Zheyu Li

Master's

Financial Engineering

Kafang Information Technology Co., Ltd

Quant Analyst Intern

• Constructed factors from the exchange's quotation information of the convertible bond market, selected 150 factors based on the correlation between factors and return rates in Python • Trained, built LightGBM machine learning and LSTM deep learning models based on cleaned and standardized features in Python with TensorFlow framework to predict return rates, achieving information coefficients at 12% • Performed cross validation and pnf back testing and fine-tuned hyperparameters to further improve model’s information coefficients to 15%