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2020 Summer Regular Employment Candidates Resume Book
2020 Summer Regular Employment Candidates
Resume Book
Summer 2020 Regular Employment Candidates Resume Book February and May 2020 Graduates and Part-Time StudentsColumbia University Mathematics of Finance MA Program Publication Date: Friday, April 17, 2020
Dear Colleague,
Enclosed please find the resumes of February and May 2020 Graduates and Part-Time Students in Columbia University’s Mathematics of Finance MA program (MAFN) who are available for Regular Employment as of the Summer of 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 2 pages for a list of 2020 Summer Regular Employment Candidates and their email addresses.
A list of Summer 2020 Regular Employment Candidates and their Email addresses:
Ballario,Charles - [email protected]
Celier, Stanislas – [email protected]
Chen, Huilun (Michelle) - [email protected]
Chen, Yen-Hsiang (Alexander) - [email protected]
Desai, Aditya - [email protected]
Fu, Sen (Vivian) - [email protected]
Gan, Yunke (Mike) - [email protected]
Hu, Qichen (Enzo) - [email protected]
Hu, Zhixiang - [email protected]
Huang, Yik Sing – [email protected]
Lee, Hojoon – [email protected]
Mishra, Pinakpani - [email protected]
Romero, Jonnathan - [email protected]
Roville, Violaine - [email protected]
Shah, Sanchi – [email protected]
Shen, Tianling - [email protected]
Sim, Young – [email protected]
Sun, Liming - [email protected]
Tang, Kejia - [email protected]
Sun, Zhen (Zenda) - [email protected]
Wang, Suyuan – [email protected]
Wu, Xiuwen - [email protected]
Xie, Runkun (Vincent) - [email protected]
Zhang, Qixiao (Diana) - [email protected]
CharlesBallario235West103rdStreet,10025,NewYork
+16463294865/+33648108602/[email protected]://www.linkedin.com/in/charles-ballario/
EDUCATION
ColumbiaUniversityintheCityofNewYork,NewYorkCity September2019-May2020MasterofArtsinMathematicswithaSpecializationintheMathematicsofFinanceRelevantCoursework:MathematicsofFinance,StochasticProcessesinFinance,NumericalMethodsinFinance,FinancialRiskManagement,StatisticalInference/TimeSeriesModelling,StatisticalModelling/DataAnalysis(PhDlevel),DeepLearningandNeuralNetworks,NaturalLanguageProcessing,ReinforcementLearningandFinancialApplication.
ÉcoleNationaleSupérieuredesMinesdeNancy,Nancy,France September2017–May2020IngénieurCivildesMinesGraduateProgram–three-yeargraduateprograminoneofthemostprestigiousFrenchGraduateSchoolofEngineering–equivalenttoaMasterofScience-majorinAdvancedandAppliedMathematics
LycéeStanislas,Paris Septembre2014–June2017ClassepréparatoireauxGrandesÉcolesUndergraduateProgram–three-yearundergraduateprogramforpreparationtonationalcompetitiveexamsforadmissiontoFrenchmostprestigiousGraduateSchoolsofEngineering-equivalenttoaBachelorofScience-majorinAdvancedandAppliedMathematics,Physics,ComputerScienceandChemistry
SKILLS
Language:French(Native),English(Fluent),Spanish(Fluent),Russian(Elementary)Computer:Python(Numpy,Pandas,Scipy,Tensorflow),R,SQL(MySQL),Matlab,GitHub,GoogleCloud,LaTeX(Overleaf)
PROJECTS&PROFESSIONALEXPERIENCE
ColumbiaUniversityintheCityofNewYork,NewYork September2019–December2019Deeplearningcourseproject–replicatinganoriginalconvolutionalneuralnetworkresearchpaper
• AnalyzedMobileNets(researchpaperwrittenbyGoogleengineers)andwroteareportinthestyleofaresearchpaper• Builtthearchitectureofadepth-wiseseparableconvolutionneuralnetworkinPythonwithTensorflow• HandledlargedatasetsandthetrainingprocessonaGoogleCloudvirtualmachinewithGPUs
ColumbiaUniversityintheCityofNewYork,NewYork September2019–December2019Financialriskmanagementcourseproject–creatingacalculatorofVaRandCVaRforastocksandoptionsportfolio
• Wroteamodeldocumentationandasoftwaredesigndocumentation• Implementedthehistorical,parametricandMonte-CarlomethodsofcalculationofVaRandCVaRinPython• BuiltanapplicationprogramminginterfacetoreturnresultsandbacktestsofVaRandCVaRinPython
ColumbiaUniversityintheCityofNewYork,NewYork September2019–December2019Mathematicsoffinancecourseproject–buildingastatisticalarbitragetradingsystem
• Implementedadailypairtradingstrategybasedonco-integrationandz-scoresinPython• ImprovedtheprofitabilityofthestrategybyusingKalmanfiltersinPython
IntiwawaIntern,Arequipa,Peru June2019–August2019SupervisedbyMildredHauck(MA)-fightingchildlaborthroughfundamentaleducation
• Tutorforyoungstersagedbetween12to18livinginadestituteareainPeru• TaughtEnglishandmathematics
CordéesdelaRéussite–RopedTogetherforSuccess,Forbach,France September2017–June2018Fightingchronicpovertythroughhighereducation
• Organizedculturalexcursionsandorientationseminars• Tutorforyoungstersagedbetween11to14livinginoneofFrance’smostdestitutearea
INTERESTS
Sports:PrivatePilot’sLicense,Skiing,Surfing,TennisArts:ClassicalPianoandRagtimePiano.
Stanislas Celier 614 West 114th Street, 10025, New York
(646) 970-0725 | [email protected]| bit.ly/35SSop0 EDUCATION
Columbia University, Graduate School of Arts and Sciences, New York, NY 2019 – expected May 2020 Master of Arts in Financial Mathematics Relevant Coursework: time-series, stochastic processes, quantitative finance, risk management, portfolio management, numerical methods in finance, data analysis using machine learning, modern data structures École des Mines de Nancy, French Graduate School of Engineering, Nancy, France 2017 – 2019 Bachelor of Sciences in Applied Mathematics and Computer Science Relevant Coursework: probability, statistics, differential equations, Monte Carlo method, machine learning, accounting, economics and corporate finance Lycée Fénelon Sainte Marie, Classe préparatoire aux Grandes Écoles, Paris, France 2015 – 2017
PROFESSIONAL EXPERIENCE
Society for Lorraine History and the Lorraine Museum, Nancy, France June – August 2019 Programming Internship Duties: develop an image recognition application on Python to facilitate archiving. Use of deep learning (Neural Networks and SIFT method), as well as syntactic analysis (lexer and parser). Intern – Safran Aircraft Engines, Paris, France 2018 (5 weeks) Duties: update a tools’ database used to mill the midframe liner & midframe liner’s envelope
ACADEMIC RESEARCH & PROJECTS
Risk calculation system, Risk management, Columbia University, New York, NY Fall 2019 Development in Python of a risk calculation system for a portfolio of stock and option positions as input, computing Monte Carlo, historical and parametrical Value at Risk (VaR) and Expected Shortfall (ES) and backtesting the computed VaRs against historical data. Portfolio management project, Portfolio management, Columbia University, New York, NY Fall 2019 Investing a 500 million dollars amount in the bond market and hedging the risk using SWAPs, futures, butterfly strategies, to get an 8.89% annualized return. Pair trading, Introduction to the mathematics of finance, Columbia University, New York, NY Fall 2019 Implementation of three main techniques of pair trading using Python and R: distance, cointegration and Kaplan filter methods. Research Project in Applied Mathematics, Research assistant, Nancy, France 2018 – 2019 Forecasted very subtle data disruptions collected from sensors via an Internet of Things platform. Analyzed data with support vector machines and SARIMA time series models using Python and R. Research Project in Financial Engineering, Portfolio optimization, Nancy, France Fall 2018 Study of the modern portfolio theory and coding of a genetic algorithm on Python to approach the most valuable portfolio (Competitive Serious Game).
EXTRACURRICULAR EXPERIENCE
Chairman at Junior Enterprise Mines Services, Nancy, France 2017 – 2019 Non-profit student organization (17 members) which offers consulting services to companies by providing short-term jobs on engineering issues to students.
