Welcome to Wenchao's Blog! This is my very first post.
About Me
I am now a Quantitative Analyst/Developer in Citibank, N.A.. Welcome to my personal website.
Research Interest
- Quantitative Finance
- Algorithm Trading and Order Routing
- Backtesting Framework
- Portfolio Management and Optimization
Education
- Princeton University
- Inter-University Doctoral Consortium Exchange, Feb.2019 ~ May.2020
- ORF 523 Convex and conic optimization; ELE 535 Machine learning and pattern recognition ; FIN580 Quantitative data analysis in Finance
- Rutgers University, New Brunswick
- M.S. Mathematical Finance, Department of Mathematics, Aug.2018 ~ May.2020
- Numerical Analysis I & II; Econometrics I & II; Math Finance I & II; Portfolio Theory and Application
- Certificate in Quantitative Finance (CQF)
- Distinction | Wilmott Award for Excellence, 2018
- Southwestern University of Finance and Economics
- Bachelor in Management, School of International Business, 2013~2017
- University of California, Los Angeles
- UCLA Summer Session Exchange (Econ & Math), 2016
- CFA Level III Candidate (CFA Institute ID: 8338675), in progress
- Financial Risk Manager (FRM®) (GARP ID: 290430), 2018
Experience
- Quantitative Analyst/Developer, Citibank, N.A., 2021 - present
- Quantitative Analyst/Developer, Zenik Market Technologies LLC., 2020 - 2021
- Quantitative Analyst/Developer, Iyka Trader, Compu-vision consulting Inc., 2018 - 2020
- Financial Engineering Assistant, Investment Research, SooChow Fintech Ltd., 2018
- Quantitative trading Assistant, Wealth Management Center, Haitong Securities, 2016
- OTC products Assistant (Intern), Headquarters of the OTC market services, Orient Securities, 2016
- Assistant (Intern), Operational Headquarters, Orient Securities, 2015
- Client Executive (Intern), China Security, 2014
- Individual Introducing Broker (Part-time), AETOS Capital Group, Chinese Department, 2014~2016
Research & Projects
- "Quant Lectures - Review of P and Q", 2020
- "Dueling Double Deep Q learning in intraday trading", Masters of Mathematical Finance degree Essay, 2019 [Abstract]
- "Open-Source python package factorset", Independent Research Project in SooChow Fintech Ltd., 2018 [Link]
- "Backtesting on Black-Litterman Model with Classifier Views and Robust Volatility", Certificate in Quantitative Finance Final Project, 2018
- "Think on Backtesting", Working report in Haitong Wealth Management Center, 2017 [PPT]
- "Quantitative Method and Statistical Arbitrage in Chinese Options Market aiming at 510050.SS ETF options", Honors Thesis in International Business, 2017 [Abstract]
- "Chinese service trade network structure and dynamic evolution of its industrial position", China Network for Social Network Analysis (CNSNS) Conference, 2016 [Abstract] [PPT] [Link]
- "The Mining and Analysis of Web Recruitment Information based on Document mining, Occupational Network and Time Series Model", 4th TipDM Cup National Data Mining Race Project, 2016 [Abstract] [Link]
- "An optimal strategy improving educational performance of undergraduates attending colleges and universities", 2016 Mathematical Contest in Modeling, 2016 [Link]
- "Dynamic relationship among RMB exchange rate, credit and export under subprime mortgage crisis -- prediction by VEC and State space model”, Financial Time Series Analysis Course project, 2016
- "Risk attitude of entrepreneurs in corporate operation", SWUFE undergraduate Grade-A research projects, 2015
Awards, Grants & Honours
- Wilmott Award for Excellence, Best mark in the final exam; Distinction, 2018
- Outstanding Undergraduate Thesis (Winner in IB School), 2017
- Meritorious, TipDM Cup National Data Mining Race (Rank: 44/1665), 2016
- Honorable Mention, 2016 Mathematical Contest in Modeling (Team 47961), 2016
- Merit-Based Scholarship in successive years (Top 5%), 2015 - 2017
- Second Prize for Chorus, 4th National College students' art performance activities, 2015
Contact Information
Wenchao Zhang
Email: Wenchao.Zhang@rutgers.edu