Leyuan Jiang Email & Phone Number

New York

Beijing, China

1） Designed momentum strategy based on risk-parity model, constructed backtest framework using MATLAB in search of best factor and parameter, achieved 6.13% annual return and 1.24 Sharpe ratio under 5%/year volatility control 2） Read paper from Journal of Financial Economics to reproduce Cross-asset time series momentum strategy using Python and MATLAB, verified conclusions from the paper and achieved 8.82% annual return with 10%/year volatility control 3） Drafted 4 in-depth research report on Chinese ETF market, PE fund products and economic cycle with team

Beijing, China

1) Built genetic planning algorithm framework for alpha factor digging based on gplearn package, introduced time series functions to expanded function sets, modified and constructed fitness functions to improve performance2) Read 5 frontier papers on trend-filtering and multi-testing, presented summary report to upper management3) Conducted data-cleaning on minutes trading-data of commodity futures using Python, optimized algorithm by introducing numba/joblib/multiprocessing packages, improved efficiency by 60%

Beijing

1) Analyzed ABS (Asset Backed Security) underlying assets’ cash flows using Python; designed cash flow structure for 2 products; established self-updated program for both first & secondary markets2) Developed Python programs for asset-management operations to allocate P&L and leverage hedging strategies, improved efficiency by 15%, outcomes capable for further utilization3) Aided in the development of treasury bond futures trading strategy, created monitor program based on real-time market data excavation and basis difference for a mean reversion strategy execution

Beijing

1) Researched the multi-factor model, performed layered regression tests, IC analysis on A-share market, developed 15 pages summary report and 5 pages hedging strategy report, both utilized by manager2) Performed analysis towards trading data of CSI300 Index, CSI500 Index and its components, applied historical regression to identify causal factors of market volatility and forecast future trends

Beijing

Performed due diligence, participated heavily in issuance of 10 billion exchangeable bonds and 10 billion financial bonds; Led a team to do data analysis on an ABS of CRPGL

Master Of Science - Ms, Financial Engineering

Bachelor Of Engineering - Be, Materials Engineering, Top 10%

Relevant Courses: Mathematics// Calculus Linear Algebra Probability & Statistics Applied Stochastic Processes Applied Statistics and Data.

Bachelor'S Degree, Economics, Top10%

Relevant Courses: Finance// Microeconomics Macroeconomics Econometrics Financial Engineering Investment Financial Institutions Fixed.

中学, Top1%