I’m a passionate and dedicated Quant and full-stack developer based in Maryland, currently pursuing a Master of Science in Mathematical Finance at Boston University. With a strong foundation in Computer Science and Quantitative Finance from National Tsing Hua University, I excel in integrating advanced quantitative methods and machine learning models to solve complex financial problems.
-
📈 On Adaptive Reinforcement Learning for High-Frequency Trading
Developed a DQN-GRU model with a dynamic sliding window to adapt to market conditions, using the Sortino ratio to optimize trading. Achieved superior risk-adjusted returns and reduced transaction costs. Improve 37% increase in Sharpe ratio and 41% reduction in maximum drawdown.
Github Repository | Project Report -
⏳ Timer Option Pricing and Hedging
Developed a pricing and hedging strategy for timer options using stochastic volatility models (Heston and Hull-White). Integrated dynamic delta hedging to manage risks and optimize portfolio value. Empirical studies on AAPL and JPM stocks validated the model's effectiveness. Achieve Sharpe Ratio of 1.23 and reduce the maximum drawdown to 9.74%
Github Repository | Project Report -
🂡 Pairs Trading Strategy Using Cointegration
Developed a pairs trading strategy using cointegration among NASDAQ-100 equities. Identified securities with mean-reverting price relationships and dynamically adjusted positions based on asset volatility and z-scores of price spreads. Generated consistent alpha with controlled market exposure.
Github Repository | Project Report
