Lead Researcher in algorithmic intraday strategies among others @ The QIS group, Goldman Sachs Asset Management
OTC derivatives trader/junior PM @ the Global Alpha Fund, Goldman Sachs Asset Management
Summer Associate in the Derivatives Analysis Group @ Goldman Sachs
With solid training from the top-notch doctoral program in quantitative finance at Princeton University (first on rigor and foremost on creativity), Joe started his career as a global-macro-strategies portfolio manager and researcher at the formerly Global Alpha Fund at Goldman Sachs. While fostered richly by the economic and econometric insights from the former GAF strategy tycoons, Joe
With solid training from the top-notch doctoral program in quantitative finance at Princeton University (first on rigor and foremost on creativity), Joe started his career as a global-macro-strategies portfolio manager and researcher at the formerly Global Alpha Fund at Goldman Sachs. While fostered richly by the economic and econometric insights from the former GAF strategy tycoons, Joe envisioned that for the ongoing olympiad of consistent alpha-generation, the opportunities and competing ground for systematic traders will inevitably shift into the low-latency world. After the start-up venture at Eladian Partners concluded, Joe is eventually with the proprietary high-frequency trading team at Two Sigma Investments now, particularly taking the lead in trading and research initiatives in the interest-rate/term-structure-related strategies space. Two Sigma Investments 双西投资 (Two Sigma Securities 双西证券) is an industry-leading investment firm specialized in deploying statistics and artificial intelligence-based approaches to systematically deliver super high Sharpe-ratio returns. It is one of the most representative and top-performing players in this field, together with other likewise in the breed such as D.E. Shaw 德绍集团 and Renaissance 文艺复兴, just to name a few. At Two Sigma Investments, the proprietary high-frequency trading team takes pride in being among the most pioneering explorers and forward-thinkers in solidly understanding the rapidly-evolving marketplaces, and applying effective process-driven methodologies to help the market get rid of direct or indirect inefficiencies in real-time. At this new home, Joe is seeing that his statistical and tactics-design expertise is put into the best possible use, and takes great enjoyment intellectually and commercially, by tackling some of the most sophisticated and challenging problems to reshape the frontiers of this industry.
Algorithmic Trader / Strategy Manager in Proprietary High Frequency Trading @ By combining advanced statistical methods and microstructure-based insights, uncovering consistent patterns in the security market’s short-term dislocations. Leveraged by the firm’s comprehensive data-analyzing and ultra low-latency execution platforms, design and deploy systematic strategies to help the market remove any direct or indirect inefficiencies in real-time. From December 2012 to Present (2 years 11 months) Manhattan, New YorkAssociate Director of Quantitative Fixed Income Strategies @ By combining advanced mathematical methods and microstructure-based insights, uncovering consistent patterns in the security market’s short-term dislocations, design and deploy systematic strategies to help the market remove any direct or indirect inefficiencies in real-time. From February 2012 to November 2012 (10 months) Manhattan, New YorkLead Researcher in algorithmic intraday strategies among others @ Performed as the key researcher behind one of GSAM’s starring intraday strategies in EM and spearheaded the applications of several real-time optimal filtering techniques, which boosted the strategy’s Sharpe from 4-ish to 6-ish. From October 2011 to February 2012 (5 months) 200 West Street, New YorkOTC derivatives trader/junior PM @ Daily overseeing of volatility-related investment strategies. Equity index var swaps, US dispersion trades, FX var swaps, opportunistic trades based on timing signals, P-Q arbitrage of vanilla options, and beyond.
In addition, hands-on experience in global macro assets tactical allocation (developed markets EQ, FI futures and FX forwards). Country (and currency) selection/deviation for MSCI EAFE and/or Kokusai benchmarked cash equity portfolios. From July 2010 to September 2011 (1 year 3 months) 200 West Street, New YorkResearch Intern in the QIS group @ Built from scratch a complete platform for the pricing, calibration, risk-management, and back-testing of a Convertible Bond investment strategy. From June 2009 to August 2009 (3 months) Manhattan, New YorkSummer Associate in the Derivatives Analysis Group @ Contributed to the validation and development of a DFT transform-based model for pricing exotic equity derivatives. From June 2008 to August 2008 (3 months) Manhattan, New York
Ph.D., Financial Engineering @ Princeton University From 2006 to 2010 MA, Operations Research and Financial Engineering @ Princeton University From 2006 to 2008 M.S., Information Processing and Intelligent Systems @ Tsinghua University From 2004 to 2006 B.S.E., Control Theory and Systems @ Tsinghua University From 2000 to 2004 Joseph Ph.D. is skilled in: Statistical arbitrages..., Statistical signals..., Volatility Arbitrage, P-Q arbitrage through..., equity volatility..., Factor-based..., dynamic filtering and...
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