PUBLICATIONS
- "Acoustic Emissions in Fracturing Sea Ice Plate Simulated by Particle System."
ASCE, J. of Engineering Mechanics,
1998, Vol. 124, No. 1, pp69-79, with Bazant, Z.P.
- "Alternative Test Method for Resilient Modulus of Fine-grained Subgrades"
ASTM, J. of Geotechnical Testing
1996, Vol. 19, No. 2, pp141-154, with Drumm, E.C., et al.
- "Zero Brittleness Test Method for Size Effect in Concrete Specimens."
ASCE, J. of Engineering Mechanics,
1996, Vol. 122, No. 5, pp458-468, with Bazant, Z.P.
- "Size Effect and Fracture Characteristics of Composite Laminate."
ASME, J. of Engineering Materials and Technology,
1996, Vol. 118, No. 3, pp317-324, with Bazant, Z.P., and Daniel, I. M.
- "Identification of Stress-Slip law for Fiber or Bar Pullout from Size Effect Tests."
ASCE, J. of Engineering Mechanics,
1995, Vol. 121, No. 5, pp620-625, with Bazant, Z.P. and Thoma, M.
- "Rupture Modulus: Size Effect due to Fracture Initiation in Boundary Layer."
ASCE, J. of Structural Engineering,
1995, Vol. 121, No. 4, pp739-746, with Bazant, Z.P.
THESIS AND DISSERTATION
- "Fracture Size Effect and Damage Properties of Quasi-Brittle Materials."
1996 for Ph.D.,
Northwestern University, Dept. of Civil Engineering, Evanston, IL.
Major: Structural Engineering & Material Science, GPA 3.9/4.0
- "An Alternative Test Method for Resilient Modulus of Fine-grained Subgrades."
1992, for M.S.,
University of Tennessee, Dept. of Civil Engineering, Knoxville, TN.
Major: Geotechnical Engineering, GPA 3.85/4.0
- "Damage Period Nonlinear Response of Masonry Stacks Subjected to Earthquakes."
1984, for M.S.,
Science Academy of China & State Seismological Bureau, Institute of Engineering Mechanics, Harbin, China.
Major: Earthquake Engineering & Structural Dynamics, GPA 88/100
- "Equivalent Energy Method in Dynamic Analysis for Thick Shell Dam."
1982, for B.S.,
Dalian Institute of Technology, Dept. of Engineering Mechanics,
Dalian, China.
Major: Computational Mechanics, GPA 86/100.
HONORS AND ACTIVITIES
- Phi Kappa Phi National Honor Society, 1991.
- ASCE Student member, 1991.
- Fellowship, Center for Academic Excellence, University of Tennessee, 1990.
- Research Achievement Award, Shandong Province Government, China, 1986.
COMPUTER SKILLS
- MVS, JCL, UNIX, Shells, DOS, MSwindows, Client/Server, DB2, Oracle7, Ingres, Forms.
- C/C++, JAVA, COBOL II, JCL, FORTRAN, Visual Basic, SQL, HTML.
- S-Plus, MatLab, Mathematica, SAS, LaTex, miscellaneous.
- Time series and frequency spectrum analysis, Statistical and stochastic analysis.
EXPERIENCES
2008--:
Senior Data Analyst in Currency Trading.
ICAP Electronic Broking LLC, Parsippany, NJ
Research in currency market models, trading pattern data analysis, and abnormal trading investigation, etc.
2005-2007:
First Vice President,
Quantitative Analyst in Fixed Income.
Countrywide Securities Corp., Calabasas, CA
Research in Treasury bond, Swap, FX, FI and interest derivative securities; statistical arbitrage stratergy searching, relative value modeling, and trading stratergy analysis. Analytics supporting to FI, FX, Treasury, Swap, derivative trading desk. Calibration of the interest rate volatility products, swaption pricing, SABR model, time series, PCA analysis, etc.
1998-2005:
Vice President(1998-2004), Senior Vice President(2004-2005),
Quantitative Analyst in Fixed Income Dept.
HSBC Securities Inc., NYC, NY
Research in Treasury bond, Swap and Agency FI securities; statistical arbitrage stratergy searching, relative value modelling, and trading stratergy analysis. Analytics supporting to Treasury, Swap, Agency, and Proprietary trading desks. Portfolio management methodology and risk evaluation tools developing. Data processing by S-Plus. Numerical methods implementation for optimization of portfolio. Scenario, OAS, horizon analysis by tree methods,and Monte Carlo simulation.
