Shen Wang Email & Phone Number

Kaggle : Jane Street Market Prediction Top1% (27/4245)Kaggle : Mechanisms of Action Prediction Top1% (42/4347)

Shanghai, China

High-frequency proprietary trading (2-ticks level)

Shanghai, China

中国 上海

• Developed Alpha factors using China stock market abnormal signals in pre-market call auction stage. • Built a strategy backtesting framework for single factor analysis and strategy performance analysis.• Designed T+0 strategy with an average annual return of 107% and an average annual maximum callback of 9.68%

Hong Kong

• Developed machine learning models to separate top and bottom signals of tick data from trade stocks.• Transformed 72 high correlated variables into 14 uncorrelated variables by PCA for 1 million stock transactions. Implemented and evaluated various models, including Logistic Regression, Gaussian Mixture and Quadratic Discriminant Analysis on a real-world dataset.• Implemented Semi-Supervised Learning to reinforce generalization ability, increasing win ratio from 53% to 59%.