SKILLS & INTERESTS
Languages French (Native), English (Advanced), German (Intermediate), Chinese (Elementary) Computer Advanced: Python, R, MATLAB, VBA, LaTeX, PowerPoint, Excel Intermediate: Java, C/C++
Interests Rugby, running, sailing, painting, drums, youth work diploma (BAFA – 2015)
HUILUN (MICHELLE) CHEN 605 West 42nd Street, New York, NY 10036 • (626) 698-8016 • [email protected]
EDUCATION
COLUMBIA UNIVERSITY Master of Arts in Mathematics of Finance
New York, NY Sep. 2018 – Feb. 2020
• Relevant Coursework: Multi-Asset Portfolio Management, Capital Markets & Investment, Time-Series Modelling,Stochastic Processes, Numerical Methods in Finance, Modeling & Trading Derivatives
UNIVERSITY OF CALIFORNIA BERKELEY Berkeley, CA Bachelor of Arts in Economics | GPA: 3.5/4.0 Aug. 2014 – Dec. 2017 • Relevant Coursework: Econometrics, Microeconomic Analysis, Macroeconomic Analysis, Financial Economics,
Industrial Organization & Public Policy, Principles of Business
WORK EXPERIENCE JMI EQUITY Baltimore, MD Asset Management Summer Analyst Jul. 2019 – Aug. 2019 • Constructed complex financial models such as tower, matrix and LBO models that assess the performance of
various investment/trading strategies focusing on trade execution and portfolio management costs• Analyzed a multimillion medical company and prepared SWOT analysis evaluating factors such as team
background, market trends, technology niche, customer traction, capital structure, and investment risks• Conducted investment research that incorporates raw data and stock valuation analysis for financial modeling
WEALTH WHEEL INTERNATIONAL LTD. Kowloon, Hong Kong Investment Analyst Jun. 2018 – Aug. 2018 • Conducted due diligence on several industries such as energy and real estate, evaluating potential equity
investments via peer analysis, particularly analyzing financial ratios such as EV/EBITDA and P/E• Analyzed financial reports to support firm’s investment decision for the Shanghai-listed company Hengtong (SSE:
600487), and realized a 25% gain during a twelfth month holding period• Composed investment memorandum on acquiring a minority stake in renewable energy companies and presented
investment opportunities to management team• Attended weekly manager meetings and prepared minutes summarizing management background, investment
thesis, historical performance, competitive advantages and potential risks
HUARONG INTERNATIONAL FINANCIAL HOLDINGS LTD. Central, Hong Kong Investment Banking Summer Analyst Jun. 2017 – Aug. 2017 • Created profiles of prospective clients, researching and summarizing the company background and historical
financials of a $3.6 billion solar company, $8.7 billion real estate development firm, $1.3 billion biomedicalcompany
• Performed valuation analysis via discounted cash flow and public market comparables methodologies for potentialIPO companies in the solar energy and real estate sectors
• Prepared pitches for potential sell-side M&A deals focusing on the renewable energy sector and transcribedmeeting minutes with senior management
CITIC SECURITIES Beijing, China Summer Analyst Jun. 2016 – Aug. 2016 • Conducted stock research and gained insights into a wide variety of financial products offered, such as open-end
funds, options and bonds• Constructed equity portfolios based on stock performance and industry research, diversified across social media,
healthcare, e-commerce, real estate and telecom sectors• Attended weekly management meetings with all divisions in China and recorded minutes of potential investment
opportunities and relevant risks based on market conditions and updated government policies
VOLUNTEER EXPERIENCE BRIDGES INTERNATIONAL STUDENT INC. Berkeley, CA
& New York, NY Secretary, Steering Committee • Conducted campus outreach initiatives to invite students of diverse cultural backgrounds to our weekly activities
through surveys and marketing on campusJan. 2016 – Present
• Collaborated with head organizers to facilitate weekly dinner and ice-breaker activities for the students
US-CHINA GUANGDONG CHAMBER OF COMMERCE Los Angeles, CA Marketing Intern Jun. 2014 – Aug. 2014 • Worked with managers to set up an annual trade fair for 18 companies based in Asia to market for their websites
and stores
SKILLS & INTERESTS • Language Skills: Mandarin (native), Cantonese (native), Korean (fluent), Japanese (proficient), Spanish (literate)• Computer Skills: Microsoft Office Suite (proficient), Bloomberg, R Statistical Software, VBA, Matlab• Certifications: CFA Level 1 Candidate• Interests: contemporary music composition, art auctions, tennis, golf, cooking Chinese and Japanese cuisine, watching soccer competitions
YEN-HSIANG (ALEXANDER) [email protected] | (646) 659-8479 | 250 West 50th Street, New York, NY 10019 | www.linkedin.com/in/alexychen
E D U C A T I O N
Columbia University, Graduate School of Arts and Science M.A. in Mathematics of Finance
New York, NY Sep 2018 – Feb 2020
• Coursework: Statistical Inference & Time Series Modeling, Deep Learning, Applied Data Science, Natural LanguageProcessing, Numerical Methods, Stochastic Methods in Finance
Georgia Institute of Technology, College of Computing Distance Learning M.S. in Computer Science, Specialization in Machine Learning (part-time) Dec 2020 (Expected)
• Coursework: Machine Learning, Machine Learning for Trading, Simulation
National Chengchi University Taipei, TW B.S. in Money and Banking Sep 2011 – Jan 2016
• Coursework: Mathematical Statistics, Econometrics, Algorithms, Programming in C, Financial Derivatives
W O R K E X P E R I E N C E
The Rohatyn Group (Hedge Fund) New York, NY Fixed Income and Currencies Strategies Intern Jun 2019 – Dec 2019
• Analyzed the indicators implemented and designed a more credible fair value model to detect price dislocation inemerging markets assets based on PCA regression. FX trading strategy based on the model received a 58% hit ratio
• Deployed visualized monitoring solution upon emerging markets FX, FX option, sovereign CDS and swap tosystematically screen re-rating opportunities and generate trading signals for traders and portfolio managers
Ronin AI (Crypto Trading Platform) New York, NY Quantitative Research Intern Apr 2019 – May 2019
• Developed an application with Python Dash to back-test and visualize the performance of trading strategies• Performed data cleansing and analysis on 100+ million intraday data and evaluated data quality and model robustness
Fuh Hwa Securities Investment Trust Co., Ltd. Taipei, TW Quantitative Analyst, Fixed Income Department Jun 2017 – Jun 2018
• Constructed a bond selection model based on default risk and fundamental-adjusted spread for a $320mn high yield bondfund, which beat the benchmark in return (17% vs. 9%) and Sharpe ratio (1.2 vs. 0.8) in an out-of-sample test
• Performed feature selection with XGBoost and built nonlinear regression model using factors such as shape of the yieldcurve, average dollar price of the mortgage market, and implied volatility to evaluate the cheapness of agency MBS
Yuanta Securities Investment Trust Co., Ltd Taipei, TW Quantitative Research Intern, Index and Quantitative Investment Department Jan 2015 – Jul 2015
• Conducted research on index ETF & index futures and developed investment strategies in emerging markets equitybased on capital flow volatility and market risk appetite for the largest securities firm in Taiwan
• Built web crawlers in Python using BeautifulSoup package to extract news and announcements of more than 10,000listed companies from Taiwan Market Observation Post System
P R O J E C T S
Image Caption Generation with Conditioned LSTMs, Columbia University Jun 2019 – July 2019 • Built encoder, decoder and trained an LSTM language generator to predict image caption in Python
Machine Learning for Trading, Georgia Institute of Technology Feb 2019 – May 2019 • Built Random Forest model on extracted features to predict the direction of stock prices in Python• Designed Q-Learning agents to learn trading strategy for US equity from hundreds of indicators and market status
S K I L L S
Programming: Python, C++, VBA, SQL, Scikit-Learn, TensorFlow, PyTorch, Dash, RShiny, AWS, Github Software: Bloomberg Terminal, Reuters Eikon, Tableau, Multicharts
ADITYA DESAI 3333 Broadway, New York, NY, 10031
(631) 974-6411 • [email protected] • LinkedIn
EDUCATION
Columbia University, New York, USA Sep 2018 – Feb 2020 • Master’s Degree, Mathematics of Finance
• Key Coursework – Stochastic Processes, Time-Series Analysis, Numerical Methods in Finance, Non-Linear OptionPricing, Game Theory, Bayesian Statistics, Linear Regression Models
College of Engineering Pune, Pune, India Aug 2014 – May 2018 • B. Tech in Electronics and Telecommunications Engineering• Key Coursework – Multivariate Calculus, Numerical Analysis, Probability and Statistics, Partial Differential
Equations, Stochastic Processes, Digital Signal Processing
PROFESSIONAL EXPERIENCE
Bajaj Finserv Ltd. Pune, India Quantitative Risk Intern June 2019 – Aug 2019 Indian financial services company focused on lending, asset management, wealth management and insurance.
• Leveraged the company’s existing database to cluster and profile consumers for effective risk analysis and
targeted marketing.
• Constructed a consumption index at a state level to aid business decisions regarding scaling in specific states.
• Modeled a construct to analyze aggregate consumer behavior and its implications on consumption.
• Used Python, R, SQL, Excel, etc. working on these projects.
FinIQ Consulting Pvt. Ltd. India Pune, India Quantitative Research Intern May 2018 – July 2018 Singapore-based wealth product distribution technology provider for FX, Equities, Derivatives, Fixed Income, Funds and Structured products.
• Analyzed and studied pricing of ELNs, FCNs, and barrier and FX options.
• Evaluated different interpolation techniques – cubic spline, bicubic spline, and bicubic interpolation – for
efficiency and accuracy for implementation in Dupire’s local volatility model.
• Streamlined the process of evaluating the Dupire option price using Monte Carlo simulations.
• Studied implications of implied volatility and briefly worked on FX option pricing using the Vanna-Volga method.
• Conducted a mathematics primer for new employees.
• Used C++, Python, Excel, etc. working on these projects.
SCICOM-SOFTWARE India Pvt. Ltd. Pune, India Machine Learning Intern May 2017 – July 2017 Engineering Software Services provider in the field of digital Image Processing, Numerical Analysis and Scientific Computing.
• Researched and implemented machine learning techniques for use by the company instead of traditional image
processing approaches to existing problems.
• Worked with multiple machine learning models including convolutional neural networks and decision trees.
• Projects included path detection for autonomous driving and segregation of items inside bags based on material
using X-ray imaging data.
• Used Python, Tensorflow, Numpy, OpenCV, Pandas, etc. for developing these projects.
SKILLS & INTERESTS
• Programming: Python, R, C, C++, MATLAB, SQL, VBA, Tensorflow, Excel, PowerPoint
• Certifications: Bloomberg Market Concepts - Bloomberg Machine Learning – Andrew Ng – Stanford (Coursera) Neural Networks – Geoffrey Hinton – University of Toronto (Coursera)
• Other Interests: Rowing, Hiking, War history, Poker
SEN (VIVIAN) FU +1-917-655-2158 | [email protected]
EDUCATION
Columbia University New York Master of Arts in Mathematics of Finance Feb 2020
● Teaching Assistant of Modeling and Trading Derivatives;● Coursework: Statistical Inference / Time-Series Modeling, Numerical Methods in Finance, Stochastic Methods
in Finance, Programming for Math Finance, Equity Derivatives, Real Estate FinanceUniversity of International Business and Economics Beijing Bachelor of Economics in Banking and Finance Jul 2018
● GPA: 3.8/4.0 (rank: 3/29); Awards/Honors: Outstanding Graduate (top 4%), Successive 4-Year Merit-BasedScholarship (top 6%); Meritorious Award in Mathematical Competition in Modeling (top 1%)
University of California, Berkeley, Summer School, Haas Business School Berkeley, CA, Aug 2016 ● GPA: 4.0/4.0 (rank: 1/60); Coursework: Corporate Finance & Financial Statement Analysis (A+)
WORK EXPERIENCE
Deutsche Bank, Global Markets Summer Intern Hong Kong, Jun - Aug 2019 Equity Derivatives Trading Desk:
● Calculated correlation delta of each autocallable and hedged correlation risk of whole book; computed thesensitivity of underlying indices’ spots to correlation skew cost through linear regression, Gaussian process,and kernel regression in Python; successfully hedged 17% of correlation skew cost
● Booked deals on exotic products using MC simulation spread sheets and revised term sheets of corridors,accumulators, and pivots; attended structuring desk’s meetings with hedge fund managers
Credit and Structured Loan Team: ● Composed client-facing 15-page report on local government financing vehicles and 20-page report on offshore
real estate bonds; analyzed data features from different perspectives such as coupon, maturity, and credit rating● Conducted case study on a syndication loan deal; coordinated with clients on KYC processes; updated daily
market summaries and attended morning meetings with credit trading deskGuotai Junan Securities (top 3 investment bank in China), Equity Research Intern Beijing, Feb - Aug 2018
● Wrote daily and weekly market reports (uploaded to Wind for 1000+ subscribers) on TMT industry bygathering data on 188 companies and analyzed their financial performance
● Produced 27-page research report offering investment advice based on analysis of M&A deal between twoleading TMT companies and their business models; report was distributed to firm’s institutional investors
● Collected and cleaned data on ratings of imported movies over 10-year period, used data to draft 14-pageresearch report on market size and expected future trends of China’s film industry
Ernst & Young, Auditing Winter Intern Beijing, Jan - Feb 2017 ● Performed due diligence on key company (~$2bn total assets) in China’s metallurgical industry; Verified
authenticity of client company’s expenses (~$1.5bn); Conducted inventory valuation tests;● Assisted senior auditors in compiling 20 working papers on different financial accounts; Collated and updated
3 annual audit reports using financial statement analysis; earned top rating (4.85/5.00) and return offerRoland Berger Management Consultants, Consulting Intern Beijing, Aug - Sep 2016
● Assessed client company’s competency for entering new market and drafted presentation slides● Created evaluation metrics to measure client company’s competitiveness in promotion and distribution
channels; earned top rating (A/A) for excellent performance
RESEARCH & PROJECTS
Volatility and Financial Crises, Individual Final Presentation at Deutsche Bank Jun - Aug 2019 ● Decomposed realized volatility into long-term trend and short-term fluctuation using HP filter in Python;
divided volatility cycle into high and low, and used relatively low volatility as a predictor of financial crisisthrough logistic regression along with other control variables
● Analyzed reasons of financial crises and explained the role of low volatility in financial crisis; comparedprobability of crisis for China and US and analyzed implications for policy makers, banks and investors
“I Want My Breakfast” Entrepreneurial Project, Founder and President Oct – Dec 2014 ● Developed business model; led team of 36 members and earned monthly revenue of ~$3,000● Found several partners and negotiated cross-promotion agreements; created online order system
Skills Python, Excel, VBA, R, Bloomberg; Mandarin (Native); Violin (5 years), Figure Skating (10 years), Poker
Yunke (Mike) Gan +1 (929) 319-3635 | [email protected] | 169 Manhattan Ave Apt 4B, New York, NY 10025
EDUCATION Columbia University, Graduate School of Arts and Sciences Master of Arts in Mathematics of Finance
New York, NY 02/2020
• Selected Coursework: Machine Learning, Financial Mathematics, Stochastic Processes, Numerical Analysis, Time SeriesAnalysis, Non-linear Option Pricing, Hedge Funds Strategies and Risk, Quantitative Methods in Investment Management
Renmin University of China (Top 5 in China), Undergraduate Pilot Program in Mathematics & Finance Beijing, China Bachelor of Science in Mathematics & Bachelor of Economics in Finance, GPA: 3.72/4.00 (Top 5%) 06/2018
• Honors: Merit Scholarship for Academic Excellence (Top 5%, 2016 & 2017)• Selected Coursework: Mathematical Statistics, Mathematical Analysis, Probability, Linear Algebra, Data Structures,
Ordinary Differential Equations, Financial Derivatives, Risk Management, Econometrics, Investment, Stochastic Calculus
PROFESSIONAL EXPERIENCE Axioma, Inc. Atlanta, GA Quantitative Strategy Summer Intern, Index Division 06/2019 – 08/2019
• Risk Model Development: Developed the Constant Maturity Futures (CMF) factor risk model for portfolio optimization andquantitative investment strategy development; finally adopted by the team.
