, GPA 3.75/4.0 Sept. 2015-June 2019
• Coursework: Monte Carlo Simulation, Risk Modeling, Financial Statements Analysis, Corporate Finance, Econometrics of
Financial Markets, Mathematical Analysis, Statistics & Probability, Differential Equations, Data Structures
• Honors and Awards: 2015 1st Grade Scholarship, 2017 & 2018 2nd Grade Scholarship, UIBE Merited Student
University of California Berkeley Berkeley, CA
Berkeley Haas Global Access Program (Exchange Student), GPA 3.75/4.0 Jan. 2018-May 2018
• Coursework: Entrepreneurship & Innovations, Business Decisions Analysis, Organizational Behavior, Stochastic Processes
INTERNSHIP EXPERIENCE
Guotai Junan Securities Co., Ltd Shanghai
Quantitative Researcher Summer Intern in Financial Engineering Team (Ranks 1st in China) July 2018-Sept. 2018
• Designed and backtested brand new ESG alpha factor & robustness test out of more than 4 GB of data with MATLAB
• Developed an ESG-based smart-beta strategy which has been outperforming CSI 300 Index by around 1.5% monthly
• Devised a solvency assessment model within one day in collaboration with senior researcher at client’s urgent request
• Studied cutting-edge US papers and reports, backtested them in the Chinese market, and presented results in the FE team
Shang Youbang International Investment Group, Inc. Beijing
Assistant of Investment Manager July 2017-Aug. 2017
• Investigated new-energy vehicle industry
• Analyzed and predicted stock price in technical and fundamental ways with WIND data terminal
OTHER FINANCIAL EXPERIENCE
JW’s Comments on the Stock Market, Analytical Newsletter on WeChat Beijing
Co-founder & Manager | 1000+ subscriptions and still growing May 2019-Present
• Review up-to-date economic and financial events, analyze capital flows and market sentiment, estimate future market
trends and give advice on stock selection in daily posts utilizing self-designed models
• Earning more than $400 every month by selling industry insights, quantitative research reports and daily trading strategies
RESEARCH & PROJECT EXPERIENCE
Mock Fixed Income Portfolio Management New York
Term-Long Project of Fixed Income Portfolio Management Aug. 2019-Dec.2019
• Analyzed securities with Bloomberg and rebalanced the portfolio four times involving 40+ bonds and derivatives
• Hedged with treasuries, swaps and futures to keep risk exposure (DV01 etc.) and budget within required limits
• Constructed steepening strategies and butterfly strategies with multiple methods, realized 3.28% annualized return
• Presented securities selection, risk profile and portfolio performance as a portfolio manager in front of class
Risk Modeling of China 50 ETF Beijing
Team Leader | Course project of Measuring Analysis of Financial Risk May 2019
• Estimated future volatility of China 50 ETF price with GARCH and EGARCH models with MATLAB
• Calculated VaR and ES of China 50 ETF using historical simulation, model building and extreme value theory methods
An Empirical Study of a Latent Variable Approach to Aggregating Information about the Cross Section Beijing
of Stock Returns in China A-Shares (Bachelor Thesis) Mar. 2019
• Applied partial least squares (PLS) estimator to filter latent variables out from 38 firm characteristics
• Realized and evaluated alternative methods such as PCA and Fama-MacBeth regression in comparison to PLS
SKILLS
• Technical: proficient in MATLAB, Excel | familiar with Python (NumPy, Pandas), C++, R, SQL, Machine Learning
• Languages: Mandarin (Native), Cantonese (Conversational)
INTERESTS & ACTIVITIES
• Interests: Guitar, Basketball (San Antonio Spurs), Poetry, Go, Cooking
• Extracurricular Activities: Researcher at Columbia Quant Group (CQG), Member of The LGBTQ Community of UIBE
Wo Zhang [email protected] | +1-5712879633｜www.linkedin.com/in/WoZhang
206 West 109th St., Apt 5D, New York, U.S. 10025 EDUCATION
