Shangli Xu

Perform quantitative analysis for best execution

Algorithmic Trading Models in equities and FX

Implement statistical arbitrage on foreign stocks and corresponding American Depositary Receipt (ADR)

Realized algorithm trading based on Comprehensive Transaction Platform CTP(CTP) API with C++, and implemented two algorithmic strategies

Dynamic Conditional Correlations of Oil Commodity with Stock Market Performance; Build comparable DCC-GARCH models among industry sectors with R programming and performed data analytics; Concluded that stock markets tend to respond differently based on the characteristic origin of oil prices shocks.

Priced non-performing assets and constructed reports based on integrated analysis of corporate financial condition, including financial due diligence, capital structure, cash flow modeling with Excel and associated documentation reviews; Completed 3 non-performing assets (NPA) packages purchasing transactions and sold out 3 NPA through top-level negotiation.

Presented and composed reports on shadow banking through product break risk to credit department every week; Evaluated eligibility of corporate loan applicants’ based on profitability, liquidity, leverage and turnover ratios with Excel.

Identified potential risk of Premier-Choice financing product and conducted financial risk calculation of its investment portfolio ; Developed a stock portfolio outperforming market returns in back test based on quantitative modeling by 7.2% with Matlab .

Major: Finance, Minor: Accounting Core courses: Derivative Pricing, Investment, Financial Management, Econometrics, Financial Econometrics. Partial Differential Equations, Linear Algebra, Applied Multivariate Statistical Analysis. C++ Programming, Data Structure, MATLAB programming in Financial Economics.