• Strategy Research: Designed quantitative investment strategies based on commodity smart-beta factors (e.g. roll yield, lowvolatility, multifactor) with CMF risk model and mean-variance optimization to improve the performance of Citi CompositeIndex; outperformed benchmark by 2.68% annually and achieved an IR of 0.75 from Jan 2008 to May 2019.
• Communication / Presentation: Presented to Head of Index Solutions at Axioma; received positive feedback.Trexquant Investment LP Stamford, CT Quantitative Research Intern, Alpha Research Team (Remote Based in Beijing, China) 04/2018 - 08/2018
• Alpha Research: Developed statistical arbitrage trading signals with different styles (momentum, fundamental and eventdriven, etc.) in Python by researching academic papers, with one of the best alpha signals achieving an annual return of11.3% and a Sharpe Ratio of 1.43 in U.S. stock market from 2008 to 2018.
• Quick Learning: Researched on latest academic papers in the quantitative finance field to generate investment.Founder Securities Beijing, China Quantitative Research Intern, Trading Business Department 10/2017 - 02/2018
• Execution Research: Estimated the probability of limit order execution in CSI 500 market using survival analysis and Coxproportional hazard model; increased estimation accuracy in the out-of-sample test cases by 30%.
• Pairs Trading with ML: Designed pairs trading strategy using Machine Learning and Times Series Analysis methods;achieved 9.14% annual return (beat market by 7%) and 1.41 Sharp Ratio in Chinese stock market from 2010 to 2018.
o Selected stock pairs with k-means clustering algorithm and Engle-Granger cointegration test.o Calculated spreads between stock pairs with time series regression, predicted spread movement using Support
Vector Machine (SVM) and backtested the refined pairs trading strategy.MSCI Inc. Beijing, China Quantitative Research Intern (Remote), Risk Management Department 09/2017 - 10/2017
• Risk Analysis: Calculated Value at Risk (VaR), Conditional Value at Risk (CVaR) to perform portfolio risk analysis.• VBA Toolbox Building: Streamlined workflow by building VBA-based toolboxes for computing Greeks and option prices.• Portfolio Optimization: Improved portfolio covariance matrix estimation for portfolio optimization using shrinkage method
via Python; reduced portfolio return variance by 81.7% in the out-of-sample testing period from 2010 to 2016.
PROJECT EXPERIENCE Strategic Asset Allocation of Smart Beta ETF Portfolio, Columbia University 09/2018 – 12/2018
• Portfolio Construction: Optimized the construction of a portfolio of smart-beta ETFs using different weighting schemes,including Minimum Variance, Risk Parity, Momentum, and Momentum with Risk Parity; improved annual return by 2.26%and Sharpe Ratio by 0.17 compared to the Equal Weighting base strategy from 2010 to 2018.
Non-linear Derivative Pricing, Columbia University 01/2019 – 05/2019 • Non-linear Option Pricing: Priced non-linear options based on estimated continue value using the Longstaff-Schwartz (LS)
algorithm and the Tsitsiklis-van Roy (TVR) algorithm in Monte Carol simulation.• Model Calibration: Calibrated Stochastic Local Volatility (SLV) model using Particle Method in Monte Carol simulation;
obtained Implied Volatility for vanilla options with Regular Falsi method.
ADDITIONAL INFORMATION • Programming / Software: Python, MATLAB, OOP, Excel VBA, SQL, C/C++, R, STATA, MS Office, Bloomberg• Awards / Certificate: CFA Level I, Meritorious Winner, 2017 Mathematical Contest in Modeling (Top 10%, 2017)• Languages / Interests: English (Fluent), Mandarin (Native), Soccer, Guitar, Photography
Qichen (Enzo) Hu New York, NY 10026 | (917) 373-1641 | [email protected] | https://www.linkedin.com/in/qichen-hu
EDUCATION
Columbia University New York, NY
Master of Arts in Mathematics of Finance Feb. 2020
Coursework: Quant & Comp Finance, Hedge Funds Strategies & Risk, Time Series Analysis, Applied Machine Learning,
Neural Network & Deep Learning, Analysis of Algorithms, Nonlinear Option Pricing, Modeling & Trading Derivatives
Honors: Stp Davis Fellowship for Outstanding Academic Achievement
Zhejiang University Hangzhou, China
Bachelor of Economics in Finance & Bachelor of Arts in English, GPA: 3.8/4.0 Jul. 2018
Honors: 1st Class Scholarship for Outstanding Merits, Scholarship for Excellence in Arts and Sports
PROFESSIONAL EXPERIENCE
Quant Global Capital (Hedge Fund) New York, NY
Quantitative Analyst Intern Mar. 2020 - Present
Collected minute bar market data by web scraping in Python; performed data cleaning and integration in MySQL
Built Python APIs for summarizing daily trade from mark to market settlements and conducting PnL analysis
Kemnay Advisory Services (Family Office) New York, NY
Quantitative Research Intern May. - Dec. 2019
Investigated RavenPack market sentiment data and completed two projects in Python, one to pinpoint short candidates by
monitoring sentiment changes, the other to explore long short opportunities by event study on news
Customized sentiment matrix to measure market over- and under-reaction during the sharp drop in price; targeted stocks
to short by regression analysis of abnormal returns on sentiments; achieved an annual return of 15% free from news bias
Conducted event study by hypothesis testing on price reactions to news between sentiment groups; utilized the scale of
pre-event drift and timestamp to enlarge the spread in cumulative abnormal returns between groups by 4%
Built a systematic framework for portfolio backtesting in terms of signal decay, liquidity risks, factor contributions, etc.
Institute of Computing Technology, Chinese Academy of Sciences Beijing, China
Quantitative Research Intern Jul. - Aug. 2017
Led a team to develop long/short market timing quantitative investment strategies in Python based on data mining
Constructed predictive alphas that measure patterns such as momentum in price and volume and applied feature scaling;
implemented machine learning algorithms (logistic regression, SVM and random forest, etc.) to forecast daily returns
Optimized models by hyperparameter tuning on validation sets; applied ensemble modeling by implementing ideas such
as trend following and soft voting; achieved a win/loss ratio of 1.38 and an annual return of 16% in the out-of-sample test
MSCI Inc. Beijing, China
Quantitative Analyst Intern Jan. - Mar. 2017
Improved covariance matrix estimation for portfolio optimization by shrinkage methods; reduced the annualized standard
deviation of the tangency portfolio return by 5%; imposed short sale constraints for robustness check
Backtested factor-based contrarian market-neutral investment strategies in Matlab; successfully predicted the liquidity
risks in the crisis period by measuring the autocorrelation of bid-ask spreads and the systemic deleveraging of funds
PROJECTS
High-Frequency Spatial Arbitrage Strategy on Cryptocurrency (Python) New York, NY
Personal Strategy Implementation Project Feb. - Apr. 2020
Created spread-based indicators to forecast the overlap between the highest bid and lowest ask in two crypto exchanges
Built an Order Matching API for executing market / limit orders, generating trade log and computing daily PnL
Backtested the strategy with Market Depth data and achieved an annualized Sharpe ratio of 1.34 in the out-of-sample test
Towards Accurate Binary Convolutional Neural Network (TensorFlow) New York, NY
Final Project of Neural Network & Deep Learning Oct. - Dec. 2019
Approximated the full-precision convolution kernel by a set of binary weights and transformed the inputs through binary
activations characterized by shift-parameters; applied bit-wise operations to speed up the forward propagation
Trained the customized hyperparameters by straight-through estimator; tested the approximated convolution networks in
ResNet18 and ResNet34 models and achieved a validation accuracy degradation less than 8%
SKILLS & INTERESTS
Programming: Python (Numpy, Pandas, SciPy, Sklearn, TensorFlow), C/C++ (in Unix), Matlab, R, MySQL, VBA, Bloomberg
Activities: Quantitative Researcher at Columbia Quant Group; Captain of School Soccer Team at Zhejiang University
Certificates: CFA Level II candidate Interests: Self-Guided Tour, Landscape Photography, Soccer, Poker
Zhixiang Hu +1 (929)-319-3707 | [email protected] | www.linkedin.com/in/zhixianghu/
EDUCATION
Columbia University
M.A. in Mathematics of Finance
Renmin University of China
B.A. in Financial Engineering & B.A. in Business Administration
New York
Sep 2018 – Feb 2020 Beijing
Sep 2014 – Jul 2018
• Awards: Second Prize Scholarship, Excellent Volunteer Scholarship, Excellent Exchange Student Scholarship.
Eberhard Karls Universität Tübingen Tübingen
Exchange Program in Financial Economics Oct 2016 – Mar 2017
Tsinghua University Beijing
Research Assistant in PBCSF Dec 2017 – Jan 2018
Relevant Coursework: Machine Learning, Deep Learning, Optimization for Machine Learning, Time Series Analysis,
Bayesian Statistics, Stochastic Methods in Finance, Numerical Methods in Finance, Nonparametric Statistics, Financial
Econometrics, Partial Differential Equations, Nonlinear Option Pricing, Financial Mathematics, Java Programming.
INTERNSHIP
Algo Depth LLC, Quantitative Research Team New York
(Part Time) Quantitative Research Intern Oct 2019 – Dec 2019
• Read and implemented research papers about graph deep learning models, e.g.: Gated Graph Neural Networks, Gated
Graph Sequence Neural Networks, Graph Convolutional Network, GraphSAGE etc.
• Researched corporate earnings forecast methodology with Econometrics models like Instrument Variables, Two
Stage Least Squares and alternative data (foot traffic from retailers).
Roscommon Analytics Master Fund LP, Engineering Team New York
Quantitative Developer Intern Jun 2019 – Aug 2019
• Set up Python Scrapy architecture to access and parse html data from ICE website. Used SQLAlchemy to connect with
spiders and feed downloaded datasets into database. Created real-time data flow monitors with Python hashlib that are
used to capture market changes, e.g.: transfer limitation changes in power grids of New York state.
