Xiao, Haotian (肖皓天)
 |
Quantitative Researcher Intern, Fresh Graduate Student, |
About me
I graduated with a Bachelor of Economics in Finance and a Bachelor of Science in Mathematics and Applied Mathematics from Wuhan University. Now I am quantitative researcher intern at Chainup Pte. Ltd. I demonstrated strong finance and data skills during my internships and academic research.
Moreover, I am a native Chinese Mandarin speaker and proficient in English. My technical skills include Python, R, C++, Matlab, Stata, MySQL, MongoDB, Redis, Git, Bash and VBA. Outside of work, I enjoy playing Go, badminton, and piano.
Fun fact: In my spare time, I like to play Go in conjunction with quantitative investing ideas, which allows me to anticipate my opponent's next move on the board, just like predicting price movements in the marketplace.
Education
B.Econ in Finance & B.S in Mathematics and Applied Mathematics, Wuhan University, 09.2020 - 06.2024
Awards: Distinct Graduation Thesis (Top 2% among department), Merit Student of Wuhan University (Top 10%)
Main Courses(Finance): Advanced Microeconomics, Advanced Macroeconomics, Advanced Econometrics, Options Futures Derivatives, Time Series Analysis, Operational Research, Game Theory
Main Courses(Mathematics): Mathematical Analysis 1-3, Linear Algebra 1-2, Real Analysis, Dynamic Optimization, Probability Theory and Statistics, Ordinary Differential Equation, Stochastic Process, Numerical Solution for Partial Differential Equations, Complex Analysis
Main Courses(Programming): Principles of Programming, Python Programming, Machine Learning, Matlab and Its Applications, Big Data Analysis.
Professional Experience
Quantitative Researcher Intern, ChainUp Pte. Ltd., Singapore, 06.2024-Present
Established a cross-sectional pairs selection framework for statistical arbitrage on crypto, developed cointegration, hurst index and other statistical indicator, constructed an indicator visualization system with MySQL and Metabase
Built a PCA-RFECV-LightGBM model for cryptocurrency style factor return prediction combining factor endogenous data, macroeconomic data, and blockchain data
Constructed a trend-following strategy portfolio with time-series momentum and K-line shape breakout on crypto contract
Intern at Global Macro Strategy Investment Department, Guotai Junan Investment(Hong Kong), Hong Kong SAR, 01.2024-05.2024
Developed a strategy targeting daily limit-up stocks based on main fund flows
Applied Multi-Scale Graph Neural Network to optimize weights for futures-based composite strategies
Financial Engineering Intern, China Securties Co., Ltd., Shanghai, China, 11.2023-01.2024
Utilized XLNET-BERT-CNN LLM to classify news sentiment and create stock-specific sentiment indices; developed 26 time-series sentiment factors with high RankIC and stratified monotonicity
Developed a Chinese VIX database for ETF and stock index options, extending to a generalized VIX; implemented a market timing strategy on ETF funds
Intern at Quantitative Investment Department, Causis (Wuhan) Investment Management Company, Wuhan, China, 07.2023-10.2023
Developed a futures volume-price short-trend arbitrage strategy by measuring spot-futures spread
Constructed a hedging system in Python based on cointegration among futures prices
Machine Learning Engineer Intern, Sina Hubei, Wuhan, China, 02.2023-05.2023
Helped build technical designer task assignment model using state compression dynamic programming algorithm, and applied Simulated Annealing to improve the efficiency of this NP-HARD problem
Used TabNet Neuron Network to establish the technical designer working prediction model and AGO for hyperparameter optimization
Research Experience
Research interests
Machine Learning
Large Language Model
Quantitative Finance
Publication
N. Xu, H. Xiao, Y. Zhu, X. Chen, Y. Li, X. Hu*, "A Novel End-to-end Framework for A-share Stock Market Portfolio Optimization Considering Risk Measure and Feature Exposure", International Conference on Big Data Technologies, Sept. 2024. [pdf][code]
Under review
R. Yu, H. Xiao, G. Zhang*, "Trading Value of Volatility Index: Empirical Evidence from Chinese Option Market". In peer review of Pacific-Basin Finance Journal.[code]
S. Shang, H. Xiao, B. Shen*, "Nash Equilibrium of First Price Auction with Different Participation Cost". In peer review of Games and Economic Behavior.[code]
Y. Zhu, H. Xiao, Y. Li, C. Yu*, X. Wang, and W. Cui, "Integration of LoRAS-ENN data augmentation and interpretable stacked learning in credit fraud detection". In peer review of Big Data Research.
Working papers
Financial Volatility Forecasting via Deep Learning.(Supervised by Prof. Lin Qian's team, in preparation for Finance Research Letters)
Financial Volatility Forecasting via FinBERT.(Supervised by Prof. Lin Qian's team, in preparation for Economic Modelling)
Do City Brandings Promote Urban Development? A Quasi-natural Experimental Study Represented by the Hostings of the World Expo and the Asian Games. [manuscript][code]
The Relationship Between Happy, Technology and Social Media. [manuscript][code]