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Quantitative Resume

New York, NY

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

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