Looking for internship
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Location: Union, NJ, United States
School: Stevens Institute of Technology
Major: Financial Engineering

Looking for internship

Rensheng Wang


EDUCATION
Stevens Institute of Technology (SIT), School of Systems and Analytics August 2016 – Present
• M.S. in Financial Engineering. GPA:3.8/4.0
Jilin University (JLU), School of Mathematics August 2012 – July 2016
• B.S. in Statistics, Major GPA: 3.77/4.0
• Honorable Mention of Mathematical Contest in Modeling, 2014
RESEARCH EXPERIENCE
Realized automated transactions by statistical arbitrage strategies February 2017 – Present
• Connected to Interactive Brokers with API to get Nasdaq market stock data and send orders. Reduced noise of data by wavelet analysis and selected related stock pairs by correlation coefficient matrix of non-stationary time series.
• Took co-integration test and constructed error correction model. Used GARCH process to fit spreads series.
• Used Particle Swarm Optimization to get best buy and sell points and conducted back-testing with dynamic volatility and mean.
Constructed a trading strategy of retail companies using car counts in parking lots July 2017 – July 2017
• Selected companies which car counts and revenue fluctuate in the same direction and calculated Bayesian regression equation of car count growth rate and revenue growth rate.
• Divided stock return into normal return and abnormal return. Abnormal return is the fluctuation of stock return caused by financial statements, especially revenue growth rate. Normal return is calculated by regression equation with retail industry index.
• Constructed a strategy that predicted stock return by car counts and forecast retail industry index, then sorted retail companies, long top 20% and short bottom 20%. The annual return is 31%.

Study of Application of Statistical Arbitrage Strategy March 2016 – June 2016
• Verified the price sequence of spot gold and spot silver to meet the co-integration test including ADF testing and E-G testing.
• Constructed statistical arbitrage strategy that open position when spreads greater than 0.75 volatility of spreads and close position when spreads equal to mean of spreads.
• Backtested by MATLAB and annual income between 2012 and 2015 is 19%.
Quantitative Analysis on Electronic Information Companies February 2015 – July 2015
• Collected 13 financial indicators data in financial statements of each electronic information company.
• Built 4 factors which represents profitability, solvency, operational capacity and development capacity by factor analysis. Selected 4 indicators which has greatest impact on each factor by canonical correlation analysis.
• Compared 4 indicators with financial companies, industrial companies and found that electronic information companies are better at profitability and development capacity.
WORK EXPERIENCE
Yuying Investment Advisory Company | Guangzhou, China | Trader Intern July 2015 – September 2015
• Backtested for different trading strategies including arbitrage by Python and traded future.
• Predicted future price by RBF neural network. The error of short-term prediction was small.
GuoTai Junan Securities | Changchun, China | Intern January 2015 – March 2015
• Analyzed stock market from macro and micro perspective and wrote reports.
• Forecasted trend of Shanghai composite index using technical indicators like MACD,RSI,KDJ by support vector machine. The accuracy rate is 83%.
• Found strong association rules through association rule analysis of 21 industry index by Aprior algorithm and built trading strategy.
SKILLS
Computer Skills: C++, MATLAB; R, Python; SQL, NoSQL;

trader, quant, data analyst