New York Columbia University, Graduate School of Arts and Sciences M.A. Mathematics of Finance September 2019-December 2020 � Core courses taken: Time-Series, Stochastic Process, Hedge Funds Strategies and Risk, Mathematics of FinanceSun Yat-sen University, Lingnan College Guangzhou, ChinaBachelors in Management Science, Cumulative GPA: 3.8/4.0 September 2015-June 2019 � Core courses taken: Advanced Mathematics, Linear Algebra, Probability & Statistics, Differential Equations, Data Analysis,
Programming in High-level Language, Scientific Computing with Matlab, Data Structure and Algorithms, MultivariateStatistical Analysis and Software Application
� Scholarships: 2015 Second Prize Outstanding Student Scholarship of Sun Yat-sen UniversityWORK EXPERIENCEColumbia University New York Teaching Assistant of Time Series, Panel Data and Regression. September 2019-December 2019 � Held weekly office hours to help with Time Series lab projects using R. Graded homework assignmentsShenzhen ChengQi Capital Investment Management Company Shenzhen, China Quantitative Research Intern July 2018-August 2018 � Established risk analysis system utilizing Python, automatically generating risk indexes such as VaR and beta� Visualized outcome indexes and formed readable reports leveraging XML, HTML and related tools� Improved data structure and algorithms to shorten calculation time of updating risk information, for almost 2000 stocks listed
mainboard in Shenzhen Stock ExchangeMSCI Beijing, China Research & Risk Management Intern March 2018-May 2018 � Calculated the VaR and Incremental VaR of various assets using simulation methods� Generated statistics on important financial indicators and analyzed risk and profitability through companies’ financial statementsRESEARCH EXPERIENCEStatistical Arbitrage on Cryptocurrencies December 2019 � Collected daily price of various cryptocurrencies and did cointegration test on cryptocurrency pairs� Used pair trading strategy on cointegrated cryptocurrencies pairs and displayed the resultsImplementation of Index Rebalance Strategy November 2019 � Collected data of Russell 3000’s component, market capital and price information from Bloomberg and WRDS� Constructed the strategy with Python and improved its performance by adding a mean-reversion refinement after announcementImplementation of Bollinger Mean Reversion Strategy on Various Stock Sectors November 2019 � Conducted Bollinger Mean Reversion strategy on various stock sectors and compare their performance over the dimensions of
time window, stock sectors and entry timing (volatility change)Rationality Study of Risk Factor Under Solvency Supervision System September 2017- February 2018 � Classified data from database of Orisis and BoardEX, processed data employing Matlab and related software� Conducted in-depth research of periodical papers and brought forward computing methods of crash risk evaluationCAMPUS ACTIVITIES� Columbia Quant Group, Quant analyst September 2019-now � 2017 Mathematical Contest In Modeling (Meritorious Winner) January 2017 SKILLS AND CERTIFICATIONSComputer Skills: � Moderate: Python, C/C++, R, Matlab, Bloomberg (BMC Certificate), SAS, LaTeX, Markdown, Linux, Excel and PowerPoint� Basic: SQL, VBA, Lingo, Stata, XML, HTML, Arena, GurobiForeign Language: Mandarin(Native)INTERESTS� Music, Basketball, Cooking
Yilun (Allen) Zhang [email protected]|2066048826|206 West 109th St, New York, NY 10025|linkedin.com/in/yilun-zhang-727015193
Education_____________________________________________________________________ Master of Arts in Mathematics of Finance (Expected) 09/2019-12/2020 Columbia University, New York
• Relevant CoursesMathematics of Finance, Statistical Inference / Time-Series Modeling, Stochastic Processes in Finance, Numerical Methods in Finance, Programming for Quantitative and Computational Finance, Multi-asset Portfolio Management
Bachelor of Science in Economics 09/2015-06/2019 University of Washington, Seattle, GPA: 3.77/4.0
• Relevant CoursesMicro-economics, Macro-economics, Econometric Theory & Practice, Computational Finance, Investment & Capital Finance, Benefit-Cost Analysis, International Trade, International Finance, Labor Market Analysis • ScholarshipQuarterly Dean’s List - Awarded for 9 quarters