1997-1998:
M.S. Student in Computational Finance Program
GSIA, Carnegie Mellon University, Pittsburgh, PA
Studying Investment Analysis, Financial Analysis & Security Trading, Stock Market Data Processing, Stochastical Modeling of Securities and derivatives, Statistical Methods in Finance, Assets Dynamic Pricing Theory, Object Oriented Programming for Finance, etc.
1996-1997:
Senior System Programmer
Data Warehouse Architecture&Management, Allstate Insurance Co., Northbrook, IL
Programming in COBOL, C, Embedded SQL, JCL, for database
DB2 and IMS on IBM main frame (ES/9000), and legacy database migration. National wide data centers technical supporting.
1992-1996:
Ph.D. Graduate Research Assistant in Structural Eng./Material Science
Dept. of Civil Engineering, Northwestern University, Evanston, IL.
Performing computer FEA on fracture dynamic developing and acoustic wave propagation. Conducting materials and structures tests on computer controled test system. Administrating the HP workstation Unix system, software/hardware installation, shell script programming and trouble shooting.
1990-1992:
M.S. Graduate Research Assistant in Geotechnical Engineering
Dept. of Civil Engineering, University of Tennessee, Knoxville, TN.
Performing computer finite element analysis of pavement system under vehicle loading. Installing and testing the computer interface for test machine control and data acquisition. Conducting soil resilient modulus tests. Designing alternative test method and a device for resilient modulus test.
1985-1989:
Research Associate in Earthquake Engineering
Institute of Geophysics, State Seismological Bureau, Beijing, China.
In charge of computer program package for structural
dynamic response analysis subjected to earthquake loading.
Performing computer analysis of earthquake wave propagation and structure response, and analysis of earthquake risk probability for city planing and important industrial projects.
1982-1984:
M.S. Research Assistant in Structural Dynamic
Inst. of Engineering Mechanics, Science Academy of China, Harbin, China.
Conducting vibration test of structure models on shake table; analyzing the vibration response spectra.
Simulating structure's dynamic responses due to earthquake by FEM on computer.
PROJECTS and GRADUATE COURSES
- Project on stock trading and portfolio management based on Markowitz diversification
- Project on interest rate term structure derivatives pricing and hedging by Ho and Lee, BDT, and CIR models
- Project on multi-parameters regression model for analysis of corporations profitability
- Project on GARCH model for volatility of the S&P 500 market index
- Project on Barrier option pricing by binominal and trinominal tree models and GUI implementation
- Computational Finance:
Investment Analysis, Financial Analysis and Security Trading, Derivative Securities-Theory and Mathematical Model, Mathematical Statistics, Financial Data Lab, Statistical Inference, Advanced Probability and Martingales in Finance, Interest Rate and Term Structures, Dynamic Asset Pricing Theory, Stochastic Calculus and Finance, Artificial Intelligence in Finance, Object Oriented Programming.
- Mathematics:
Advanced Calculus, Ordinary Differential Equations, Partial Differential Equations, Asymptotic Analysis and Perturbation Methods, Variational Calculus, Integral Equations,
Probability and Statistics, Discrete Analysis and Numerical Methods, Advanced Algebra and Matrix Analysis, Applied Mathematics, Fourier Transform and Spectrum Analysis, Vector and Tensor Analysis,
Finite Elemente Methods, Special Functions Analysis.
- Mechanics
Elasticity, Plasticity, Finite Element Structural Analysis, Advanced Topics on FEM, Computational Fracture Mechanics, Inelastic Structural Analysis, Plate and Shell Analysis, Structural Stability, Structural Dynamics, Analytical Dynamics, Wave propagation in Solid, Vibration Test and Data Processing, Stochastic Processes and Random Vibration,
Experimental Methods and Stress Analysis,
- Materials
Material Strength, Materials Deformation and Fracture, Micromechanics, Composite Mechanics, Mechanical Metallurgy.
- Engineering
Reinforced Concrete Structure Design, Pavement Design, Small Water Project/Dam Design, Soil Strength and Slope Stability, Soil Mechanics and Dynamics, Earthquake Engineering, Numerical Methods in Geotechniques.
- Geophysics
Basic Geophysics: Concepts and Methods, Advanced Geophysics Topics.