Applications beyond the classroom
Three internships in Shanghai introduced me to asset allocation, quantitative research, and the practical challenges of financial data.
I built macroeconomic and sentiment indicators for equity allocation and evaluated forecast combinations using rolling, out-of-sample tests. I also investigated oil-price pass-through and inflation scenarios, with attention to uncertainty and interpretability.
I researched short-horizon large- versus small-cap rotation using price, volatility, and market-breadth signals. I also explored Neural ODE and Jump SDE approaches for market-timing models, with rolling validation and transaction-cost checks.
I supported rates-trading analysis by reconciling bond and swap-market data and monitoring liquidity, duration exposure, and yield-curve movements. I also built and tested a CNN-based factor model for index-related research.