• Used Python multiprocessing technique to build internal initial margin system that integrated scrapers, ICE Risk
Model, AWS and was used to run daily portfolio margin usage reports. Improved operational efficiency by 80%.
• Developed a margin optimizer with Monte Carlo simulation technique which was used to find diversification
allocation strategies for portfolios and on average improved capital usage efficiency by 20%.
Shenwan Hongyuan Securities, Fixed Income Sales & Trading Team Beijing
Quantitative Trading Intern Feb 2018 – Jun 2018
• Developed trading tools to improve efficiency for the desk, e.g.: a repo interest rates forecasting tool based onNonlinear Autoregressive Exogenous Neural Network (NARX) model, macro events monitors (equity & FICC marketsovernight performances, macroeconomic data updates, repo rates trends & forecasts), convertible bonds pricing &arbitrage monitoring tool, Excel add-ins that automated daily positions recording (improved efficiency by 90%).
• Made quotes and negotiated with other traders in the market. Executed repo trading orders to maintain liquidity for
credit & rates products over the desk. Implemented systematic trading strategy, e.g.: treasury futures pairs trading.
PROJECTS
Vehicle Routing Problem with Reinforcement Learning (Group Project, Columbia University) New York
• Implemented an improved architecture based on Reinforcement Learning and Policy Gradients method to approximate
optimal solution of the Vehicle Routing Problem. Enhanced model performance by 4% compared with benchmark.
Statistical Arbitrage: Pairs Trading (Group Project, Columbia University) New York
• Implemented a statistical arbitrage strategy based on K-Means Clustering, Cointegration, and Support Vector Machine
models. Tested on various asset pairs: GS/BAC, MS/GS, AAPL/MSFT, GOOG/ORCL etc.
On the Effectiveness of Technical Analysis in the Chinese Futures Market (Undergraduate Thesis) Beijing
• Designed a systematic trading strategy based on the Dynamic Time Warping algorithm. Used this strategy to verify
that technical analysis is more capable of identifying bearish signals in the given markets.
SKILLS
• Coding & Apps: Python, SQL, R, Java, Matlab, VBA, Stata, SAS, Bloomberg Terminal.
• Certifications: CFA Level I, Bloomberg Market Concepts (BMC) Certification.
• Languages: Mandarin (native).
Yik Sing Huang 29-22 Northern Boulevard Apt. 505, Long Island City, NY 11101
[email protected] | (646) 731-0805
EDUCATION
Columbia University
MA in Mathematics of Finance
New York, USA
Feb. 2020
• Coursework: Stochastic Processes & Applications, Programming for Quant and Comp Finance (C++),
Stochastic Methods in Finance, Non-Linear Option Pricing (Python), Numerical Methods in Finance (VBA),
Machine Learning (Python), Applied Functional Analysis, Linear Regression Models (R)
The Chinese University of Hong Kong Hong Kong, China
BS in Quantitative Finance (Second major in Mathematics) Jul. 2018
• Major GPA: 3.5/4.0, Dean’s List 2017/18
• Coursework: Fixed Income Security; Computational Finance; Derivatives Trading Strategies; Real Analysis;
Abstract Algebra; Operation Research; Numerical Analysis; Probability Theory; Mathematical Modeling;
Kinetic Theory of Rarefied Gases
• Teaching Assistant: Mathematics of Data and Network (Summer 2018)
The University of North Carolina at Chapel Hill North Carolina, USA
Exchange Program; Dean’s List 2017 Spring Jul. 2017
• Coursework: Modern Mathematical Analysis; Elementary Algebra; Complex Variables
PROFESSIONAL EXPERIENCE
Pharo Management Ltd. Hong Kong, China
Quantitative Intern Jul. 2019 – Sep. 2019
• Developed interactive Shiny and Dash applications in R and Python to visualize data and calculations
• Calculated currency swaps total return for back-testing and PNL analysis
• Implemented algorithms in scanner application that detects outliners and trading signals in the market daily
• Wrote a report about how various swap curves are built technically and their significance
Yue Tung Global Asset Management Ltd. Hong Kong, China
Equity Research Assistant Jul. 2017 – Aug. 2017
• Assisted in starting an equity hedge fund for the company; ranging from equity research to compliance
• Co-authored a weekly report for clients about important news, company analysis, fund recommendations
• Analyzed two stocks from one industry every week, by combining annual reports of the companies, equity
research reports and presented my findings to senior employees at the company meeting
• Carried out a stock analysis in both qualitative and quantitative ways
PROJECT EXPERIENCE
Undergraduate Mathematics Seminars
• Made a 3-hour presentation on Boltzmann equation to professors and students followed by a Q&A session
• Wrote an undergraduate paper on introduction to Boltzmann equation (formal deviation) and its basic
mathematical properties (Collision Invariants, Maxwellian distributions, H-Theorem).
Computational Methods for Option Pricing (C++)
• Created a robust design by encapsulating all functionality (option pricing, Greeks) into proper classes
• Implemented Monte Carlo, Finite Difference Method using data structures in STL, Boost libraries
Analysis of HIV Drug Resistance Data (R)
• Built a linear regression model to determine which mutations are associated with drug resistance
• Identified suitable data transformation by exploratory data analysis (QQ plots, residual plots, etc)
• Selected variables by comparing various stepwise methods in combination with a criterion, such as Cp, BIC
SKILLS
• Computer Skills C++ (Quantnet C++ Programming for FE certificate), MATLAB, Python, R, Excel VBA
• Languages Mandarin, Cantonese (Native), English (Fluent)
HOJOON LEE 3260 Henry Hudson Parkway 8Q, Bronx, NY 10463, +1-(917)-678-3431
Email: [email protected] / LinkedIn: www.linkedin.com/in/hjlee3000
EDUCATION
Columbia University Feb 2020
MA - Mathematics of Finance (MAFN)
◼ Relevant Coursework: Statistical Inference & Time-Series Modeling / Advanced Econometrics / Stochastic Processes
/ Stochastic Methods in Finance / Numerical Methods in Finance / (PhD) Finance Theory I / (PhD) Economic Theory III, IV
/ Hedge Fund Strategies & Risk / Trading and Modeling Derivatives / Math Methods – Financial Price Analysis
Korea University, Business School Aug 2018
BA - Business Administration & Financial Engineering
◼ GPA: 4.03/4.50
◼ Relevant Coursework: Calculus I, II / Linear Algebra I, II / Analysis I, II / Differential Equations / Mathematical Statistics
/ Regression Analysis / Multivariate Statistical Analysis / Microeconomics / Macroeconomics / Econometrics I
INDUSTRY EXPERIENCE
HC Technologies LLC, NY, USA Oct 2019 –
Quantitative Research Assistant, Trading Strategy Implementation Project
◼ Implementing momentum/statistical arbitrage strategies in Python on the commodity/currency futures market of 2011-2019
◼ Identifying volatility breakout signals with Average True Range (ATR) for each asset and dynamically constructing
portfolios with layers of entry/protective stop levels to manage risk, achieving a Sharpe ratio of up to 0.83 for 7 years
◼ Applying clustering algorithms to generate time-varying groups for each month that would improve pair selection for mean-
reversion strategy, using Johansen test to determine the hedge ratio
PROJECT EXPERIENCE
Hedge Fund Strategies & Risk Project, Columbia University Sep 2019 – Dec 2019
Price Momentum / Dispersion Strategy Implementation in the US Stock Market
◼ Reduced drawdowns of the price momentum strategy by 78.5% in Python by using forecasted volatility and dynamic
weighting based on recent finance articles with CRSP data (2000-2018) from WRDS
◼ Implemented Delta/Vega hedged portfolios for the dispersion strategy by applying PCA for parsimonious stock selection and
using component/S&P500 Index options data (2010-2015) from OptionMetrics
Real-time Algorithmic Trading System Project Sep 2019 – Dec 2019
Personal Python Project in Korea Stock Exchange
◼ Constructed a trading program using OpenAPI of Kiwoom Securities in Korea that can buy/sell stocks based on rules
◼ Received real-time events from API server with object-oriented methods and applied stock sorting/weighting algorithms to
implement independently developed strategies such as volume breakouts
Math Methods – Financial Price Analysis Project, Columbia University Mar 2019 – May 2019
Implementing Trend-following Trading Strategy in the Wheat / Bitcoin Futures Market
◼ Analyzed 5-minute data for Wheat (1982-2019) and Bitcoin (2015-2019) futures market with push-response, variance ratio
test to decide from implementing trend-following or mean-reversion trading strategies in Python
◼ Optimized on lookback period and stop loss level over 4-year training period and 3-month testing period
ACTIVITIES AND ACHIEVEMENTS
Investment and Finance Research Association (IFRA), Korea University Mar 2018 – Jun 2018
Acting member, 21st Generation
◼ Conducted corporate valuation through modeling in Excel with Discounted Cash Flow (DCF) and Comparative Analysis
◼ Presented research in English on financial products traded in the Korean market such as digital options and corporate
valuation on Koentec Co., a waste management company in Korea
◼ Study Visit to financial institutions in Hong Kong to meet practitioners at Citibank, AllianceBernstein, etc. in June 2018
Military English-Korean Translator in the Republic of Korea Army, Seoul, South Korea May 2014 – Feb 2016
Sergeant, Defense Intelligence Command
◼ Translated documents from English to Korean, and vice versa to provide military reports to senior staff
◼ Conducted yearly and quarterly translation projects with fellow members on military white papers
TECHNICAL SKILLS AND LANGUAGES
Computer Skills: Python(Advanced), R, VBA, PostgreSQL, MATLAB, Bloomberg Terminal(Certificate), Excel, PowerPoint
Foreign Language: Korean(Native)
Interests: Tennis, Soccer, Skiing
PINAKPANI MISHRA (646) 257-9440 ■ [email protected] ■ www.linkedin.com/in/pinakpani-mishra
EDUCATION
COLUMBIA UNIVERSITY
MA IN MATHEMATICS OF FINANCE (MAFN) New York, USA
(Sep'18–Feb’20) • Coursework: Introduction to Mathematics of Finance, Statistical Methods in Finance, Statistical Inference and
Time-Series Modelling, Stochastic Processes and Applications, Stochastic Methods, Numerical Methods, Multi-
Asset Portfolio Management, Modelling and Trading Derivatives, Quantitative Investment Management
VIT UNIVERSITY
B.TECH, MECHANICAL – Specialization in Energy Engineering
Vellore, India
(Jun'10–May'14)
• Relevant Coursework: Multivariable Calculus, Differential and Difference Equations, Complex Variables and
PDEs, Probability and Statistics, Applied Numerical Methods, Operations Research, Business Economics
EXPERIENCE
COLUMBIA UNIVERSITY (New York, USA) - Teaching Assistant (Jan’19 – ongoing)
• Introduction to Math-Finance and Discrete Time Models in Finance
NOMURA SERVICES INDIA PVT. LTD. (Mumbai, India) - Senior Analyst (Jul’17 – Jun’18)
• Reviewed around 800 Derivative trades involving FX, Credit, Commodity and Rates underlyings
• Built a tool using VBA to capture trade amendments and their dollar impact
CRISIL LTD. (AN S&P GLOBAL COMPANY) (Mumbai, India) - Research Analyst (Jun’14 – Jul’17)
• Reviewed around 2000 trade bookings of complex over the counter Equity and Hybrid Derivative trades to ensure
their accurate representation in Risk Management Systems saving approximately $700K
• Performed mathematical review and Back-Testing of Barrier, Asian, Basket, Cliquet, Binary, Lookback, Rainbow
Options, Interest Rate and Currency Swaps, Auto-callable products, Spreads and Range Accrual products
• Developed scenario analysis templates to model terminal payoffs
• Created Model Understanding documentation for complex booking models
• Optimized various deliverables resulting in a save of 2 FTEs
PROJECTS during MAFN
• Statistical Methods in Finance
- Analyzed a portfolio of 10 assets in R to determine the Minimum Variance Portfolio (MVP) and computed Value at
Risk (VaR), Expected Shortfall and Sharpe Ratio along with other basic descriptive statistics
- Constructed Tangency portfolio and Efficient Portfolio for target return
- Performed Principal Component Analysis and Factor Modelling to explore possibility of dimensionality reduction
- Determined best-fit Copula for the distribution
• Anomaly based optimization and research
- Researched the IPO effect, Stock Split effect and Momentum effect by analyzing publicly available data
- Studied geography (India vs US) and investment period in various industries to optimize existing anomaly-based
trading strategies.
