TECHNICAL SKILLS
Programming & Software Skills: C++, Python, Java, R, Matlab, SQL, VBA, Bloomberg, Tableau
Computer Science: Algorithms, Data Structures, OOP, Design Pattern
Finance: Fixed Income, Options, Derivatives, Econometrics, Simulation, Numerical Method, Risk Management
Mathematics & Statistics: Machine Learning & Data Mining, Statistics Inference, Time Series, Stochastic Calculus
PROFESSIONAL EXPERIENCE
Confidential, New York, NY
Quantitative
Responsibilities:
- Maintenance and improvement on Beacon Quantitative Platform (similar to GS SecDB, JPM Athena, BOA Quartz)
- Added features to IDE wif Angulr.js and JavaScript, automated data transformation to AWS S3 and MongoDB
- Improved interest rate swap CVA calculation by wrapping existing Python code wif Cython, Numba and connected C++ wif Swig
- Implemented real - time risk and PNL computation using parallel computing wif grid scheduler and AWS EC2
- Built formula parser to facilitate the integration of excel application to Beacon platform
- Customized dependency graph based system to meet clients' need, created data warehouse process for financial planning & analysis process
Confidential
Alpha Research Trainee
Responsibilities:
- Automated the model validation process using Matlab to cover all possible test cases, especially the edge cases. Compared results, recorded bugs and reported to model owner
- Built models in VBA to collect and analyze data from Bloomberg
- Effectively communicated wif analysts to improve models and documented methodology specifications
Confidential
Data Scientist
Responsibilities:
- Solved data problems in Python wif scikit-learn, numpy, scipy, matplotlib, seaborn
- Handled data cleaning, exploratory data analysis and data visualization in IPython Notebook
- Built predictive and classification models using machine learning skills for high-dimensional data, conducted model fitting and cross-validation, improved model wif ensemble learning such as boosting, bootstrap and stacking
- Built text mining model wif NLTK
