Junfan Zhu

An interesting tech blog on Financial Mathematics, Machine Learning, and coding.

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Bio

Hi, I’m Junfan! I’m currently full time Analyst for 2 years at Societe Generale in Chicago & Paris risk models team, working on derivatives volatility modeling and pricing, time series data analytics machine learning on cloud services. I graduated with MS. Financial Mathematics from UChicago in December 2020, and expect to graduate with MS. Computer Science from Georgia Tech in 2023 June. My interests are Quant Research/Trading, Machine Learning and Computer Science.

  • 2020 Fall, before full time at SocGen, I was a Quantitative Project Researcher at Belvedere Trading, building stochastic models for S&P volatility term structure analysis.
  • 2020 summer, I interned at Societe Generale, where I applied Variational Autoencoder and robust regression to quanto futures Monte Carlo simulations.
  • In Sinovation Venture Deep Learning program, I digged microstructure features with Refinitiv’s 20-year Forex tick data with ElasticNet, GBRT, CatBoost, LightGBM for multivariate time series, and to forecast order book dispersion’s micro-price.
  • 2020 Spring, I was an OMM Quantitative Project Researcher in a Chicago prop trading firm and received recognition, where I applied dynamic SABR with Stochastic Gradient Hamiltonian Monte Carlo and enhanced fitness performance by Functional Data Analysis (FDA), compared Carr-Wu model with Stochastic Volatility Inspired (SVI), optimized volatility surface with Nadaraya-Waston kernel estimator and B-spline.
  • In UChicago Statistics, I researched on High Frequency Data in Microstructure Noise with Statistical Stochastic PDEs, modeling bid-ask imbalance indicators including VWAP, TSRV, minRV, VPIN microstructure for Toxic Order Flow risk metrics.
  • 2019 Fall, I was an NLP Project Researcher in a Chicago trading firm, where I built a hybrid-sentiment trading signaling model.

I’m proficient in Python, R, SQL, Machine Learning; intermediate in C++, Java, Spark, Linux, Cuda and Cloud Native. I ranked Top 10 Algorithmic Trader in Rotman International Trading Competition, Top 10% in Citadel Datathon. I was awarded Outstanding Bachelor Thesis (Top 1%), Meritorious Winner in International Mathematical Contest in Modeling, Second Prize in Asia Supercomputing Challenge.

I grow up in 无锡 (Wuxi), a beautiful cultural city in China. Now I live in Chicago.

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I love travelling, visited 45 States and 13 National Parks in USA (more to go :D)

  • East in Maine;
  • West in Unalaska and Cold Bay in Aleutian islands;
  • North in Alaska Arctic Circle;
  • South in Hawaii, Puerto Rico and Key West.

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My favorite 12 beautiful towns in USA:

  • Kodiak, Alaska;
  • Seward, Alaska;
  • Homer, Alaska;
  • Waikoloa, Hawaii Big Island;
  • Honolulu, Hawaii Oahu Island;
  • Old San Juan, Puerto Rico;
  • Culebra, Puerto Rico;
  • Esperanza, Vieques of Puerto Rico;
  • Portland, Oregon;
  • Avalon, Santa Catalina Island of California;
  • Stowe, Vermont;
  • Bar Harbor, Maine.

I travel by Amtrak - California Zephyr, Coast Starlight, Southwest Chief, Empire Builder, Pacific Surfliner are among the best 5 in my heart, I also experienced Crescent, Capitol Limited, Texas Eagle, etc.

I completed a Marathon in 4h’55min. My hobbies are bartending, open water diving, private pilot, skiing, trekking, Chinese Calligraphy, Violin, Kunqu Opera and I’m a big fan of AoT (Attack on Titan). I love reading and keep notes on humanities and arts.