Projects
Quantitative research, trading strategies, and intellectual exploration. All built with a focus on practical application and finding edge in complex systems.
EMA Crossover Strategy with Heikin-Ashi
A systematic trading strategy that combines Heikin-Ashi candlestick smoothing with EMA crossover signals. The strategy uses a novel "gap pullback" exit mechanism that takes profit when momentum fades before reversal confirms.
Key Features
- →Backtested on QQQ 1-minute data across multiple timeframes (5min to 60min)
- →Tested 200+ EMA combinations (fast: 5-50, slow: 50-200)
- →Implements MFE (Maximum Favorable Excursion) and MAE tracking
- →Custom exit logic based on signed gap pullback from peak
Options IV Surface Analysis
Options implied volatility surface construction and analysis for volatility arbitrage research. Built data pipeline using ivolatility API to collect intraday 5-minute options data across strikes and expirations.
Key Features
- →Collected IV surface data for CRCL options across 2000+ contracts
- →Built infrastructure for comparing implied vs realized volatility
- →Analyzed term structure and skew patterns
- →Foundation for volatility arbitrage strategy development
Stochastic Processes Applications
Current coursework applying stochastic process theory to financial modeling. Focus on martingales, Markov chains, and their applications in option pricing and risk management.
Key Features
- →Markov chain models for regime detection
- →Martingale theory applications in derivatives pricing
- →Monte Carlo simulation methods
- →Brownian motion and Itô calculus
Real Estate Thesis Development
Comprehensive real estate thesis comparing residential and commercial sectors against major bank sellside consensus. Identified alpha opportunities in data centers and tactical homebuilder positions.
Key Features
- →Analyzed residential HPI trajectories with explicit rate scenarios
- →CRE sector analysis (Office, Industrial, Data Centers, Healthcare)
- →Compared thesis against Morgan Stanley, Goldman, JPM consensus
- →Developed position sizing framework with bull/base/bear cases
Small-Cap Factor Strategy
Developed quantitative stock selection strategy focusing on small-cap premium during Peking University fintech coursework. Applied factor-based analysis to A-share market.
Key Features
- →Factor analysis and portfolio construction methodology
- →Pandas-based quantitative analysis pipeline
- →AIGC applications in financial analysis
- →China A-shares market microstructure study
Monte Carlo Yield Curve Simulation
Built Monte Carlo simulation framework for yield curve modeling as part of ORIE 5640 (Stats for Financial Engineering). Simulates interest rate paths and constructs forward rate curves.
Key Features
- →Yield curve bootstrapping and interpolation
- →Forward rate curve construction
- →Monte Carlo path simulation for rates
- →Risk metrics calculation (DV01, convexity)
Continental Philosophy & Markets
Ongoing research project applying continental philosophical frameworks to market analysis. Exploring how Nietzsche, Heidegger, Lacan, and Marx can inform trading decisions.
Key Features
- →Nietzsche: Will to power as market dynamics, master/slave morality in finance
- →Heidegger: Dasein and authentic existence in market participation
- →Lacan: Desire, the Real, and market bubbles
- →Marx: Commodity fetishism and ideological structures in markets