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

Courses: 
1. artificial intelligence-related courses (e.g., machine learning, deep learning)
2. courses about machine learning-based applications in finance

National Taiwan University

National Chengchi University

Quant Trader

羅偉倫

Undisclosed

Trading:
Improve execution of current market-making strategies.

Research:
Queue Priority and Theo research for market-making strategies. 

Developer:
Meta-programming to apply C++ strategies for different exchanges.

There are several projects I did:

Multiperiod Corporate Default Prediction
• Provide a consistent term structure of cumulative default probabilities by a carefully designed neural network.

• Tailor neural networks by 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.

• 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). 

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 con- struct a knowledge graph for items to improve performance.

Research Center for Information Technology Innovation,  Academia Sinica

Research Assistant

• Developed a trading platform with functions of optimization algorithms.

• Implemented reinforcement learning to solve backward stochastic differential equations.

• Designed an introduction lecture of reinforcement learning for a research group in the company (about 15 persons).

• Applied machine learning approaches to Forex forecasting.

E.SUN BANK

Intern

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

Bincentive Inc, Taiwan

Quantitative trader

Developed over 30 rule-based trading strategies on TX and Forex and evaluated each strategy by return over maximum drawdown.


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