Internship

Huatai Securities Co., Ltd., Department of Financial Engineering

Position: Quantitative Researcher

Date: 2023-06 ~ 2023-09

Glance of duty:

Developed a report-driven stock-selection strategy based on research of financial analysts on the Chinese stock market; reduced the turnover ratio from 18.46 to 12.84 by adding a component adjustment mechanism of market indexes; achieved an excess return of 38.32% and an Information Ratio (IR) of 4.00; implemented with Python
Constructed a factor based on the jump in price with an IC (Barra Neutralized) of 2.40%; filtered stock pool based on Syntax Analysis of industry research reports; the strategy achieved an excess return of 32.37% and IR of 3.01; implemented with Jieba and Gensim
Reproduced market indexes, including CSI932000, based on compilation requirements of index companies with 100% accuracy; tracked market index performance and conducted corresponding statistical work
Tested I/O efficiency of different data types, including Parquet, Feather, Mat (MatLab), CSV, Pickle, and Jay
Refactored projects with packages including Numba, Threading, and Collections; reduced the backtest time of the report-driven stock-selection strategy from 6 hours to 5 minutes

Position: Quantitative Researcher

Date: 2023-01 ~ 2023-05

Glance of duty:

Designed and developed a backtesting framework for time-series strategies in the Chinese Future market with Python and MySQL
Optimized PnL decomposition models from Brinson and Barra with accuracy for each investment process, including selection and combination of factors
Established cross-sectional selection model of Future market with Arrow-Debrew two-phase market model; achieved a Rank-Information Coefficient (Rank IC) of 0.013 and a winning rate of 52.43%
Conducted sensitivity analysis to test the stability of factors, demonstrating the robustness and effectiveness of factors