Research Projects Computational Finance Final Term Paper UW Economics Department, Advisor: Yang Fan 04/2018-06/2018
• Analyzed a selection of assets and portfolio• Selected 4 public firms from the universe of S&P 1500 firms and compared them with the S&P 500 index• Composed a 20-page essay using descriptive statistics, estimation fit, portfolio theory and quantitative analysis
Pairs Trading & RSRS Integrated Strategy Research Project
Columbia University Department of Mathematics, Advisor: Alexander Greyserman 09/2019-12/2019
• Developed a combined strategy for stock trading with pairs trading and Relative Strength of Resistance and Support
• Used Python for model development and simulation and resulted a 7.03% annualized return
• Achieved a relatively higher equity return and smaller drawdown than S&P 500 and Market Neutral Index
Experience____________________________________________________________________ Tongxiang Jiayu Fashion Co. Ltd. 06/2016-09/2016Global Trading Specialist Tongxiang, Zhejiang, China
• Translated contracts from English to Chinese• Communicated and negotiated with foreign clients via email and in person• Handled foreign trade purchase orders• Created new marketing materials and publicized them through social media• Organized and presided English speeches and training activities for 30-50 colleagues on a weekly basis
UW PCT Professional Fraternity in Business and Economics 10/2018-06/2019 Marketing Consultant University of Washington, Seattle
• Planned public speech and philanthropy events regarding business and technology• Created and enforced marketing strategies for the events• Advertised the events and published event information through Facebook and school websites• Identified and contacted potential sponsors in the community to participate and sponsor the events
Columbia Quant Group 09/2019-Present Quant Analyst Columbia University, New York
• Collaborated with seasoned quant researchers on research projects regarding statistical arbitrage and quantitative analysis• Networked with quant finance professionals from top financial firms• Developed financial and statistical analysis skills by analyzing stochastic processes and time series models
Specialized Skills_______________________________________________________________ • Tools: Python, Java, MATLAB, R, STATA, Excel VBA, PowerPoint, Word• Languages: Chinese – native, English – advanced• Certificates: R Programming Course Certificate (01/2019), Certificate in Quantitative Managerial Economics (03/2019)
Interests______________________________________________________________________ • Musical Instruments: Drum Kit (Proficient), Guitar (intermediate)• Sports: Basketball, Baseball, Football
Yuqing (Ivy) Zhang E-Mail: [email protected] 400 W 113th St, New York 10025 Phone: 315-572-8171
EDUCATION
Columbia University New York, NY
M.A. in Mathematics of Finance Expected December 2020
Relevant Coursework: Multi-Asset Portfolio Management, Time Series Analysis, Stochastic Process, Hedge Funds Strategies & Risk,
Algorithms for Data Science, Numerical Methods in Finance, Programming For Quant Finance (Python)
Syracuse University Syracuse, NY
B.S. Finance; B.S. Applied Math May 2019
GPA: 3.86/4.00; Honors: Whitman Scholar (top 3% of seniors), Renee Crown University Honor, Beta Gamma Sigma Honor Society
(top 10% of Whitman students), Dean’s list (all semesters), Math Distinction
Relevant Coursework: Financial Modeling, Derivatives, Value Investing, Investment, Corporate Finance, Partial Differential
Equations, C Programming
INTERNSHIP EXPERIENCE
Global AI New York, NY
Quantitative Analyst Intern June 2019 – July 2019
- Used Google BigQuery to extract 15 years of news data about four countries; generated a country risk report for clients using
news sentiment analysis
- In Python, quantified geopolitical risk by creating daily political risk score; analyzed trend & peak of risk scores and
visualized time series data in Tableau interactive dashboard
- Filtered news articles into categories of political risk by using dictionary and class object
