Overview
Work History
Education
Skills
Publications
Timeline
Generic

Minghan Yan

Queens

Overview

8
8
years of professional experience

Work History

Vice President, Automated Market Making Strats

Morgan Stanley
New York
01.2021 - Current
  • Worked on systematically selecting degree of freedom for volatility curve based on cross validation
  • Built a framework of option microprice calibration given multi-level order book information, based on Markov Chain technique, and which does not depend on the horizon chosen for mid prediction
  • Researched on a Kalman filter framework based on PCA components
  • Researched on relationship between vol fit's uncertainty and trade PNL
  • Calibrated fit frequency by minimizing weighted delay loss, given total computing capacity

Associate, Automated Market Making Strats

Morgan Stanley
New York
01.2018 - 01.2021
  • Worked on analyzing fit change by conditioning edge and PNL on price change
  • Proposed and implemented a new Kalman filter variance calibration method for vol time series based on prediction error, and demonstrated improvement under various metrics
  • Calibrated correlation decay factor across option strikes, and designed a way to decay non-bbo quote sizes, together they make confidence estimation controlled against quote depth and strike density
  • Calibrated delta-dependent parameters for measuring the error in observed market quotes

Summer Associate, Automated Market Making Team

Morgan Stanley
New York
06.2017 - 08.2017
  • Worked on finding optimal trading strategies to hedge positions of correlated assets
  • Implemented finite element method in Python from scratch, to solve these free-boundary PDEs
  • Used simulated data to show that the proposed strategy outperforms a benchmark strategy

Education

Ph.D. - Mathematics

Columbia University
New York, NY
12.2017

B.S. (Hons) - Mathematics

University of Science and Technology of China
Hefei, China
06.2012

Skills

  • C/C, Python, Matlab, LaTeX, q/kdb

Publications

  • "Stochastic integral equation for Walsh semimartingales" (2018), with T. Ichiba, I. Karatzas and V. Prokaj. Annales de l’ Institut Henri Poincaré (Sér. B: Probabilités et Statistique) 54(2), 726-756.
  • "Semimartingales on rays, Walsh diffusions, and related problems of control and stopping" (2019), with I. Karatzas. Stochastic Processes & Their Applications 129(6), 1921-1963.

Timeline

Vice President, Automated Market Making Strats

Morgan Stanley
01.2021 - Current

Associate, Automated Market Making Strats

Morgan Stanley
01.2018 - 01.2021

Summer Associate, Automated Market Making Team

Morgan Stanley
06.2017 - 08.2017

Ph.D. - Mathematics

Columbia University

B.S. (Hons) - Mathematics

University of Science and Technology of China

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