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EDUCATION

MSc, Peking University, Beijing, China, 2017(Expected)
Department of Machine Intelligence, School of Electronic Engineering and Computer Science, supervised by Prof. Zhouchen Lin

BSc, Peking University, Beijing, China, 2014
Department of Probability and Statistics, School of Mathematical Sciences

Exchange Student, Technion, Haifa, Israel, 2013
Mathematics Department and Computer Science Department

SELECTED RESEARCH PROJECTS

High-frequency Trading: Statistical Prediction on Return of Liquid Futures Contract, Key Laboratory of Machine Perception, Peking University, Beijing, China, 2015.06-2015.12
The project aims to use the features derived from millisecond transaction data to predict expected return of liquid futures contract.

• Constructed robust PCA based on the correlation among price series, volume series and open interest series to extract informative, non redundant features and then developed a prediction system relied on LASSO regression.

Trading Strategy: Arbitrage Strategy between Futures and Spots, Key Laboratory of Machine Perception, Peking University, Beijing, China, 2014.06-2015.06
The main goal of the project is to explore relationship between silver futures contracts and T+D spots contracts and make progress in algorithmic arbitrage trading. The project is in collaboration with Chance Hunt Capital Management.

• Applied local linear regressions to estimating no arbitrage price gaps and current price gaps between futures with different delivery dates and T+D spots.
• Constructed arbitrage trading signals based on the relationships between no arbitrage price gaps and current price gaps.
• Developed a trading strategy using Apama event processing system and extended the model to arbitrage between stock index futures and ETFs.

Research on Modeling Gene Regulatory Networks, Beijing International Center for Mathematical Research, Peking University, Beijing, China, 2012.04-2013.06
The whole project aims to reverse engineering tree-evolving gene networks underlying developing biological lineages via statistical models. The project is supervised by Prof. Hao Ge.

• Applied LASSO to gene selection, used the probabilistic graphical models to reconstruct gene network and made progress due to consideration of biological lineages.

HONORS

First Prize in National Mathematical Olympiad, 2009

Second Prize in National Undergraduate Mathematical Contest in Modeling as captain of the team, 2012

LANGUAGES/SKILLS/OTHERS

Languages

Mandarin (Native), English (Professional Proficiency).

Programming Languages

R, C++/C, Matlab, Stata, SAS.

Computer Skills

Fondness for Linux, Madness for Emacs.