Wei-Lun, LUO

Research Assistant

  Taipei City, Taiwan

My research interests and work experience ranges from financial investment and machine learning-based approaches, and what I love most is the fusion of both of them.

    

Work Experience

Research Assistant  •  Research Center for Information Technology Innovation, Academia Sinica

九月 2020 - Present

Multiperiod Corporate Default Prediction

  • Provide a consistent term structure of cumulative default probabilities through a carefully designed neural network.
  • Tailor neural networks through economic domain knowledge to prevent our model from overfitting.
  • Outperform the state-of-art statistical model on AR(10%) and RMSE (20%) for US public companies from 1990-2017.
  • Part of this work was published at the 2022 SIAM International Conference on Data Mining (SDM).

Importance Sampling in Reinforcement Learning

  • Implement Approximate Bayesian Computation(ABC) algorithm on Multi Armed Bandits (MAB) problems for faster computation.

Team leader, Recommendation Algorithms for KKStream

  • Collaborate with team members and others from KKStream to construct a knowledge graph for items to improve performance.

Intern  •  E.SUN BANK

七月 2019 - 二月 2020

  • Developed a trading platform with functions of optimization algorithms.
  • Implemented reinforcement learning to solve backward stochastic differential equations.
  • Designed an introduction lecture about reinforcement learning for a research group in the company (about 15 persons).
  • Applied machine learning approaches to Forex forecasting.



Quantitative trader  •  Bincentive Inc, Taiwan

八月 2018 - 四月 2019

  • Developed trading strategies on cryptocurrency markets.
  • Crawled cryptocurrency markets data from different exchanges.
  • Developed a part of trading API.

Quantitative Trader  •  Fuheng International Investment

七月 2013 - 一月 2016

Developed over 20 rule-based trading strategies on TX and Forex and evaluated each strategy in return over maximum drawdown.

Education

2018 - 2020

National Taiwan University

Computer Science and Information Engineering

Thesis: Risk-based Reward Shaping Reinforcement Learning for Optimal Trading Execution

Courses: 

  • artificial intelligence-related courses (e.g., machine learning, deep learning)
  • courses about machine learning-based applications in finance

2012 - 2016

National Chengchi University

Money and Banking

Awards

  • Kaggle Expert
    • Intel & MobileODT Cervical Cancer Screening, bronze metal, 2017
    • Santander Value Prediction Challenge, bronze metal, 2018
  • IEEE, The 2018 Vechicular Networking Conference, App Contest Award - First Prize
  • Bó Lè Associates, AIxCSR, 2nd, 2018

Publication

  • Wei-Lun Luo, Yu-Ming Lu, Jheng-Hong Yang, Jin-Chung Duan, Chuan-Ju Wang. ”Multiperiod Corporate Default Prediction Through Neural Parametric Family Learning.” Proceedings of the 2022 SIAM International Conference on Data Mining (SDM).

Project

  • Hand detection through mediapipe 
    • Industrial application: Ensure each production worker follows a standard process through detected hands' positions via mediapipe.
    • Medical application: automatically detect each finger angle.

Skills

Programming 


  • Python
  • Powerlanguage

Language


  • Chinese (native)
  • English
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