Menglu (Serena) Cao

Menglu (Serena) Cao Email and Phone Number

Vice President – Corporate Equity Derivatives Quant @ Citi
New York, NY, US
Menglu (Serena) Cao's Location
New York, New York, United States, United States
Menglu (Serena) Cao's Contact Details

Menglu (Serena) Cao work email

Menglu (Serena) Cao personal email

n/a
About Menglu (Serena) Cao

• Passionate about quant finance, especially market making, algo trading & alpha capturing• Solid background in statistics, math, finance & coding (C++, Python, R, Java, SQL, Excel VBA)• Practical experience with web scraping, data mining and machine learning• Proactive, detail-oriented team player with excellent communication skills & critical thinking

Menglu (Serena) Cao's Current Company Details
Citi

Citi

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Vice President – Corporate Equity Derivatives Quant
New York, NY, US
Website:
citibank.com
Employees:
10
Menglu (Serena) Cao Work Experience Details
  • Citi
    Vice President – Corporate Equity Derivatives Quant
    Citi
    New York, Ny, Us
    View
  • Citi
    Equity Derivatives Quant – Strategic Equity Solutions (Ses)
    Citi Oct 2021 - Present
    New York, New York, Us
    • Enhance share buyback program modelling• Implement flexible framework to represent margin loan trades in C++ library • Develop pricing models for contractual bookings (tranche, composite, dividend protection, etc.)• Develop desk tools to falicitate risk management, including live stressing tool and PnL attribution analysis
    View
  • Citi
    Fixed Income Beta Algo Trader
    Citi Jan 2021 - Sep 2021
    New York, New York, Us
    • Bond ETF creation / redemption
    View
  • Citi
    Equity Derivatives Quant – Citi Investment Strategies (Cis)
    Citi Mar 2019 - Jan 2021
    New York, New York, Us
    • Developed pricing models for exotic derivatives on QIS indices in C++ library
    View
  • Courant Institute Of Mathematical Sciences
    Teaching Assistant
    Courant Institute Of Mathematical Sciences Sep 2017 - Dec 2018
    New York, New York, Us
    Led weekly recitations & office hours• Fall 2018: Risk and Portfolio Management with Econometrics (graduate course); Algebra & Calculus• Spring 2018: Theory of Probability• Fall 2017: Mathematics of Finance
    View
  • Citi
    Abs Strategy Quant Researcher
    Citi Jun 2018 - Aug 2018
    New York, New York, Us
    • Fitted autoregressive distributed lag model to predict credit card loan ABS charge-off rate and applied least angle regression with cross-validation for feature selection in Python• Constructed generic auto-updating database and performance analysis tool with visualization functionality for consumer loan ABS using Excel VBA, SQL and Bloomberg
    View
  • Shanghai Jingzeng Asset Management Company
    Summer Quantitative Analyst
    Shanghai Jingzeng Asset Management Company May 2017 - Aug 2017
    • Collected and processed China A-shares and H-shares’ historical prices, corporate financial data (e.g. P/E, P/B, ROE) and block trade data using SQL• Modelled price volatility and calculated price percentile in given time periods using R• Built analytical tools with real-time information to help traders with stock picking
  • Nanjing Securities Co. Ltd.
    Quantitative Research Spring Analyst
    Nanjing Securities Co. Ltd. Mar 2017 - May 2017
    • Designed cointegration-based pairs trading strategy for gold ETFs and futures using MATLAB• Built factor valuation model to estimate factor’s profitability using linear regression• Developed multi-factor rotation strategy for stock selection; portfolio achieved Sharpe of 2.89 in 10-year back-testing
    View
  • Donghua Futures Co., Ltd.
    Equity Quant Summer Analyst
    Donghua Futures Co., Ltd. Jun 2016 - Aug 2016
    • Developed mean-reversion strategies for ETF and Stock Index Futures• Researched and implemented DCC-GARCH model to calculate hedge ratio of China 50 ETF and SSE 50 index futures using MATLAB• Conducted quantitative empirical analysis on multi-style rotation strategies for China stock index futures

Menglu (Serena) Cao Skills

C++ R Matlab Python Java Sql Sas Mathematics Statistics Microsoft Excel Xml Spss Data Analysis Financial Modeling Public Speaking Optimization Data Mining Time Series Analysis Machine Learning Team Leadership Wind Stochastic Processes Quantitative Finance Monte Carlo Simulation Visual Basic For Applications Bloomberg

Menglu (Serena) Cao Education Details

  • New York University
    New York University
    Mathematics In Finance
  • Nanjing University
    Nanjing University
    Mathematics And Statistics
  • University Of California, Berkeley
    University Of California, Berkeley
    Mathematics And Statistics
  • High School Affiliated To Nanjing Normal University
    High School Affiliated To Nanjing Normal University
    Science: Physics & Chemistry Track

Frequently Asked Questions about Menglu (Serena) Cao

What company does Menglu (Serena) Cao work for?

Menglu (Serena) Cao works for Citi

What is Menglu (Serena) Cao's role at the current company?

Menglu (Serena) Cao's current role is Vice President – Corporate Equity Derivatives Quant.

What is Menglu (Serena) Cao's email address?

Menglu (Serena) Cao's email address is se****@****nyu.edu

What schools did Menglu (Serena) Cao attend?

Menglu (Serena) Cao attended New York University, Nanjing University, University Of California, Berkeley, High School Affiliated To Nanjing Normal University.

What skills is Menglu (Serena) Cao known for?

Menglu (Serena) Cao has skills like C++, R, Matlab, Python, Java, Sql, Sas, Mathematics, Statistics, Microsoft Excel, Xml, Spss.

Who are Menglu (Serena) Cao's colleagues?

Menglu (Serena) Cao's colleagues are Deepti Rachna Kujur, Ankit Sharma, Vinayak Pillai, Arpita Banerjee, Yeon Kim, Pmp, Senad H. Arnautovic, Valerie Dahmen.

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