Transcendence Capital ManagementJune 2018 - September 2018
• Collected Crypto-Currencies’ tick data, and analyzed the statistics and confidence intervals of returns on different timescales. • Applied an OLS Linear Regression Model to estimate the cointegration between crypto pairs. • Formulated a pairs trading strategy on crypto-currencies with 75% batting average in the backtest over the past year. • Forecasted the movement of the pairs with technical accuracy over 75%.
•Built a real-time system using Apache Kafka, to transfer 10 TB data from HDFS to MySQL database and to achieve Apache HIVE daily incremental updates. •Increased the AUC value of the User Profile Model 6% by combining several ML techniques, including Logistic Regression, Decision Tree, and XGBoost. •Transferred data to a new database and designed a Data Validation tool to generate statistics.
•Assisted department supervisor on the research of the application of blockchain technology in the finance industry, such as bills, real estate. •Evaluated the corporate credit through due diligence and analysis of financial statements •Guided clients on businesses such as corporate account opening, deposit.
SQL, R Language, Python, MySQL, Matlab, Machine Learning, Java, Data analysis, C/C++
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