RSM China Certified Public Accountants Xiamen, China
Auditor Intern June 2018 – July 2018
- Provided objective financial reports including qualitative risk analysis of a company to a Korean accounting firm
- Monitored the liquidity risk of the company by examining its cash reserve for the purpose of IPO
- Examined the firm’s past five years transactions and cycle counted its raw materials and inventories
Sunrise Energy Technology Ltd Hubei, China
Financial Analyst Intern June 2017 – July 2017
- Projected the expected five-year cash flows of a consulting project and used DCF to calculate its NPV
- Performed sensitivity analysis to analyze the risk of the project to see whether it is aligned to the company’s strategic goal
- Presented the project’s potential profitability and recommended it to C-level management teams
- The consulting project optimized the production cycle time by 7% and increased the net profit by 5% after one year
RESEARCH & PROJECTS
Hedge Funds Trading Strategies Implementation, Columbia University Fall 2019
- Quantamental stategy: took long/short positions on S&P 500 companies by combing Fama-French five-factor and statistical
model; used equal weighting to construct the portfolio and rebalanced it quarterly; achieved annualized return 10.347%,
volatility 32.59%, maxDrawdown 32.64% and Sharpe 0.92 (Python)
- Premium selling strategy: implemented and backtested the strategy on S&P 500 and ETF’s American options (2016-2018)
by short selling 125 calls and puts with lowest theta; achieved annualized return 5.602%, volatility 37.669%, maxDrawdown
26.501% and Sharpe 0.15 (Python)
- Researched, presented and explained merger arbitrage and machine learning strategies in front of classmates and professors
Applications of Machine Learning in Finance Capstone, Syracuse University
Research Assistant December 2018 – May 2019
- Researched the strengths and limitations of machine learning’s applications on process automation, security protection,
underwriting and credit scoring, algorithmic trading, and robo-advisor
- Learned machine learning’s general process and steps from data collection to backtesting
- Compared and contrasted random forest and gradient boosting algorithms used in machine learning
- Summarized results in research 30+ papers and proposed potential use of machine learning in risk monitoring
Investment Club, Syracuse University
Financial Analyst January 2017 – May 2019
- Utilized Bloomberg terminals to monitor indexes and follow the global market trend
- Used 10-Ks and annual financial reports to research and evaluate technology companies by DCF model
- Attended weekly meetings to understand the current financial market; lead discussions on how political and business events
influence the performance of the Club’s $130,000 portfolio
SKILLS & INTERESTS
- Technical Skills: Python, Matlab, C, VBA, Bloomberg Certified (Equities, Fixed Income, Currencies, Economic Indicators)
- Activities: Columbia Quant Group
- Languages: English (full professional proficiency), Chinese (native)
- Interests: Swimming, Fashion, Boxing
Peijie (Brian) Zhao
929 Amsterdam Ave, New York, NY 10025 | +1 (929) 386-8823 | [email protected] | linkedin.com/in/peijiezhao
EDUCATION
Columbia University New York, NY
Master of Arts in Mathematics of Finance GRE: 329/340 (Quant: 170/170) Aug 2019-Dec 2020 (expected)
Coursework: Quantitative Methods in Investment, Fixed Income, Stochastic Process Applications, Time-Series Modeling, Numerical
Methods in Finance, Stochastic Methods in Finance, Multi-Asset Portfolio Management
Huazhong University of Science and Technology Wuhan, China
Bachelor of Science in Management Information Systems (Honors Program) GPA: 3.98/4.00 (ranked 1/24) Sept 2015-Jun 2019
Coursework: Financial Engineering, Mathematical Statistics, Probability Theory, Econometrics, Data Structure, C++ Programming,
Java Programming, Database, Machine Learning, Data Mining, Securities Investment, Capital Markets, Corporate Finance
