New York city NY, US
Phone: xxx-xxx-xxxx
Email: xxx@xxxx.xxx
Looking For: quantitative analyst,
Occupation: Business and Finance
Degree: Master's Degree
Career Level: Entry Level
Languages:
Highlights:
Skills:
Web scraping by R programming 05/2016 - 06/2016
University of Wisconsin-Madison, , United States
Industry: course project
GNC 930 healthcare products price tracking
Web scraped 930 products sorted by gender and the health goals from GNC.com source code
Showed the price table of the product type users needed to look up with current price and member price
Implemented tracking the price & member price of a specific product the users searched and plot the price changing trend graph--
Quantitative analsyt 06/2015 - 08/2015
Sinolink securities co., ltd., Shanghai, China
Industry: financial service
Statistical Arbitrage Quantitative Analyst Intern 06/2015 – 08/2015
Collected and cleaned the data of Shanghai & Shenzhen 300 Index futures and stock price from Wind Financial Terminal’s Data
Simulated opening positions every trading day using Matlab, obtained implied yield series from historical prices
Formulated two basis trading strategies with open condition that the basis and implied yield are out of mean ± std respectively
Backing-tested on the historical data, detected the total capital increased by ¥100,000 from 2.5 million, max retracing rate of 5.5%, the 30% annual yield with the basis trading strategy--
option pricing modeling 09/2014 - 11/2014
University of Wisconsin-Madison, Madison, United States
Industry: course project
Numerical Analysis of Option Pricing Model 09/2014 – 11/2014
Solved linear B-S equation for European Put option with finite difference methods: Explicit Adams-Bashforth, Implicit Adams-Moulton
Inspected both methods attained the 2nd order accuracy and Implicit method obtained higher stability
Expanded to non-linear (with transaction cost) European Put option pricing model, with the higher simulated prices than linear ones.
Applied Crank-Nicolson method on Barrier option pricing, which was validated stable--
Time series analysis 09/2013 - 05/2014
Shanghai Jiaotong University, Shanghai, Shanghai China
Industry: course project
Time Series Analysis Project 09/2013 – 05/2014
Investigated the data of the SSE Composite Index over the period from year 1992 to 2015
Compared in-sample (total data) testing and partial tests in aspects of kurtosis, skewness, correlation, ARCH effect and GARCH Model
Summarised the significant difference between the distributions of the partial and entire samples using Chi-Square Test
Promoted the study of Black Swan Theory and reminded the analysts to distinguish difference in samples when using VaR model.--
Shanghai Jiaotong University 09/2011 - 06/2015
Shanghai, , China
Degree: Bachelor's Degree
Major:Applied mathematics & Finance
Shanghai Jiao Tong University (SJTU), Shanghai, China
Bachelor of Science Major: Mathematics and Applied Mathematics, Finance 09/2011 – 06/2015
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