Fushan Liu Email & Phone Number | - Volatility arbitrage, correlation trading, portfolio optimization, signal extraction using machine learning and statistical techniques - Quantitative Equity L/S portfolio management, muiti-factor model (BARRA), portfolio construction, transaction cost estimation, performance attribution - Relative value trading strategy using single stock, indices, ETFs implied and realized volatility, implied and realized correlation, skew, smile - Real-time market implied volatility fitting, full surface fitting and Parametric Implied Volatility, SABR, Heston, SVI. - Implied volatility dynamics estimation and market event studies surrounding expiry, scheduled events - Automatic trading strategy design and implementation using equity and options, real time risk management and portfolio optimization. - Volatility statistical arbitrage strategy, option market microstructure, market impact models, tick data filtering and prediction using Kdb+ - Working knowledge of forecasting and data mining techniques, including linear and non-linear regression analysis, classification, neural networks, deep learning, and support vector machines - High performance computing technologies using CPU-GPU hybrid parallel programming model and CUDA - Electronic trading platforms and financial data: market data, order routing, FIX, BARRA, Reuters and Bloomberg, Option Metrics - 10+ years software architect experience, proficient in C/C++, JAVA, MATLAB, Perl, SQL, Kdb+

Fushan Liu

- Volatility arbitrage, correlation trading, portfolio optimization, signal extraction using machine...
New York City Metropolitan Area, New York City Metropolitan Area, United States

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Fushan Liu’s Email fushan.liu@jpmorgan.com

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Fushan Liu’s Location New York City Metropolitan Area, New York City Metropolitan Area, United States

Fushan Liu’s Current Industry Jpmorgan Chase

Fushan Liu’s Prior Industry Deutsche Bank | Quant Trade | Ge Healthcare

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Work Experience

Jpmorgan Chase

Executive Director - Vol Systematic Trading

2018-11-01 00:00:00 - Present

Deutsche Bank

Director - Equity Derivative Trading

2010-02-01 00:00:00 - 2018-11-01 00:00:00

Quant Trade

Quantitative Researcher

2008-01-01 00:00:00 - 2010-01-01 00:00:00

Ge Healthcare

Software Engineer

2001-05-01 00:00:00 - 2007-12-01 00:00:00

Skills

No Skills Available

Languages

No Languages Available

FAQ About Fushan Liu

Fushan Liu is located at
New York City Metropolitan Area, New York City Metropolitan Area, United States

Fushan Liu is a - Volatility arbitrage, correlation trading, portfolio optimization, signal extraction using machine learning and statistical techniques - Quantitative Equity L/S portfolio management, muiti-factor model (BARRA), portfolio construction, transaction cost estimation, performance attribution - Relative value trading strategy using single stock, indices, ETFs implied and realized volatility, implied and realized correlation, skew, smile - Real-time market implied volatility fitting, full surface fitting and Parametric Implied Volatility, SABR, Heston, SVI. - Implied volatility dynamics estimation and market event studies surrounding expiry, scheduled events - Automatic trading strategy design and implementation using equity and options, real time risk management and portfolio optimization. - Volatility statistical arbitrage strategy, option market microstructure, market impact models, tick data filtering and prediction using Kdb+ - Working knowledge of forecasting and data mining techniques, including linear and non-linear regression analysis, classification, neural networks, deep learning, and support vector machines - High performance computing technologies using CPU-GPU hybrid parallel programming model and CUDA - Electronic trading platforms and financial data: market data, order routing, FIX, BARRA, Reuters and Bloomberg, Option Metrics - 10+ years software architect experience, proficient in C/C++, JAVA, MATLAB, Perl, SQL, Kdb+