Honors: National Scholarship (2016, 2017), Outstanding Undergraduate (Highest Undergraduate Honor), Merit-based Scholarship,
Samsung Scholarship, Outstanding Student for Academic Achievement, Meritorious Winner for ICM
PROFESSIONAL EXPERIENCE American International Group (AIG) Shanghai, China
Investment Analytics Intern, AIG Investments Nov 2018-Feb 2019
⚫ Product Valuation: Facilitated FIA/FA/VA products data analytics and valuation process in collaboration with NY office;
initiated a research project to cluster insurance policies to improve valuation efficiency by 80%
⚫ ALM Automation: Automated liability valuation workflow for AIG Asset/Liability Management and portfolio performance
regular report; launched data checking, comparing and processing projects for new AIG Investment Analytics database
Luoshu Investments (a leading China-based quantitative hedge fund) Shanghai, China
Quantitative Research Intern Sept 2018-Nov 2018
⚫ Strategy Research: Established a back-testing framework using Python and mined alpha factors for Chinese A shares; designed
5 long/short equity investment strategies, all reached Sharpe ratio above 1.2 and annualized excess return above 6.5%
⚫ Attribution Analysis: Revamped and integrated portfolio P&L attribution analysis tools including Fama-French model, Carhart
model and BARRA to select trading signals with high alpha returns
Quantfn Investment (a China-based hedge fund founded by former Citadel and Pine River executives) Beijing, China
Quantitative Investment Intern Jul 2018-Sept 2018
⚫ Machine Learning: Implemented machine learning and data mining algorithms including ID3, CART, Random Forest and K-
Means to complete modules for price statistical prediction and potential alpha factors mining
⚫ Model Development: Developed and synthesized analytical modules for company’s quantitative trading platform, including
market data processing and auto-update programs, portfolio P&L calculation tools and portfolio risk attribution models
Changjiang Securities (one of the largest investment banks in China) Wuhan, China
Quantitative Investment Assistant, Asset Management Department Apr 2018-Jun 2018
⚫ Structured Products: Completed detailed plan for barrier option embedded structured product linked to gold future of SHFE
based on research for design mechanisms and current status of structured product in both Chinese and global markets
⚫ Dynamic Hedging: Designed and back-tested dynamic hedging strategy to simulate barrier option’s return structure; optimized
parameters using grid search to minimize hedging error; executed pressure test using Monte Carlo simulation
Deloitte Consulting Shanghai, China
Winter Intern / Deloitte Club Member, Monitor Deloitte (Return Offer Received) Jan 2018-Feb 2018
⚫ Financial Modeling: Analyzed client’s existing management and control system, business segments and asset structure; built
DuPont financial analysis model with Excel to evaluate client’s operating efficiency, asset use efficiency and leverage
⚫ Desktop Research: Researched emerging financing channels including ABS, financial leasing and public-private partnership;
prepared internal discussion materials and finished contents about referable financing channels in project deliverables
RESEARCH EXPERIENCE
Order Book Dynamics Modeling and Prediction with Machine Learning | Columbia University Sept 2019-Dec 2019 ⚫ Price Modeling: Filtered and processed more than 30GB of NYSE millisecond level I market depth data using Python; exploited
and optimized random forest algorithm to model mid-price movement; reached out-of-sample precision of 66%
⚫ HFT Strategy: Designed HFT strategy with random forest classifier; attained daily return of 5.59% and win rate of 57%
Price Lead-Lag Effect between Standalones and Conglomerates | Luoshu Investments Sept 2018-Nov 2018 ⚫ Statistical Modeling: Built linear regression models to conducted empirical research on stock price lead-lag effect between
conglomerates and standalones caused by investors’ complicated external information processing for conglomerates