• Construction of Hedge Fund strategy
- Created a strategy which involved trading the S&P index based on the FED rates’ changes
- Performed backtesting and implemented a Risk Management plan
COMPUTER SKILLS & OTHERS
Programming Languages: Python (NumPy, Pandas, Matplotlib), VBA, C++, R, SQL
Languages: English (fluent), German (beginner), Hindi (native), Odiya (native)
HONOURS & ACTIVITIES
• S&P Level – Bronze ACE Award for efficiently auditing the trade amendments
• CRISIL Level – R&R Award (one of the highest CRISIL Awards) for exceptional quality of trade reviews
• CRISIL Level – Best Football Player of the tournament Award
• Clubs – Member of Columbia Quant Group at CU, Energy and Environment Protection Club at VIT
• Quizzing - Represented school at the prestigious BQC (Bournvita Quiz Contest)
JONNATHAN ROMERO [email protected] • linkedin.com/jonnathan-romero • github.com/jonnathan-romero • (347) 350-0324
EDUCATION 09/19
–Present
05/17
COLUMBIA UNIVERSITY, GRADUATE SCHOOL OF ARTS & SCIENCES (PART-TIME) Master of Arts in Mathematics, Specialization in Mathematics of Finance
BARUCH COLLEGE, CITY UNIVERSITY OF NEW YORK
Bachelor of Arts in Mathematics, Summa Cum Laude
Major: Mathematics; Minor: Economics; Dean’s List; Major GPA: 3.92; GPA: 3.85
PROGRAMMING AND COMPUTING SKILLS • C++, Python, R, VBA, LaTeX, HTML, CSS, JavaScript, SQL, Excel, PowerPoint
CERTIFICATIONS • Passed CFA Level II, CFA Level III Candidate (June 2020 Exam) 05/19
FINANCIAL EXPERIENCE LAZARD ASSET MANAGEMENT, New York, NY 09/17
Quantitative/Risk Analyst, Global Quantitative Research & Risk Management –Present
• Conduct investment risk and quantitative research for fundamental and quantitative equity strategies (Long & Long/Short)
• Gather, clean, transform and analyze large sets of structured and unstructured data in Excel VBA, SQL, Python for
portfolio managers and traders
• Design, implement and back-test statistical and machine learning models to develop relative pricing models, facilitate
alpha/factor research and back-test investment ideas
• Develop and maintain quantitative tools to analyze long/short portfolios trading activity & portfolio managers’ skills
Summer Risk Analyst, Global Quantitative Research & Risk Management 5/16-8/16
• Conducted investment risk and quantitative research for Emerging Markets equity portfolios
• Designed and developed a quantitative system for summarizing firmwide risk exposures across all strategies and asset classes
CPM GROUP, New York, NY 03/15
Commodities Research Intern –05/15
QUANTITATIVE PROJECTS QUANTAMENTAL STRATEGY IMPLEMENTATION, Columbia University 11/19
• Created US market-neutral long/short equity portfolio with a Sharpe of 0.23 across 15 years
• Alpha model was a sector specific random forest model based on a rolling time frame of 10 years of monthly fundamental
data for the SP1500
• Risk model included market, growth, size, value, momentum, liquidity and industry risk factors
• Portfolio optimization targeted a volatility of 6 with gross, beta, turnover and style factor constraints
QUANTITATIVE TRADING COMPETITIONS TRADERS @ MIT TRADING COMPETITION, Cambridge, MA 11/16
6th Overall out of 50+ teams
• Created a cross currency arbitrage and equity market making trading algorithms
• Created an algorithm trading strategy that analyzed news reports
UCHICAGO MIDWEST ALGORITHMIC TRADING, Chicago, IL 04/16
2nd Overall out of 30+ teams, 1st in Options Market Making, 3rd in Cross Listed Stocks
• Created a cross-listed stock trading algorithmic
• Created an algorithmic options trading market making algorithm
RELEVANT COURSEWORK Non-Linear Option Pricing, Hedge Fund Strategies & Risk, Stochastic Calculus, Advanced Machine Learning, Applied AI
with Deeping Learning, Real Analysis, Stochastic Processes, Data Analysis for Financial Engineers, Monte Carlo, Mathematics
of Statistics, Algorithmics Computers & Programming
ACTIVITIES AND INTERESTS Co-Founder, Baruch Traders Club, Baruch College
Quant Researcher, Columbia Quant Group
Member, Society of Quantitative Analyst
Poker, Chess, Reading
LANGUAGES
Spanish (native speaker)
Violaine Roville (646) 520-8132/ +33 6 81 63 55 01
270A West 117th Street, New York, NY 10026, United States
EDUCATION AND STUDIES
Master of Mathematics in Finance: Columbia University, New York, US (September 2019 – Expected Graduation May 2020)
• Key Courses: Mathematics of Finance, Time Series Modeling, Stochastic Calculus-Applications in Finance, Risk
Management, Fixed-Income and Multi-Asset Portfolio Management, Numerical Methods in Finance, Data Analysis/Structures
• Group Projects: Implementation of three strategies in Pair Trading: Distance, Cointegration and Kalman Filter methods
Development of a Risk Calculation System taking a portfolio of stocks and options as input and computing Monte Carlo,
historical and parametric VaR and ES
• Individual Project: Construction and Management of a Fixed-Income Portfolio analysing the securities to choose and
learning how to hedge it
French graduate school of Engineering equivalent to a master’s degree, major in Applied Mathematics: Ecole des Mines de
Nancy, Nancy, France (September 2017 - June 2019)
• Key Courses: Probability, Statistics, Monte Carlo methods, Market Finance, Financial Analysis, Data Analysis, Time Series,
Machine Learning, Partial Differential Equations
Classes Préparatoires aux Grandes Ecoles: Lycée du Parc, Lyon, France (September 2015 - June 2017)
• A two-year undergraduate program for preparation to national competitive exams for admission to French most prestigious
graduate schools of engineering, equivalent to a Bachelor of Science. Major in Advanced and Applied Mathematics,
Computer Science and Physics
PROJECTS AND WORK EXPERIENCE
Natixis: Paris, France – Internship as an engineer (June 2019 - August 2019)
• Assistant to the product owners in the portfolio management application team called TWO
• Analyzed data, responded to the requests of the various business lines, tested the changes implemented by the contractors,
created an algorithm computing the default probabilities from a CDS
• Skills: communication, taking initiatives, solving problems, knowledge of the banking field (mainly of credit processes)
Research Project at the Elie Cartan Institute: Nancy, France (September 2018 – June 2019)
A year-research project on stochastic processes supervised by Coralie Fritsch (PhD).
• Studied quasi-stationary distributions derived from population dynamics
• Skills: autonomy, rigor, research
2019 School Gala: Nancy, France – Treasurer (March 2018 – February 2019)
• Managed a team of 9 people, oversaw all preparations, hired security companies, applied for subsidies, found sponsors and
partnerships, collaborated with administration's school and student association, managed a 20,000€ budget
Collegium LINP: Nancy, France – Delegate (January 2017 – June 2019)
Committee including 11 schools of engineering in Nancy or Metz (Lorraine, FR).
• Fixed budget and agreed on common courses, activities and events
Research Project in Portfolio Optimization: Jump Technology, Nancy, France (November 2018)
• Studied the modern portfolio theory and created an algorithm to optimize a portfolio with constraints
Grad’s Photography: Arizona, US – Internship as an operator (February 2018)
• Photo packaging, quality control, data entry
SKILLS AND INTERESTS
• Languages skills: French (Native), English (Fluent), German (Intermediate), Italian (Basic skills)
• IT Skills: Python, Matlab, R, Excel VBA, SQL, Microsoft Word, Excel, PowerPoint, LateX, Bloomberg Terminal
• Badminton and climbing in competition, university teams and clubs, volleyball in university team, skiing, running
SANCHI SHAH 503 W 122nd St, New York, NY, 10027, USA | +1-(347)-383-3656
LinkedIn | [email protected]
EDUCATION Columbia University Sep' 18 – Feb’ 20MA, Mathematical Finance New York, USA
Coursework: Hedge Fund Strategies & Risk, Multi-Asset Portfolio Management, Game Theory, Statistical Inference & Time Series Modeling, Stochastic Models in Finance, Numerical Methods, Quantitative Methods in Investment Management, Modeling and Trading Derivatives
University of Mumbai Jul’ 14 – Jun’ 18
B.Eng., Computer Science with First Class Mumbai, India
Coursework: Machine Learning, Artificial Intelligence, Data Mining, Analysis of Algorithms, Database Management Systems, Object Oriented Programming, Structured Programming, Data Structures, Operations Research, Software Engineering, System Programming
CFA (Chartered Financial Analyst) Level I Candidate Jun’20 (expected)
FRM (Financial Risk Management) Level II Candidate May’19(expected)
ACET (Entrance level examination for Actuarial Science) with Distinction Jun’ 15
RESEARCH PROJECTS Hedge Fund Trading Strategies, Columbia University Aug ’18- Dec ’18
• Implemented crack spread mean reversion trading strategy in Python, tracking most active future contracts and effects of rollover
• Executed Fallen Angels trading strategy in Python for 60 downgraded S&P500 corporate bonds, achieving a Sharpe ratio of 0.8
• Executed and presented FX Value trading strategy on 3 overvalued and 3 undervalued currencies, achieving a Sharpe ratio of 0.35
• Implemented Merger Arbitrage strategy for all stock for stock and cash for stock mergers since 2010
Predictive Modeling in Insurance Sector, University of Mumbai Jul ‘17- May ’18
• Used machine learning to recommend optimal insurance policy tailored for customer segments using 500K historical data-points
• Utilized Recursive Feature Elimination in logistic regression to select 48 features which explained the maximum variance
• Deployed K-means clustering (43% accuracy), decision trees (71% accuracy) and random forest models (79% accuracy)
• Performed 10-fold cross validation and hyper parameter tuning to choose the most appropriate model
Decision Making under Uncertainty and Risk, University of Mumbai Sep ‘17- Mar ‘18
• Determined optimal capital allocation for a construction company by modeling profitability of prospective real estate projects
• Implemented probability distributions using Monte Carlo Simulation and performed sensitivity analysis for obtained results
WORK EXPERIENCE Data Analyst Intern, Indian Institute of Technology (IIT) Bombay, Mumbai, India Jul ’17- Dec ’17
• Conceptualized and developed an online stylist recommendation system by implementing Convolutional Neural Networks (CNN)
• Utilized TensorFlow library and OpenCV python library to evaluate body types and skin color based on user’s input image
• Domains and Technologies used: Data Analysis, Image Processing, Python, OpenCV and APIs
Investment Banking Intern (Mergers and Acquisitions), Axis Capital, Mumbai, India May ‘17- Jun ’17
• Valued and presented 2 opportunities in materials sector with a market cap under USD 1bn to a prospective acquirer
• Performed discounted cash flows, precedent transactions, comparable company analysis and multiples for aforementioned valuations
• Identified and presented 4 targets in the financials space on basis of criteria such as book size, PE investment, etc. to potential clients
Website Development Intern, Activate Dimensions, Mumbai, India Aug ‘16- Nov ‘16
• Developed the official website of Parinee Realty Pvt. Ltd. www.parineei.com and a corporate website for the client www.parinee.com
Financial Accounting Tutor, Columbia University Jan’19 – May’19
• Tutored five under graduate student-athletes for the financial accounting course.
