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About Taiyi Ding
Taiyi is an exceptional problem solver and he is able to gather insights quickly from new subjects. He is good knowledge of equity trading, derivatives, risk ma...
Taiyi Ding's Work History
Research Assistant
Stony Brook University
Aug 2014 - Dec 2015
• Collecting minute prices and cleaning the data by removing prices which are more than 3 mean absolute deviation outlier, then filling missing data value with linear regression method
• Using 1,000 observed 5 min log returns for 500 stocks in S&P 500 index to estimate parameters for ARIMA-GARCH return model
• Calculating the VaR and CVaR by Monte Carlo method to maximize the expected return and minimize portfolio risk measured by
VaR and CVaR on ARIMA-GARCH with Generalized Hyperbolic distributed residual.
• The back testing results showing the ability of financial institutions to meet Basel III requirements with significantly smaller capital
reserves, with reductions on the average 15% overall, and thus to improve their return on invested capital
• Studying dynamic factor models of the yield curve to perform bond portfolio optimization according to the mean-variance approach
• Reported risks and predictions of models; created Basel Committee Backtesting Rule report based on historical CVaR to ensure the accuracy of model
• Performed statistical analysis and modeling; conducted qualitative and quantitative research into companies’ 10Ks and 10Qs to extract relevant financial and operational metrics
Market Analyst and Financial Engineering Intern
New China Fund
Mar 2014 - Jul 2014
• Manipulated fundamental and technical data with SAS, then performed statistical analysis and PCA for summarization
• Analyzed various industries indices for to identify market trends and inform pricing decisions with SAS. Performed machine
learning methods (Gaussian Process Regression and Classification) in Matlab for outlier detection.
• Created new financial tables and manipulated customer database by using SAS Macros and then appended the data (Proc append)
from the existing source tables containing millions of records
• Predicted banks’ default rates based on Decision Tree Method and Logistic Regression Model using R
• Analyzed financial information of technology industries such as AAPL and IBM; identifying model framework and transforming
complex behavioral data into actionable data to forecast business and economic conditions for investment decisions
• Developed and executed algorithms using Matlab and R to identify trends and successfully predict the target portfolio price within 30 minutes
Proprietary Trader
T3 Trading
Mar 2013 - Dec 2013
• Monitor securities markets and buy, hold or sell equity products based on financial data and research
• Identify technical and fundamental trading strategies and methods leading to greater profit and income
• Evaluate financial risks and decide on important daily task of an Equity Trader based on available data
• Developed own Fundamental Factor Models to deliver results faster and gain control of critical daily process
Data Analysis Assistant Intern
Cisco
May 2011 - Aug 2011
• Provided initial analysis and customer data required for Cisco Cloud Solution project and New Mover Project; estimated revenue of up-coming seasonal sales trending. Analyzed profit lift of different products and customer segmentations
• Worked with design team and product team to translate business problems into data-driven solutions with advanced excel skill (pivot, vlookup, Marco) for customer data report
Taiyi Ding's Current Work Details
Taiyi Ding's Location
New York, New York, United StatesTaiyi Ding's Expertise
Taiyi is an exceptional problem solver and he is able to gather insights quickly from new subjects. He is good knowledge of equity trading, derivatives, risk management as well as backtesting. Taiyi has hands-on experience on proprietary research process for analyzing various companies and be responsible for preparing research reports on a broad range of industries.
M.S., Applied Maths and Stats, Quantitative Finance, StonyBrook University
B.S., Major in Economics, Minor in Maths, Purdue University
●Programming skills: MATLAB, C++, MS Office, SQL, Python, JAVA with SQL
●Financial products: Financial Markets, Fixed Income Securities (Bootstrapping, CDS spread, MBS, Swap), Interest Rate Derivatives, Derivatives Pricing Models, Risk Management (Basel Accord, VaR, Counterparty Risk, Market Risk, Stress Testing), Financial Statement Analysis, Corporate Finance, Finance Theory
●Math/Modeling: Financial Programming(C++), Financial Econometrics (MATLAB/SAS), Stochastic Calculus, PDE modeling, Computational Finance (SQL), Optimization (MATLAB), Probability Theory, Financial Modeling (Black-Scholes and Greeks, Monte Carlo Simulation, Amortization, Numerical Analysis), Time Series, Data Science, Bayesian Method
MS Student at Stony Brook University
Taiyi Ding's Current Industry
Stony Brook University
Taiyi Ding's Prior Industry
Cisco | T3 Trading | New China Fund | Stony Brook University
Taiyi Ding's Education
Stony Brook University
Stony Brook University Master's Degree , Applied Mathematics And Statistics, Quantitative Finance
Purdue University
Purdue University Bachelor's Degree , Economics
China Agricultural University
China Agricultural University Bs , Economics
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