⚫ Long/Short Strategy: Created trading signal to capture lead-lag effect and constructed long/short equity strategy on CSI 300
index listed companies; attained Sharpe ratio of 1.31 and annualized excess return of 6.92%
SKILLS & INTERESTS Computer Python (Numpy, Pandas, Sklearn), C++, MATLAB, Excel VBA, SQL, Java, R, Bloomberg, Wind, MS Office
Certificates CFA Level I, Bloomberg BMC Certificate, China Securities Practitioner Certificate, NCRE Level II (C++, MySQL)
Interests Soccer (main player on the college team), electric guitar (guitarist in a rock band)
YanlinZhu323W96thSt,NewYork,10025
[email protected]|(929)-386-8803| https://www.linkedin.com/in/yanlin-zhu-a15ab018bEDUCATIONCOLUMBIAUNIVERSITY
MasterofArtsinMathematicsofFinanceNew York, NY
09/2019-12/2020
l RelevantCoursework:IntroductiontotheMathematicsofFinance,StochasticProcesses–Applications, StatisticalMethodsinFinance,Time-Series
ZHONGNANUNIVERSITYOFECONOMICSANDLAW(ZNUEL) Wuhan,China
BachelorofEconomics,MajorinFinancialMathematics(GPA:3.72/4.0) 09/2015-06/2019
RelevantCoursework:RiskManagement of Finance, Corporatefinance, Fixed-IncomeSecurities, FinancialEconomics,TimeSeries
Analysis,OrdinaryDifferentialEquations,MathematicsModelUNIVERSITYOFCALIFORNIA,LOSANGELES
UCLAExtension,Exchange(StudyAbroad)Program
Los Angeles, LA
09/2018-12/2018
HARVARDUNIVERSITY
2017SummerSchoolProgram,Course:SustainableFinanceandInvestment(GPA:92.5/100)Massachusetts, MA
07/2017
EXPERIENCEGlobalAICorporationQuantFinanceIntern
New York, NY
08/2019-10/2019l Usedstatisticalandmachine-learningmodelstoimplementquantitativeandsystematicinvestmentstrategies,whichincludeslong-
shortmarketneutral,globalmacro,trendfollowing,etcl Extracted,filteredandanalyzeddifferentdatatypesandmodels(suchasfinancial,macroeconomic,earnings,credit),whichwillbe
usedasinputfortheinvestmentmodelsl Back-testedandevaluatedtheperformanceofdifferentmachinelearningtechniquesandinvestmentstrategies;performpaper-
tradingandreal-timesimulationofsystematicstrategiesHubeiHongtaiState-ownedCapitalInvestmentOperationGroupCo.,Ltd.Intern,InvestmentDepartment
Wuhan, China07/2018-08/2018
l Assisted the sales department in collecting relevant industry information, conducting industry investigation and completingindustryanalysisforelectronicsandinformationindustry
l Engagedinseveralinvestmentprojects,participatedinprojectapprovalandinvestmentdecisionmeetingbyusingtheknowledgeconcerningquantifiedinvestmentproducts,suchasbasicframeworkofquantitativetrading;portfoliotradingstrategy,etc.
l Cooperatedwithothercolleaguestocompletetheinvestmentproposalsfortheclientcompanieswhicharehighlyappreciatedbytheseniormanager
MetLife,Inc.HongKongBranchIntern,FinanceDevelopment(SophomoreProgram)
Hong Kong07/2016-08/2016
l DelvedintoSWOTanalysis,PESTanalysisandmarketanalysis;analyzedtheemploymentstatusofHongKongl AttendedtheFinancialTrainingcourse;becamefamiliarwithfinancialderivatives;participatedinglobaleconomicissueanalysisl LedtheteamtowinthethirdprizeinthecasestudyofMetLifeBlossomSavingsPlan
PROJECTSProjectofStatisticalMethodsinFinanceTerm-LongProjectofStatisticalMethodsinFinance
New York, NY
09/2019-12/2019l Implementedtimeseriesanalysis,fundamentalstatisticalanalysisanddistributionfittingusingRofweeklydatafor15stocksin5
industries;plottedequitycurvesforeachasset;conductedlinearassociationbetweentheassetsl Computedtheminimumvarianceportfolioandtheefficientportfoliofrontierwithandwithouttherestrictionofshort-salesallowedl Conductedprincipalcomponentanalysisandfactoranalysisoftheassets;usedcopulastomodelthejointdistributionofthereturns
HONORS&AWARDSl FirstPrize,The8thZhengdaCupNationalCollegeStudentMarketResearchandAnalysisCompetition 05/2018l HonorableMention,2018InterdisciplinaryContestinModeling 02/2018l ThirdPrizeScholarship&TechnologyInnovationAwards,awardedbyZNUEL 12/2017l ThirdPrize,Cross-StraitMarketResearchContest 05/2017
OthersComputerSkills:Python(beginner);MATLAB;Stata;R(intermediate);SQL;Excel(advanced);Word;PowerPoint;Certificate:CFALevelIICandidateLanguageProficiency:Mandarin(Native)Interests:Cooking;Running;Swimming;Mahjong