CERTIFICATIONS • Technical Certifications: ISO certified C & C++, CSI & ACM certified course in Python, Microsoft Certified Associate in C# (Visual
Studio), Coursera certified Machine Learning and Reinforcement Learning in Finance Specialization
• Financial Certifications: Bl & Bombay Stock Exchange course on equity, FX & Fixed Income, NISM Equity Derivatives
TECHNICAL SKILLS Programming Languages: Python, C/C++, Java, MATLAB, ASP.NET, JavaScript, VBA
Tianling Shen435 West 119th Street #5C, New York, NY 10027
(646)-388-0871∣∣ [email protected]
EDUCATION
Columbia Universtiy New York, NY Master of Arts in Mathematics of Finance Feb 2020
· Relevant coursework: Stochastic Process, Time-series Modelling, Numerical Method in Finance, Math Methods
in Financial Analysis, Fixed Income Portfolio Management, Programming For Quantitative And ComputationalFinance(C++), Modeling and Trading Derivatives, etc.
Fudan Universtiy Shanghai, ChinaBachelor of Science in Physics; Minor in Economics June 2018
· Research Paper Published: Iron Kα line of Proca stars, JCAP 1708:014 (2017)
· Relevant Coursework: C Programming, Mathematical Physics Methods, Linear Algebra, Probability andStatistics, Econometrics, etc.
PROFESSIONAL EXPERIENCE
Axpo US (Energy Trading Firm) May 2019 - Jul. 2019Technology and Quantitative Finance Summer Intern New York, NY
· Developed and maintained trading tools using Python with Pandas, conducting analysis and verification onmarket data, risk metrics and time series
· Explored arbitrage opportunities after assembling the past FTR auctions results, which had been later adoptedby traders
· Constructed R scripts to automate the utility data extraction, transformation and loaded into the databaseafter integrity check
Shenyin & Wanguo Futures Jul. 2018 - Aug. 2018Intern, IT Department Shanghai, China
· Modified C++ demos for different quantitative trading counters to improve the service for corporate investors
ACADEMIC PROJECT
Derivatives of generic function to machine epsilon precision Dec. 2019 - Present
Improved a C++ template library that can be used to compute derivatives of any orders to machine epsilonprecision, making it support the multivariate case
· Redesigned the implementation of special functions and improved the precision significantly
Trend following strategy on Soybeans May. 2019
· Built a multithread C++ code to backtest the trend following strategy on the Soybeans futures using 5-minOHLC data from Jul 1982 to May 2019
· The parameters used were derived from the grid search on a rolling historical performance and achieved asharpe ratio of 0.37 and a profit factor of 1.15
Machine Learning in Ranking Scheme of US Securities Sept. 2018 - Apr. 2019
· Built a machine learning based ranking scheme of US stocks based on 14 fundamental indicators against the1 month forward return using past 12 month data and backtested a long/short strategy on a rolling basis
· Backtest result showed high similarity between Random Forest and XGBOOST and that the performancerelied more on the indicators chosen
Iron Kα line of Proca stars Aug. 2016 - Dec. 2016
· Calculated the spectrum of the photons received on the Earth from the reflection of the accretion disc aroundthe Proca star through a C language program
· Used the existing model for the black hole to fit the calculated spectrum and found that Proca star and theblack hole could not be distinguished using the spectrum model due to the good fitting result
SKILLS & INTERESTS
Computer Advanced: C/C++, Python, SQL, VBA, MS Office; Intermediate: R, Bloomberg, PascalInterests Soccer, Violin
YOUNG SIM [email protected] | 973.714.6729 | 155 Claremont Ave #8C2, New York, NY 10027
linkedin.com/in/jiyoungsim/ | github.com/jiyoungsim
EDUCATION
Columbia University | New York, NY February 2020
• M.A. in Mathematics; specialization in Mathematics of Finance
• Coursework: Data Science (Machine Learning), Practicum in Large-Scale Data, Data Structures (C/C++), Statistical Inference and
Time Series Modeling, Numerical Methods, Stochastic Processes, Stochastic Methods, Intro to Mathematics of Finance, Capital
Markets and Investments
Skidmore College | Saratoga Springs, NY May 2017
• B.A. in Economics and Mathematics
• Honors/Awards: Mathematical Association of America Student Award; Best Paper Award, Ted Winnowski Student Conference in
Business; Weiss Memorial Award in Economics; Alumni Club Scholarship ($35,000/year); Dean’s List Honors (8 semesters);
Magna Cum Laude
• Coursework: Numerical Algorithms, Probability and Statistics, Linear Algebra, Multivariable Calculus, Math Reasoning and
Discrete Structures, Differential Equations, Intro to Analysis, Abstract Algebra, Applied Econometrics, Advanced Macroeconomic
Theory and Policy, International Trade Theory, Economics of Health and Healthcare
University of Alcalá de Henares (Study Abroad) | Alcalá, Spain January 2016 – May 2016
PROFESSIONAL EXPERIENCE
Data Intelligence Lab (Yonsei University), Research Assistant | Seoul, South Korea July 2019 – November 2019
• Built state-of-the-art neural network model combining BERT-based ranking model and DRMM using Python in group of three as a
part of research on Question-Answering
• Searched and read relevant articles to update and modify the model based on previous studies
• Trained and evaluated baseline BERT classifier and different versions of modified models using eBay data released by SIGIR
McKinsey & Company, Student Researcher | Seoul, South Korea May 2019 – June 2019 • Researched evidences from market information and data to support consultants’ ideas in the project
• Provided analytical support for the project by collecting, cleaning, and synthesizing market information and data
Korea International Trade Association (KITA), Research Intern | Seoul, South Korea June 2016
• Researched import trends of foreign importers to support domestic client exporters with successful overseas trading
• Provided market information and trade consulting service to client exporters based on data collected on export/import trends
Patrivalor Asset Management, Junior Financial Analyst | Madrid, Spain January 2016 – May 2016
• Designed and implemented data sorting programs using Excel/VBA to update and improve investment database and client database
in order to automate and streamline analytical reporting process
PROFESSIONAL/ACADEMIC PROJECTS
IBM Consumer Complaint Classification Modeling, Collaborator | New York, NY October 2019 – November 2019
• Collaborated with IBM to conduct Natural Language Processing project using Consumer Complaint Database as class group project
• Built bidirectional LSTM model in Python to predict product categories of complaints on consumer financial products
• Achieved accuracy of 72% and weighted average of f1 of 71% classifying submission issues into 47 categories
Collaborative Filtering for Recommender Systems, Group Project Leader | New York, NY November 2019
• Implemented recommender systems in Python using probabilistic matrix factorization and post-processing methods of KNN and
kernel ridge regression, based on relevant research papers
• Evaluated and compared recommender systems using RMSE and computational expenses
Face Image Classification by Emotion, Group Project Leader | New York, NY October 2019
• Built, evaluated and compared classification engines for facial emotion recognition and prediction including baseline boosted decision
stump, CNN, and soft voting classifier using Python and R programming (used rpy2 package use both Python and R interactively)
• Improved accuracy by 6.3% while reducing training time by 82.7% compared to the baseline model
SKILLS
• Languages/Frameworks/Tools: Python, C/C++, R, SQL, TensorFlow, PySpark, Keras, scikit-learn, Pandas, Unix, Git, Excel/VBA
• Technical Skills: Machine Learning, Deep Learning, Natural Language Processing, Data Analytics, Data Visualization
FOREIGN LANGUAGES/INTERESTS
• Foreign languages: Korean (fluent); Spanish (intermediate); Mandarin Chinese (basic)
• Hobbies/interests: dance (ballet, modern, jazz, and k-pop); drawing and painting; traveling
Liming Sun
342 Manhattan Ave. New York, NY, 10026 [email protected]
www.linkedin.com/in/liming-sun (929) 318-0668
EDUCATION
Columbia University
M.A. Mathematics of Finance
New York City, NY
Feb. 2020Coursework:
Advanced Programming, Hedge Fund Strategies and Risk, Modeling and Trading Strategies, Data Structure, Quant
Methods in Investment Management, Computational Finance, Time Series, Advanced Linear Regression
Purdue University, Krannert School of Management, College of Science West Lafayette, IN
Bachelor of Science Dec. 2016
Triple Major (Dual Degrees): Finance, Applied Statistics, Management GPA: 3.96/4.0
Graduated with the Highest Distinction, Dean’s List and Semester Honor for nine consecutive semesters
TECHNICAL SKILLS AND CERTIFICATIONS
Software and Programming: Python (NumPy, Pandas), C++, C, SAS, R, MATLAB, MySQL, VBA, ArcGIS
Certifications: FRM (Certified Financial Risk Manager), CFA Level II Candidate, SAS Certified Programmer
Languages: Mandarin, English
EXTRACURRICULAR ACTIVITIES
Personal Portfolio Construction
Statistical arbitrage: high-frequency pairs trading strategy
• Utilized Python to build a customized data analytics tool to perform cointegration test and data mining for S&P 500
stocks using the daily stock price data downloaded from Yahoo Finance
• Performed regression analysis on the spreads of cointegrated pairs and selected 10 best pairs (Universe) based on the
in-sample test results and pre-determined criteria (annualized return, maximum drop down, calmer ratio, etc.)
