CV
Education
- BEcon in Finance, University of Science and Technology of China, 2018 - 2022
- Rank: 9/56 (top 20%)
Working experience
- Feb. 2022- June. 2022: Quant Researcher Intern
- Mengxi Investment, Shanghai, China
- July. 2022- January. 2023: Quant Researcher
- Mengxi Investment, Shanghai, China
- Exploring market microstructure features that predict short term return of the futures.
- Using genetic algorithms to generate useful features for market taking strategies to make profitable trades.
- Applying various machine leaning algorithms to better predict feature returns.
- Februrary. 2023- August. 2023: Quant Researcher
- Jiuqian Investment, Shanghai, China
Teaching Experience
- Microeconomics Fall 2020 Sep.2020-Jan.2021
- Instructor: Prof. Yaping Zhou (Dept of Business Administration, USTC)
- Evaluation:4.3
- Microeconomics Fall 2021 Sep.2021-Jan.2022
- Instructor: Prof. Yaping Zhou (Dept of Business Administration, USTC)
- Evaluation:4.75
Skills
- Programming
- Python(NumPy, pandas, PyTorch, DEAP)
- R(tidyverse, Rmarkdown, base R)
- Stata
- LaTeX
Research
- Research on Chinese stock market return predictability (in Chinese)
- I investigated both in-sample and out-of-sample return predictabilities in China with various economic indicators and market anomalies.
- In-sample test showed only turnover indicator lost its predictability. For the out-of-sample predictability, most economic indicators lost their predictabilities.
- Used various machine learning methods to enhance forecast abilities. The best forecast method varied among sample periods, implying the instability of the model.
- In the full sample, the predictor average forecast produced better out-of-sample predictability against the historical average forecast consistently.
- The Effect of Audit Failure on SEC Monitoring of Peer Firm
- Examined the correlation between the SEC monitoring intensity (proxied by SEC filing request through EDGAR database) of a firm and whether the firm was audited by a “contaminated” audit office who conducted an audit failure in the same year.
- Showed that not only the firm’s own characteristic, but also its peers’ disclosures, had an impact on the monitoring intensity of SEC.
- Provided new insights about the SEC actions about target selection procedure by suggesting that SEC perceives and reacts to office-level contagion of low audit quality identified by Francis and Michas (2013).
- Effect of trade policy uncertainty on realized volatility of commodities
- Used vector-autoregression model (VAR) to identify the effect of trade policy uncertainties on the volatility of commodity prices.
- Estimated generalized Impulse Response Functions in which the shocks is included in the VAR model.
- Used orthogonalized IRFs based on VAR ordering in VAR model instead of the generalized IRFs and estimated a new bivariate VAR model to check the robustness of the result.
