Personal Info
| Investment Management/Research Analysis/Consultant| Finance (banking/insurance/stocks &bonds/funds/futures/investment)| 7year(s) | Doctorate | North America-United States | Update Date 2008-07-05 |
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Name： ****** 此简历是高级人才简历，请点击下方按钮发邮件联系。
邮件中请注明本简历的ID号：3581。 Gender：male Date of Birth：10/1980 HuKou：United States Nationality：PRC Nationality：Han Chinese Political Background：Other Contact： |
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Self Assessment & Objective
| Self Assessment： |
• Ph.D. in Economics from a leading U.S. university • Trading strategy research experience in a U.S. based hedge fund • Developed several equity and fixed income trading strategies • Solid training in financial modeling, programming, and analysis • Software: MATLAB, R, Bloomberg, MarketQA, SQL • Database: DataStream, COMPUSTAT, Barra |
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Job Target
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Working Experience
| Experience1 | |
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| Company Name： | ****** |
| Work Date： | 02/2007—08/2008 |
| Job Title： | Quantitative Strategist |
| Location： | Stamford, CT, USA |
| Responsibilities： |
LYZ Capital Advisors is a quantitative hedge fund and ranks No. 1 among the nation’s market neutral equity funds, according to HedgeFund.net’s ranking of 2008 YTD Return. Worked closely with the portfolio manager to create and refine investment ideas/strategies. • Worked closely with the portfolio manager to create and refine investment ideas/strategies. • Designed and developed market neutral equity strategies with the aim to generate an annualized information ratio of greater than 3.0. Developed a trading strategy that establishes a strong geographical return predictability. Developed a trading strategy that predicts stock returns by use of stock price movement. Developed a trading strategy that predicts stock returns by use of tax expense. • Designed and developed yield curve trading strategies with the aim to generate an annualized information ratio of greater than 2.0. Developed a butterfly strategy that uses of a dynamic weighting framework. Developed a steepener/flattener strategy that is a joint macro-finance strategy. Developed a directional strategy that predicts the swap curve by use of Nelson-Siegel framework. |
| Experience2 | |
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| Company Name： | ****** |
| Work Date： | 08/2003—12/2006 |
| Job Title： | Instructor/TA |
| Location： | Atlanta, GA, USA |
| Responsibilities： |
Instructor (Full Responsibility) Undergraduate Courses: Introduction to Probability and Statistics, Principle of Macroeconomics Teaching Assistant Undergraduate Courses: Empirical Methods in Economics, Econometrics, Graduate Courses: Finance II (Ph.D.), Econometric Methods (Ph.D.) |
| Experience3 | |
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| Company Name： | ****** |
| Work Date： | 08/2001—05/2002 |
| Job Title： | Graduate Assistant |
| Location： | Atlanta, GA, USA |
| Responsibilities： |
Research Assistant Teaching Assistant |
| Experience4 | |
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| Company Name： | ****** |
| Work Date： | 10/2000—07/2001 |
| Job Title： | Account Executive |
| Location： | Shanghai, China |
| Responsibilities： | Worked closely with CEO to design and develop advertising media plan; Built up media pricing database; Optimized advertising budget. |
Education
Education1
| Time education： | 10/10/2000—10/10/2000 |
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| School： | Emory University |
| Degree： | Doctorate |
| Specialty： | Economics.Economics |
| Description： | RESEARCH INTERESTS: Financial Econometrics, Empirical Asset Pricing, Risk Analysis, Time Series Analysis. THESIS: "Three Essays in Financial Market Prediction" |
Education2
| Time education： | 10/10/2000—10/10/2000 |
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| School： | Middle Tennessee State University |
| Degree： | Master |
| Specialty： | Economics.Economics |
Education3
| Time education： | 10/10/2000—10/10/2000 |
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| School： | Tongji University |
| Degree： | Bachelor |
| Specialty： | Business Administration.Marketing |
Language
| Grade of English： | |
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| Oral English： | GRE |
| Spoken Level： | Fluent |
| Chinese MandarinLevel | Mother tongue |
| EnglishLevel | Fluent |
| Description Language： | ||
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Skills & Specialty
PUBLICATION
1. “Efficient Estimation of Copula-GARCH Models”, with Richard Luger, Computational Statistics & Data Analysis, Forthcoming.
2. “Balance of Payment Case”, in Ghassem Homaifar, eds. Managing Global Financial and Foreign Exchange Rate Risk, January 2004, John Wiley & Sons Inc., Hoboken, New Jersey.
DISSERTATION
Three Essays in Financial Market Prediction
1. “Efficient Estimation of Copula-GARCH Models”
• This paper proposes a more efficient iterative (fixed-point) algorithm for the maximum-likelihood estimation of copula-based GARCH models.
2. “Predictive Regressions: Method of Least Autocorrelation” (with Qi Zhu)
• This paper proposes an efficient and bias-reduced estimator to tackle the econometric difficulties inherent in the estimation of predictive regressions with highly persistent, lagged regressors.
3. “Parametric and Semi-Parametric Value-at-Risk Models: On the Way to Bias Reduction” (with Richard Luger)
• This paper proposes a two-stage VaR model to reduce the nonlinear transformation bias from GARCH models.
RESEARCH PAPERS
1. “Investment and the Stock Market: Evidence from Bayesian VAR Models” (with Yan Li), 2006
2. “Value-at-Risk Model Combination Using Artificial Neural Networks”, 2005
3. "Tobin's q, Monopoly Rent and Three-Factor Model”, 2005
4. "Optimal Geometric Mean Return Investment Strategy", 2005
HONORS /AWARDS
Emory University Graduate Fellowship and Assistantship, 2002-2007
Middle Tennessee State University Scholarship, 2001-2002
Tongji University Scholarship, 1996-1999
Chinese National Olympic Math Contest, No.1 in the city 1995