Shanghai, China
Skills: Quantitative Analysis, Machine Learning, Data Analysis, Statistics, R, Python
Equity Portfolio Trading Strategy with Advanced Financial Machine Learning o Sponsor: Shell Asset Management Company, Netherlands o Mentor: Professor Marcos Lopez de Prado, Cornell University, New York, NY • Utilized stock fundamental, macroeconomic and alternative data to build hedge fund level quantitative equity portfolio trading strategies with advanced machine learning methods like Random Forest, XGboost and SVM. • Cleansed a huge dirty stock fundamental dataset by imputing missing values, detecting inaccurate records, removing outliers, dropping duplicates and generating various visualizations. • Transformed existing features, structured new features, performed a data analysis and conducted cross validation to tune hyperparameters and to estimate test error, leveraging the platform of FactSet Data Exploration. • Constructed monthly portfolios based on our machine learning model and feature importance report, conducted an out-of-sample analysis and generated a performance attribution report.
• Cleansed, structured and analyzed CME gold futures order book data to find potential arbitrage opportunities among various sizes of gold futures, providing groundwork for Digital Gamma’s future trading strategy. • Assisted the development of Digital Gamma’s online cryptocurrency trading vender by developing unit tests. • Assessed platforms for business-client communication with advanced encryption requirements to serve Digital Gamma’s expanding business.
• Conducted industry reviews on 3 leading Chinese machinery manufacturers and wrote 3 in-depth reports that identified their individual competitive advantages to help clients make more informed investing decisions. • Delivered a comprehensive overview of long-term metro development in 30 Chinese cities and provided potential investing and research ideas through analyzing the prosperity of the railway manufacturing industry. • Collected reliable data of rapidly growing industries, such as robotics and lithium batteries, to update the institute’s database and provide high-profile clients with latest information.
• Designed instructions and arrangements for the largest annual company event hosted for the company’s biggest clients to ensure that they felt supported and well-guided. • Tracked and analyzed monthly sales data of more than 18 long-term clients and developed effective client-bonding strategies. • Translated English product manuals for over 20 lubricant products into Chinese and created easy-to-digest product handbooks to serve clients from different backgrounds.