- Optimal execution, Feb 2018 - Jul 2018
- Presented and facilitated discussion during three China International Capital Corporation meetings to present our proposal and research outcomes to Managing Directors, Executive Directors, and Analysts.
- Conducted research on financial and commodity futures using Deep Learning. I implemented Temporal Convolutional Networks and Long Short Term Memory Networks for classification problems in finance. For limited order book data, I designed an environment to mimic the historical market to train and test our reinforcement algorithm. of Intelligent Finance
“Artificial Intelligence in Finance”, Apr 2017 - Feb 2018
- one is using multiple layers of stacked Long Short Term Memory Networks to conduct jump detections among 11 global stock market indexes in both developed and emerging markets in US, China, Hong Kong, Taiwan, Japan, UK, Germany, and Israel.
- 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, including Monte Carlo simulation for the future.
- Quantitative Investment, Feb 2016 - Apr 2017
- Conducted investment research on trading strategies and risk management. Usually, the results persuaded us to rethink our rationale and redesign models. My research involved the use of widely used and customizable tools through basic trading indicators statistical models (univariate and multivariate GARCHs) and traditional machine learning techniques. For risk management, jump detection tools were used to capture the frequency of detected jumps.
- Designed pattern recognition algorithms, including one class that uses a rule-based algorithm to find specific intraday patterns (e.g., stair-shape) or daily patterns (e.g., cup-shape). I also designed a high-level algorithm class to find similar patterns with scores based on a hybrid method of Hidden Markov Models and traditional clustering methods.
- performed data maintenance by downloading and backing up all transaction data (one-minute bar) for the mainland stocks and commodity markets
- Fund of Funds, Apr 2016 - Oct 2016
- Gave investment research support to the Fund of Funds.
- Designed and implemented a fund scoring system to select qualified listed funds in the mainland financial markets.