Bob Zhang
Harrison,NJ
Summary
I am currently working on a mixed role of Quantitative Developer and Researcher on asset management firms. I hope to work with more complex trade engines and strategies with a clear direction to keep challenging myself with the career going forward.
Overview
2
2
years of professional experience
1
1
Certification
Work History
Quantitative Researcher
O'Shaughnessy Asset Management
08.2022 - Current
- Tax Simulation: designing tax simulation engine in C# to calculate tax alpha for different mutual fund strategies;
- Trade Builder: mimic and tweak the business logic from simulation engine to daily tax optimization;
- ETF Fund Tax Loss Harvesting: designing infrastructures needed to tax loss harvest bond and equity ETF;
- Min/Max Tax Bill Algorithm: designing constraints to help the client minimizing tax bill after cash withdrawal;
- Lot Relief Order Algorithm: combining lot-level instruction to asset-level instruction to optimize trades for taxable accounts;
- Optimization Failure Debugging: resolving errors when the tax optimization engine failed;
- NLP on 10-K: using BERT and GPT model to search for alpha signal on Item 1, 1A, and 7;
- Machine Valuation: building a prediction model using financial statement factors to calculate market and model valuation mispricing.
Education
Master of Arts - Financial Mathematics
Columbia University
New York, NY05-2022
Bachelor of Science - Mathematics, Economics And Computer Science
University of Rochester
Rochester, NY05-2021
Skills
- Data collection and organization
- Data Analysis
- Comparative Testing
- Documentation And Reporting
- Team Collaboration
Publication
- Our research used Faster Regional Convolutional Neural Network to compare cultural differences between TikTok and Douyin;
- https://arxiv.org/abs/2011.01414
Certification
- CFA Level III Candidate
Internships
- Software Engineering Intern in Goldman Sachs, Inc.: investigate the correlation between different assets in S&P 500;
- Business Analyst Intern in Hyde Park Investment Services, Inc.: investigate macro factors on European Union data;
Timeline
Quantitative Researcher
O'Shaughnessy Asset Management
08.2022 - Current
Master of Arts - Financial Mathematics
Columbia University
Bachelor of Science - Mathematics, Economics And Computer Science
University of Rochester
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