CV

Work experience

• May 2022 - Dec 2022: Quantitative Analyst (Intern.), Bosera Asset Management Co., Limited., China
  • Build a set of deep learning frameworks from scratch, related tools: Python, PyTorch, MSSQL, WIND database.
  • Deep multifactor model: develop a deep cross-sectional multifactor model that incorporates financial insights and stock relationships on a dynamic and multi-relational graph in the task of factoring investing, learning a deep factor from hundreds of style factors, as well as interpreting the portion of the quantity that comes from the original input factors.
  • Deep risk model: develop a deep learning counterpart to Barra risk models.
  • Intraday data mining. Tentatively mining style factors from high-frequency data.
• Feb 2018 - Jul 2018: Research Intern., SenseTime Group Limited, Hong Kong SAR
  • Duties included: research on financial and commodity futures using Deep Learning under Division of Intelligent Finance
  • Supervisors: Liu Chunxiao, Cao Yang
• Apr 2017 - Feb 2018: Research Assistant, The Hong Kong Polytechnic University. Hong Kong SAR
  • Duties included:
    • project titled “Artificial Intelligence in Finance”
    • Designed and implemented a multiprocessing framework that processes 30+ indicators of all A-H minute bar shares and the estimation of their regime switching models
  • Supervisor: Prof. Wong Heunng, and Prof. Cedric Yiu

Education

• Ph.D in Information Engineering, The Chinese University of Hong Kong, 2023
• M.Phil. in Applied Mathematics, The Hong Kong Polytechnic University, 2017
• B.A. in Finance and Banking, Shenzhen University, 2013

Skills

• Coding and Database Languages: Python, Matlab, R, C++, SQL
• Deep Learning Frameworks: PyTorch
• Platforms: Linux, Macintosh, Windows

• Financial Databases: Refinitiv (Reuters), FactSet, Wind, and Bloomberg

• Details
  • Highly Proficient in Python and PyTorch
  • Highly Proficient in Matlab
  • Familiar with C++ and C
  • Proficient with Windows, Mac, and Ubuntu operating systems
  • Proficient with Refinitiv, FactSet, and Wind databases

Publications

Report on the innovation and development of China’s special economic zones, Annual Report on the Development of China’s Special Economic Zones (2013)

Zhang K., Wei Z.K. (2014). "Report on the innovation and development of China's special economic zones, Annual Report on the Development of China's Special Economic Zones (2013)" Social Science Academic Press (CHINA). 68-96 (1).

Copulas-based algorithmic trading strategy and its risk measurement

Zhang K., Wei Z.K. (2014). "Copulas-based algorithmic trading strategy and its risk measurement, Statistics and Decision." Statistics and Decision. 56-58(16).

A Novel Multivariate Volatility Modeling for Risk Management in Stock Markets

Wei, Z. K., Yiu, K. F. C., Wong, H., & Chan, K. Y. (2018). "A Novel Multivariate Volatility Modeling for Risk Management in Stock Markets." International Journal of Fuzzy Systems. 1(2).

Jump Detection in Financial Time Series using Machine Learning Algorithms

Jay, F. K., Yeung, A., Wei, Z. K., Chan, K. Y., Henry, Y. K., Lau, K. F., & Yiu, C .(2019). "Jump Detection in Financial Time Series using Machine Learning Algorithms." Soft Computing. 1(1).

Awards

• Aug-2018 Postgraduate Studentship by The Chinese University of Hong Kong
• Feb-2015 Teaching Postgraduate Studentship (TPS) by The Hong Kong Polytechnic University (Granted by HKPU to graduate students on a basis of merit.)
• Aug-2013 Excellent Thesis won the third place of the “Shenzhen Cup” National Math Model Competition Summer Camp (Awarded by the Chinese Society for Industrial and Applied Mathematics)
• Jun-2013 Outstanding Graduate for the year 2013 by Shenzhen University (SZU) (top 3% students; 1st in Dept. of Fin. and Banking
• May-2013 Awarded Excellent Graduation Thesis by SZU (top 3% students)
• Nov-2012 Gained Postgraduate Recommendation by SZU (top 2% students)
• Oct-2012 The Second Prize of Academic Scholarship by SZU (top 5% students)
• Oct-2012 The Second Prize of Innovative Top Student by SZU (top 5% students)
• Sep-2011 The third place of China Undergraduate Mathematical Contest in Modeling (Guangdong)
• May-2011 The first place of Math Model Competition of SZU (top 1%)
• Nov-2011 The Top Academic Scholarship by SZU (top 1% students)
• Nov-2010 The Top Academic Scholarship by SZU (top 1% students)
• Nov-2010 The Academic Scholarship by Hong Kong Dah Sing Bank (top 3% students)