quantitative portfolio manager

Portfolio manager in asset management department. Using CTA strategy and long only stock strategy on stocks and commodities in mainland market.

Quant researcher and fof/mom researcher in Asset Management Department

My main duties at Numerical Method are to design trading strategies and implement various algorithms. The programs for the strategies and the algorithms are all written in JAVA.Design trading strategies- portfolio optimization under custom constraints using second order cone programming- constructing mean reversion portfolios using Semi-definite programming - future-spot trading strategy in mainland ChinaImplement numerical algorithms in JAVA- Math: 1) QR algorithm for computing eigenvalues and eigenvectors of a symmetric matrix2) Multiple Relatively Robust Representation (MRRR) for computing eigenvectors of a symmetric tri-diagonal matrix3) Sparse Cholesky factorization - Optimization:1) SDPT3 for Semidefinite programming and Second-order cone programming2) Active set algorithm for quadratic programming- Statistics: 1) ARMA-GARCH model and estimator2) Anderson-Darling Test and Cramer-Von Mises two sample test3) Augmented Dickey–Fuller test for testing unit root

TA of the course Computational Intelligence in Financial Information System.Taught MATLAB programming on time series and neural networks.

Reduced transaction cost of trading strategy by adjusting the weights of limit order and market order, where slippages based on PWP and VWAP were used as benchmarks.Wrote C# programs to automatically generate daily slippage report using tick data from six different markets in American, Europe and Asia.Designed and implemented a window form application in C# to process error log files of daily trading.

Research on the application of Bayesian method in searching out the main Chinese traditional medicine symptoms that affect the distinction of hepatitis subspecies.