Yi Xu

Quantitative Strategist @ Goldman Sachs

About

Passionate about quantitative analysis and quantitative research. Solid mathematical and statistical modelling background with decent programming skills(Python, C++, Java, R, SQL, Scala).

Country

United States

City

New York City Metropolitan Area

Industry

Financial Services

Skill

Python (Programming Language), Quantitative Analytics, Mathematical Statistics, Mathematical Modeling, Data Analysis , Machine Learning, Operations Research, C++, R, SQL, LaTeX, Financial Engineering

Experience

Quantitative Strategist

Goldman Sachs

2021-7 - Present · 5 yrs 3 mos

Graduate Teaching Assistant

NYU Tandon School of Engineering

2020-9 - 2021-5 · 9 mos

New York, NY, United States

Quantitative Strategist Summer Intern

Goldman Sachs

2020-7 - 2020-8 · 2 mos

New York, United States

Co Director

NKQuant

2018-4 - 2019-6 · 1 yr 3 mos

Tianjin

Quantitative Strategy Research Intern

Quantum Vector Capital Management Limited

2018-11 - 2019-1 · 3 mos

Shanghai

• Applied Python to construct multi-stock back-testing framework of factor model and factor scoring method • Devised hedging and position adjustment strategies • Leveraged PCA, OLS regression and portfolio weight optimization method to construct style neutralized and industry neutralized pure factor combination; analyzed source of alpha income • Developed and back-tested double moving average timing strategy

Data Analysis Intern

Meitu Inc.

2018-7 - 2018-9 · 3 mos

Beijing

• Employed SQL to extract and integrate data based on business requirements, conducted data visualization analysis through R • Conducted Python crawler to get users' data from MicroBlog • Built user hierarchy model based on RFM model, simulated user portraits according to non-linear model

Quantitative Research Intern

Big Fish Finance

2018-3 - 2018-5 · 3 mos

online

• Programmed basic factor algorithm; analyzed factors through regression; obtained factor exposures to market value, holding period and industry • Wrote effective factors, optimized hyperparameters

Quantitative Finance Research

University of Chinese Academy of Sciences

2018-2 - 2018-3 · 2 mos

Beijing

• Utilized Python crawler to collect bond index data; tested factor multicollinearity; accomplished momentum and fundamental factors model based on risk parity model • Established Naive Bayes Classifier for text classification

Education

NYU Tandon School of Engineering

Master of Science in Financial Engineering

2019 - 2021 · 2 yrs

• Research on finding a new and simpler close-form pricing formula using abstract algebra on married put options (with Professor Peter Carr) • Built C++ framework to execute pair trading strategy and backtest strategy performance • Constructed two delta hedged option portfolios based on the deviation of underlying asset’s volatility signature (Python)

Nankai University

Mathematics and Applied Mathematics

2015 - 2019 · 4 yrs

Coursework highlights • Mathematics & Statistics: Mathematical Analysis, Advanced Algebra and Analytic Geometry, Ordinary Differential Equations, Probability Theory, Numerical Analysis, Mathematical Statistics, Applied Regression Analysis, Multivariable Analysis • Finance and Risk Management: Financial Credit Risk, Financial Engineering, Investments • Programming: Data Structure and Algorithms, Data Base, Statistical Computing, Statistical Packages Honors & Awards • Scholarship for Excellent Performance(2017-2018) • Merit Student(2017-2018&2018-2019) • Outstanding Student Cadre(2016-2017&2017-2018&2018-2019) • Special Dedication Award for Student Union in NKU Crew Member of Nankai Data Analytics and Consulting Service (NKDACS)