Frank Lee
Palo Alto,CA
Summary
Highly analytical Quantitative Research Analyst with background in financial modeling, statistical analysis, and predictive modeling. Demonstrates strong critical thinking skills and adeptness at interpreting complex data sets to drive strategic decision-making. Strengths include high-level proficiency in programming languages, combined with deep understanding of machine learning algorithms. Previous roles have resulted in optimized investment strategies and improved forecasting accuracy.
Overview
1
1
year of professional experience
Work History
Quantitative Research Analyst
Citadel Securities
Chicago, IL
06.2024 - 08.2024
- Explored different model architecture(Transformer based, Convolution based, etc.), loss function design, and pre-training strategies to optimize the model's performance.
- Combined the high frequency features(5 seconds) with deep learning models; increased the average Information Coefficient (IC) by over 50% and enhanced the strategy's annualized performance by 3%.
- Constructed and submitted two single-factor signals with a correlation coefficient of 5%, which maintained low correlation with the existing factor library.
Quantitative Analyst Intern
Akuna Capital
Chicago, IL
06.2023 - 08.2023
- Integrated signal extraction frameworks and developed efficient operators to improve signal performance.
- Applied tree models (LightGBM, CatBoost) to predict volatility in the options market, enhancing prediction accuracy.
- Transformed overall strategy performance by integrating options and underlying market signals, improved 5 bps. return by 2bps
Education
Bachelor of Science - Mathematics And Computer Science
Stanford University
Stanford, CA06-2026
Skills
- C, torch, DDP, numpy, pandas
- Deep learning
- Mental Math
- Machine Learning
- Algorithm development
- Time-series analysis
Timeline
Quantitative Research Analyst
Citadel Securities
06.2024 - 08.2024
Quantitative Analyst Intern
Akuna Capital
06.2023 - 08.2023
Bachelor of Science - Mathematics And Computer Science
Stanford University
Similar Profiles
Matthew CampbellMatthew Campbell
Head of Option Client Trading at Citadel SecuritiesHead of Option Client Trading at Citadel Securities
Virginia HillardVirginia Hillard
Security Guard Officer at Citadel SecuritiesSecurity Guard Officer at Citadel Securities
Blanca Lopez-OrtizBlanca Lopez-Ortiz
Security Officer at Citadel SecuritiesSecurity Officer at Citadel Securities