• Presented the strategy and portfolio, with the annualized return and sharp ratio of 29.1 percent and 2.3 respectively
based on the out-of-sample test, in front of the professor and hedge fund managers; scored the highest in the class
PROFESSIONAL EXPERIENCE
Quant Global Capital (Hedge Fund) New York, NY
Quantitative Analyst Jun. 2019 – Aug. 2019
• Performed data collection and security analysis to build pattern recognition models that identify attractive investment
opportunities by utilizing web scraping, MySQL and various statistical models in Python
• Conducted independent validation of trading strategies, including the assessment of conceptual soundness of models,
proper application of statistical theories and evaluation of data and assumptions
• Built models and strategies the desk would use to drive trading decisions, analyze and manage the risk of the
positions and perform back-testing
HNA Group (Fortune 200 Company) Haikou, China
International Talent Program-Financial Analyst Jan. 2017 – May 2018
• Led and participated in over $1 billion dollars security issuance projects, including company bonds, intermediate-
term notes, and industrial funds; collaborated on securities pricing, market risk analyses and cash flow projections
• Assisted the M&A team and performed industry research, company valuation (DCF, comparative analysis, etc.) and
risk analysis for 10+ target firms, successfully helping the company acquire one of the largest online payment
platforms in China (GoPay.com)
Purdue University West Lafayette, IN
Krannert Research Assistant Jun. 2016 – Sep. 2016
• Utilized Python and SQL to parse over six million lines of user data; performed data visualization using ArcGIS
• Analyzed user behavior data through different regression analysis models and developed a robust product launch
strategy for the largest group buying website in China
KEJIA TANG 120 W 105 St Apt 3K | (734) 277-0809 | [email protected]
EDUCATION COLUMBIA UNIVERSITY | M.A. in Mathematics of Finance Feb 2020 Courses: Time Series, Stochastic Process, Numerical Method, Hedge Fund Strategies, Multi-Asset Portfolio Management Position: Teaching Assistant in Statistical Inference / Time-Series Modeling STAT GR 5263 UNIVERSITY OF MICHIGAN | B.S. in Mathematics & Economics | GPA: 3.9/4.0 May 2018 Courses: Linear Algebra, Statistical Theory, Differential Equation, Financial Mathematics, Applied Modern Algebra Awards: James B. Angell Scholar (Top 0.5%) & University Honors & High Distinction EXPERIENCE COLUMBIA QUANT GROUP | Research Analyst | New York, NY Oct 2019 – Present • Estimated VAR by Historical Method, Variance-Covariance Method, Monte Carlo Simulation and GARCH Model• Traded US equities with leverage, using long/short strategy and options to hedge risk in the upward market trendHYDE PARK INVESTMENT SERVICES | Quantitative Analyst Intern | New York, NY May 2019 – Aug 2019 • Led team of 3 to innovate IndexDO based on accumulated negative sentiment, constructing investment strategy
through Python API in S&P500 and global markets, improving Sharpe ratio to 3 through SciPy optimizer• Applied Kernel Principal Component Analysis to the Dow Index and reconstructed index with 5 principal components• Implemented a trading system with classes of data generation, storage, order, position tracking and abstract strategy• Investigated a strategy in price and volume momentum, adjusting parameters to optimize frequency and winning ratio• Developed the company’s own stock market visualization platform with global macroeconomic data systematically
divided into 4 levels, researching industry competition structure and predicting trends of sectors and companiesGUOLIAN SECURITIES CO., LTD | Quantitative Analyst Intern | Wuxi, CN May 2018 – Aug 2018 • Applied Pair Trading strategy to a universe of 15 stocks in A-share stock market with transaction cost of 15 bps,
achieving Sharpe ratio of 1.06, annualized return of 19.26%, volatility of 4.95% and maximum drawdown of 6.63%• Used machine learning methods (SVM, KNN, Random Forest, K-mean) to predict trend of stock indices (CSI300,
SSE50), analyzing technical indicators (Momentum, Volume) to improve accuracy to over 60 percent• Designed an intelligent app to analyze and rate stocks on the basis of financial data and news announcementsHUATAI-PINEBRIDGE FUND MANAGEMENT | Quantitative Analyst Intern | Shanghai, CN May 2017 – Jul 2017• Optimized a sector-neutral strategy for stock picking after testing the effectiveness of PEG, ROE, EPS, GM and EBIT
using minute data, achieving an annual return of 22% (Alpha of 0.2, Sharpe ratio of 1 and Information ratio of 2)• Applied classic value and growth investment strategies to quantitative trading through adjusting specific parameters,
identifying the overall ineffectiveness due to the prevalence of event-driven strategies in China stock market• Analyzed performance of Alpha191 through Python on the condition of market-cap and sector neutral in Asia marketPROJECTGLOBAL TACTICAL ASSET ALLOCATION May 2019 • Led team of 5 to create a dynamic GTAA portfolio in universe of 10 developed countries’ MSCI equity indexes• Calculated risk model (covariance matrix) in MATLAB and R for universe with window length of 36 months• Used Excel Solver to find optimal dynamic weightings in value (B/P, E/P) and momentum factorsOPTION PRICING AND TERM STRUCTURE MODELING April 2019 • Constructed the option calculator in VBA and R, researching the correlations between Greeks and plotting the graphs• Used root solving methods (Newton, Regular falsi, Secant) to estimated implied volatility of the options in Python• Interpolated the volatility smile and term structure through linear, polynomial and cubic spline interpolation methods• Calculated option price through partial differential equation (PDE) method in comparison with market priceCOMMODITY ROLL YIELD STRATEGY Nov 2018 • Led team of 4 to back-test the commodity roll yield strategy in Python in the universe of 15 commodity futures
divided into 5 groups by the pairwise correlations, achieving an annualized return of 21.65% and a Sharpe ratio of 0.6• Adjusted the strategy through assigning linear weightings based on the magnitude of the contango and backwardationSKILLS/CERTIFICATESSoftware: Python, R, SQL, VBA, MATLAB, C/C++, Mathematica, MS Office, Bloomberg, Stata Certificates: CFA Level I Candidate, CFI Financial Modeling & Valuation Analyst (FMVA), Python (Coursera) Expertise: Risk Management, Statistical Analysis, Regression Analysis, Time Series Analysis, Monte Carlo Simulation
SUYUAN WANG 204 W 108th St., New York, NY 10025 | +1 (917) 496-7353 | [email protected] | LinkedIn
EDUCATION Columbia University in the City of New York New York, NY Master of Arts in Mathematics with a Specialization in the Mathematics of Finance Sep. 2018 - Feb. 2020 • Coursework: Stochastic Processes, Time-Series, Numerical Methods, Fixed Income, Linear Regression, Programming • Activity: Columbia Quant Group - Researcher (Class of 2020)
City University of Hong Kong Hong Kong BBA in Finance (Quantitative Finance & Risk Management Stream), First Class Honors Sep. 2014 - Jul. 2018 • Academic: 3.81/4.3 major GPA (top 5% at College of Business); Minor in Mathematics (3.88/4.3 minor GPA) • Coursework: Derivatives and Risk Management, Algorithm Trading, Quantitative Methods in Finance, Option
Pricing, Corporate Valuation, Econometrics, Probability and Statistics, Differential Equations, C++ Programming • Honors: HKSAR Government Scholarship, Dean’s List (2014 - 2017), Beta Gamma Sigma - Lifetime Membership
University of Wisconsin - Madison Madison, WI Wisconsin School of Business Exchange Program (3.91/4.0 GPA) Sep. 2016 - Dec. 2016
WORK EXPERIENCE S&P Global Ratings Hong Kong Limited Hong Kong Financial Institution Credit Summer Analyst Jun. 2019 - Aug. 2019 • Collaborated with directors in the research on China top 50 banks, providing 5 years’ statistics and data analysis for
the report China Credit Spotlight: The Coming Exit of Struggling Banks with frequent use of Bloomberg, Capital IQ • Designed schemes to detect and extract the pattern of geographic asset quality metrics using VBA • Assisted in research for commentaries on significant events in China’s banking sector, e.g. Baoshang Bank Takeover • Completed and presented an individual mock rating project for a listed bank. Applied rating methodology, credit risk
metrics and regulations of bank through preparing for and attending new rating and event-driven rating committees Fitch Ratings Ltd. Hong Kong Structured Finance Credit Summer Analyst Jul. 2018 - Aug. 2018 • Assisted the senior director and model officer of the APAC team in analytical and modeling assignments, including
consolidating RMBS credit enhancement model to incorporate the criteria for five countries in APAC • Designed VBA algorithm to produce automatic amortization schedule for RMBS products with 50k+ loans • Monitored outstanding transactions and reviewed committee template papers with analysts across the region
Zhongda Futures Co., Ltd. Hangzhou, China Asset Management Summer Intern Jun. 2017 - Aug. 2017 • Collaborated with the Financial Product Team, assisting in the hedge fund of funds portfolio management • Analyzed the performance of 47 sub-funds under 16 strategies, and composed weekly reports on derivatives market • Wrote Python algorithms for MA and BIAS investment strategy, and performed back-testing and effect analysis • Conducted regular research and data consolidation on latest IPO stocks, calculated profits for offline allotment
Industrial Securities Co., Ltd. Nanjing, China Investment Banking Summer Intern Jun. 2016 - Aug. 2016 • Worked with the IPO Project Team, assisting in the due diligence for an e-commerce firm and the client interviews • Completed the financial verification for the last 3 years’ selling expenses of RMB 120M and relevant contracts
ACADEMIC PROJECTS Price Series Analysis and VaR Calculation (Python) Feb. 2019 - May. 2019 • Used Pandas to compute exponentially weighted statistics stock price series, computed variance-covariance matrix • Implemented parametric and historical and Monte Carlo methods to calculate portfolio VaR and Expected Shortfall
Numerical Methods in Option Pricing and Implied Volatility Calculation (VBA) Jan. 2019 - May. 2019 • Built FX option pricing model using BSM and PDE method. Used the model to generate and analyze greeks graphs • Designed algorithms to interpolate vol smile and calculate implied vol in Newton, Regula Falsi and Secant methods
Exotic Option Pricing Based on Crude Heston Model (VBA) Apr. 2018 • Designed VBA algorithm to implement the Heston Model simulation for pricing a double-barrier knock-in option
Hong Kong Undergraduate Financial Planners of the Year Award 2017 - Certificate of Merit (top 15%) Oct. 2017 • Applied wealth management strategies to compose a flexible financial plan for a case supported by data analysis
Algorithmic Trading Project (VBA) Feb. 2017 - Apr. 2017 • Designed algorithmic trading strategies for arbitrage and market making, which kept showing a positive and growing
return in 100+ runs of simulation. Established and demonstrated a controllable Excel platform for data monitoring
SKILLS Programming & Software: Python, R, VBA, C++, SQL, Bloomberg, Capital IQ, Wind, Excel, PowerPoint Certificates: CFA Level II candidate, FRM Part II candidate Leadership: President of City University Chinese Orchestra, organized concert at City Hall and initiated overseas study tour Languages: English (Fluent), Mandarin (Native), Cantonese (Conversational)
XIUWEN WU (310)890-7396 | [email protected] | 235 W 48th ST, New York, NY
EDUCATION
Columbia University
MA in Mathematics in Finance
New York, NY
09/2018 -02/2020 Selected Courses: Mathematics in Finance, Stochastics Process, Financial Risk Management & Regulation,
Programming for Quantitative and Computational Finance, Multi-Asset Portfolio Management, Numerical Methods inFinance, Math Finance Practitioner, Capital Markets, Fixed Income Portfolio Management.
Columbia Quant Group Analyst
University of California, Los Angeles (UCLA) Los Angeles, CA BS in Financial Actuarial Mathematic GPA: 3.83 09/2014 - 06/2018 With Dean Honors List and Cum Laude Selected Courses: Probability Theory, Analysis, Financial Mathematics, Actuarial Model, Econometrics, etc.
University of Cambridge Cambridge, UK Exchange Program GPA: 3.80 07/2017- 08/2017 Selected Courses: Advanced Microeconomic Theory, Industrial Organization, Finance & Quantitative Analysis
EXPERIENCE
China International Capital Corporation(CICC) -Beijing, China Risk Management Intern 06/2019 - 08/2019 Participated in the development of the Firm Risk Management System(FRMS), assisted in developing VaR( Value at
Risk) Engine function and EL/UL calculation; Compiled the VBA code for Weekly Transaction Report template, Weekly Margin Account Report template and
Historical VaR Calculation tool to improve the working efficiency and accuracy; Applied VBA to compile the data of bond converting rates of companies from different industries, analyzed the factors
that affect the volatility of converting rates.
Ernst & Young Advisory - Tianjin, China Financial Risk Management (FRM) Intern 08/2017- 09/2017 Reviewed regulatory research papers of both the China Banking Regulatory Commission (CBRC) and other sources; Collaborated with the manager on a FRM project on commercial bank mortgages, evaluated default probability and
forecasted potential loss rates, and assisted with stress tests under different scenarios;
China Bohai Bank, Headquarter – Tianjin, China Summer Business Analyst 07/2015 - 09/2015 Engaged in development of a new credit card product aimed at college students; Performed cost-benefit analysis on new credit card products, assessed feasibility and assisted with data analysis to
forecast potential subscription and profitability.
PROJECTS
Fixed Income Portfolio Management 09/2019 - 11/2019 Given a hypothetical amount of $500 million and a sets of limits (VaR, DV01, CS01 and issuer limits), constructed a
diversified fixed income portfolio; Applied appropriate strategies (Short-selling, Euro-Dollar Futures, Butterfly strategy, etc,.) to hedge interest rate risks
and to comply with the limits throughout the semester, compared P&Ls and analyzed the effectiveness of thestrategies.
Multi-Asset Portfolio Project—Dynamic Two-Factor GTAA With 1% Risk 04/2019 - 05/2019 Calculated the monthly returns of the value portfolio and the momentum portfolio, separately. Set the target volatility to determine the weight for the momentum and value portfolios in the dynamically weighted
portfolio. The static benchmark portfolio is calculated with equal weights on momentum and value portfolios; The results indicate that the duality and negative correlation of momentum and value factors allow the dynamic
portfolio to further hedge risk. Back-test results show that the target volatility of 18% produces optimal result.
Project of FoF (Funds of Funds) on Smart Beta ETFs 12/2018 - 12/2018 Constructed FoF using Smart Beta ETFs strategies, analyzed its performance and reflected on possible improvements
of the strategies; Implemented the strategy by downloading data of 19 selected ETFs starting from Jan 2010 to Nov 2018 from Yahoo
Finance, and identified the potential risk exposures. Concluded that the method of Momentum & Minimum Volatilityis the best because it has the second highest return with reasonable standard deviation and maximum drawdown.
Risk Calculation Value at Risk (VaR) System (Python) 11/2018 - 12/2018 Developed VaR risk calculation system for a user specific portfolio of stocks and options positions; Computed Monte Carlo, historical and parametric VaR and compared their performances; Back-tested the system by using historical stock prices, implied volatility of options and sensitivity test; Written necessary documentations including model documentation, software design documentation and test plan.
SKILLS & QUALIFICATIONS Computer & Statistical skills: VBA, Python, Bloomberg, Matlab
Qualification: Society of Actuaries (SOA) Exam P & Exam FM, FRM Part I passed, FRM part II in progress(November) Language: Mandarin, English, French
RUNKUN (VINCENT) XIE 444 Washington Blvd, Jersey City, NJ 07310 | (929) 210-1433 | [email protected] | www.linkedin.com/in/runkunxie
EDUCATION Columbia University, New York, NY Feb 2020 � MA in Mathematics of Finance� Coursework: Stochastic Calculus, Numerical Analysis, Non-linear Option Pricing, Time-Series Modeling; Deep Learning,
Signal Processing, Algorithm Analysis; Derivatives Modeling, Fixed Income Portfolio, Financial Risk Management� Awards & Associations: Davis Fellowship; Quantitative Analyst at Columbia Quant Group
Central University of Finance and Economics, Beijing Jun 2018 � BE in Financial Engineering, GPA: 3.87/4.00� Coursework: Differential Equations, Real Analysis; C++, Data Structure, Database; Financial Engineering, Econometrics
University of Michigan, Ann Arbor, MI Aug 2016 � Summer Program in Quantitative Methods of Social Research, GPA: 4.00/4.00� Coursework: Advanced Time Series Analysis, Simultaneous Equation Models, Regression Analysis
EXPERIENCES Wisdom Capital Asset Management Nov 2019 – Mar 2020 Quantitative Trader/Researcher Intern New York, NY � Quant Analytics: processed daily data of 31 underlying assets using Python, built and maintained VBA models for the
auto-analysis of the underlying assets, calculated technical indicators, return dispersions, and other statistics� Quant Trading: extended the existing strategy from index options to commodity futures options, traded weekly options on
Trader Workstation, monitored portfolio risk and performance, joined client meeting and assisted in strategy presentationsHuatai Securities (China’s top 5 investment bank) Jun 2019 – Aug 2019 Quantitative Researcher Intern, Financial Engineering Group Beijing � Strategy Development: refined and modified the company’s Cyclical Asset Allocation Strategy (by investment timing,
weight adjustment, and risk control), tested parameter sensitivity, and improved its Sharpe Ratio from 1.44 to 1.86� Technical Overview: extracted cyclical information from asset signals by Gaussian Filter and Fourier Transform,
synthesized asset signals and generated cycle factors on certain frequencies using SUMPLE algorithm� Quant Modeling: applied Random Forest and other Machine Learning techniques to the asset allocation strategy, estimated
the non-linear relationship between assets’ year-over-year return and cycle factors, and increased prediction accuracy by 5%China Galaxy Securities Feb 2018 – Jun 2018 Quantitative Developer/Researcher Intern, Derivatives Group Beijing � Quant Development: implemented a backtest system for alpha exploration and strategy development using Python� Strategy Development: built a market- and sector-neutral multi-factor strategy, and achieved 2.09 Sharpe Ratio� Quant Modeling: implemented Barra Model, generated factors using Principal Component Analysis, estimated factor
return by Cross-sectional Regression and GARCH model, and optimized portfolio weights using Convex Optimization� Alpha Research: tested short- and mid-term interday-alphas in “101 Formulaic Alphas” project
China International Capital Corp (China’s top 2 investment bank) Oct 2017 – Jan 2018 Quantitative Analyst Intern, Wealth Management Group Beijing � Quant Modeling: conducted risk attribution analysis using Barra Model, analyzed the performance sustainability of hedge
funds by Transition Matrix, and carried out performance attribution analysis using Brinson Model� Quant Analytics: tracked holdings and P&L of 47 hedge funds, evaluated their risks and performances through various
metrics using VBA, and generated weekly reports for clientsPROJECTS Neural Networks and Deep Learning, Columbia University Oct 2019 – Dec 2019 � Deep Learning: built neural network structure, optimization and regularization algorithms from scratch, applied
convolutional and recurrent neural networks to image classification and machine translation problems� Course Project: built a CNN to recognize multi-digit numbers from satellite imagery, and achieve 86.02% accuracy
Non-linear Option Pricing, Columbia University Feb 2019 – May 2019 � Derivatives Valuation: applied non-linear PDE model to tackle derivative pricing and evaluation problems� Course Project: American option pricing using Longstaff-Schwartz and TVR methods, portfolio optimization based on
HJB equation and Backward SDE, and implied volatility estimation by Stochastic Local Volatility modelSKILLS & INTERESTS � Programming Language: Python (NumPy, Pandas, SciPy, Scikit-learn, SQLpy, TensorFlow), C/C++, VBA; Database:
MySQL, Oracle; Mathematical Computation: MATLAB, R, SAS; Big Data: Spark, Hive; Web Programming: React� Certificates & Associations: CFA Level ⅠI, FRM Level Ⅰ; member of GARP, IAQF; Deep Learning (Coursera)� Interests: Tennis, Jogging, Guitar
Qixiao (Diana) Zhang 206 W 109th St, New York, NY, 10025 | +1 929-810-7487 | +86 13681011103 | [email protected]
EDUCATION Columbia University | NY, USA Sep. 2018 - Feb. 2020 M.A. in Mathematics of Finance Courses: Modeling and Trading Derivatives, Statistical Methods in Finance, Hedge Fund Strategies, Stochastic Methods in Finance,
Multi-Asset Portfolio Management, Earnings Quality and Fundamental Analysis, Time Series Modeling, Capital MarketsThe Chinese University of Hong Kong (CUHK) | Hong Kong Sep. 2014 - Jul. 2018 B.Sc. in Quantitative Finance Minor in Mathematics, Statistics Courses: Investment, Financial Statement Analysis, Fixed Income, Derivatives, Computer Principles, Business Information System Awards: Talent Development Scholarship (HKSAR Govt), Master’s List, Morningside Academic Scholarship (for 3 years)University of Michigan - Stephen M. Ross School of Business | MI, USA | Academic Exchange Jan. 2017 - Apr. 2017
PROFESSIONAL EXPERIENCECITIC Capital (Top Chinese Private Equity Firm) | Private Equity Intern | Shanghai, China Jun. 2019 - Aug. 2019 Built the operating model for a company to exit by deeply researching on its different segments of business; analyzed the
relationship between ROE and P/B for its comps and found exiting multiple; estimated the return for potential investor Drafted Initial Deal Summary (IDS) for a life insurance company by boiling down the industry, summarizing investment thesis
and risk, studying precedent transactions and completing comparable analysis to help evaluate the companyChina Renaissance (Top Chinese Investment Bank) | Investment Banking Intern | Beijing, China Jun. 2017 - Aug. 2017 Produced and presented a 107-page medical industry analysis on trends, potential areas, key companies and investment plans by
researching the macro situation and analyzing extensive data (my analysis was served as the company’s internal guide) Promoted a listed pharmaceutical company’s strategic investment project and collaborated with the team to optimize proposalsCapital Securities | Risk Management Intern | Beijing, China Jun. 2016 - Jul. 2016 Monitored and forecasted the risk of the company’s portfolio, singled out risky assets, drafted daily and monthly risk reports Consolidated critical macroeconomic and financial news and risk events, analyzed their effects and wrote analytical reportsThe Export-Import Bank of China | Credit Business Intern | Beijing, China Jul. 2015 - Aug. 2015 Rated two state-owned enterprises by analyzing financial statements and case reports, finished due diligence reports, mainly
focused on their debt-paying ability, operating capacity, profitability, risk, and previous credit records
PROJECT EXPERIENCEPortfolio Construction and Analysis (R, Excel) | Statistical Methods in Finance | Columbia University Dec. 2018 Established well-diversified portfolios under different situations using 11 most liquid S&P 500 sector ETFs and conducted analysisStructured Product Designing | Derivatives Trading: Analysis and Strategies | CUHK Oct. 2017 Designed a 3-month maturity 95% principal protected equity-linked structured product individually using butterfly spread and
bond; analyzed structuring logic, product payoff, and conducted back tests; the product reached the best scenario at maturityMovie Data Analysis (Python, Power BI, Excel) | Business Information Systems | CUHK Nov. 2016 Analyzed and visualized a dataset about movies containing 12,793 records on 462 movies, found several business insightsJ.P. Morgan Asset Management Challenge (AMC) 2016 | Hong Kong Mar. 2016 Recommended strategic and tactical asset allocations with different assets; constructed investable portfolios with J.P. Morgan funds
LEADERSHIP & EXTRACURRICULAR ACTIVITIESMainland Undergraduate Association (MUA), CUHK | External Vice President May. 2015 - Apr. 2016 Negotiated with sponsors and obtained funding worth of HKD 107,500; connected with 12 different universities Managed Orientation Camp for 320 mainland freshmen for 8 days, including leading 100+ volunteers to organize 3 activitiesFujia (Voluntary Service Organization) | Program-Developing Executive Officer Sep. 2014 - Jun. 2015 Led 13 volunteers, organized 10 events for children from migrant worker families in the span of two semesters
SKILLS & INTERESTS Language skills: Mandarin (native), English (fluent), Cantonese (fluent); TOEFL: 112/120 Computer skills: R, VBA, Python, Power BI, Excel, PowerPoint, Word, Bloomberg, Capital IQ, Thomson Reuters Others: CFA level II candidate; STEM OPT available Interests: Tae Kwon Do (red belt), Chorus (First Prize of Beijing Choral Performance), Traveling, Watching sports games
