Marco Leung

A highly motivated recent graduate from the Hong Kong University of Science and Technology, holding a dual major in Computer Science and Financial Mathematics. Prospective part-time postgraduate student with a specialization in Financial Mathematics. Proficient in programming languages such as Python, VBA, C++, and SQL. Native in English, Cantonese, and Mandarin, facilitating effective communication in multicultural environments. Generated an annualized profit growth of 128% in equity & derivative trading on between 2019 and 2023. Eligible to work in Canada immediately and permanently.

CFA - Certified Financial Analyst

Reinforcement Learning-based Pair Trading (Independent Thesis)

• https://github.com/phantomgodmoon/phantomgodmoon/files/11442838/Clusteringbased.pair.trading.using.reinforcement.learning.pdf

ML based Algometric Trading (COMP FYP)

• Developed a fully algometric trading bot by Interactive Brokers API
• The strategy used: Advanced clustering-based Pairs Trading, Derivatives Arbitrage, RNN-based Optimization
• https://github.com/phantomgodmoon/FYP-Machine-learning-based-trading

Korea Advanced Institute of Science & Technology Research Program

• Deep Neural Networks in Inverse Problems
• Regularization theory for deep neural networks
• Exploration of Univariate, bivariate transformations, Edgeworth and saddle point approximations

 Statistical and Machine Learning Research in Financial Market

• Statistical Research (Normality, Stationarity, Garch Volatility modeling) using Pearson, Kendall, Spearman, KPSS, ADF, Wald, and Gamma.
• Option Pricing, Credit Rating, mutual fund, Pension Plan outlook
• Portfolio Optimization
• Examine alternative asset classes, such as private equity, venture capital, hedge funds, real estate, infrastructure, and commodities.
• https://github.com/phantomgodmoon/Math-Capstone_Project

 Assistant Researcher Hong Kong University of Science and Technology

• Research in Stochastic Calculus for Financial Mathematics
• Exploration of stable Levy processes, Weiner process, and fractional Brownian motion

 Horse Racing and Esports Prediction using Machine Learning

• Backtesting the historical performance of horse racing by data crawled on HKJC and LOL Esports
• Kelly Bet, LGBM, Consolidated Model

 Quantitative Investment Research Legendarb Financial Group 

• Fundamental Financial Analysis on the earning reports of the US, UK listed Companies
• Factors used: Company valuation, balance sheets, income statements, statement of cash flows, capital flow
• Liquidity analysis on commodities
• Explore the development and evaluation of advanced quantitative trading strategies, such as statistical arbitrage, high-frequency trading, and trading systems
• Market Microstructure: Examine the structure and dynamics of financial markets, including liquidity provision, order execution, market impact, and market manipulation.

 Quantitative Derivative Research Pando Finance

• Develop and implement algorithmic trading strategies based on quantitative models and statistical analysis, utilizing mathematical techniques such as stochastic calculus and time series analysis.
• Conduct rigorous backtesting and performance evaluation of trading strategies using historical market data, employing statistical metrics such as Sharpe ratio, maximum drawdown, and alpha
• Utilize advanced mathematical models, including Black-Scholes, GARCH, or Kalman filters, to price and value complex financial instruments such as options, futures, and derivatives
• Conduct market microstructure analysis to understand liquidity dynamics, order book behavior, and market impact, utilizing techniques such as order flow analysis, limit order book modeling, and transaction cost analysis
• Employ risk management techniques such as value-at-risk (VaR), conditional value-at-risk (CVaR), or stress testing to assess and mitigate portfolio risk, ensuring adherence to risk limits and regulatory requirements.

 Additional Highlighted Course Projects

• Hong Kong, Japan, and China IPO Market
• Behavioral Finance and Investor Psychology
• The Role of Sentiment Analysis in Financial Markets: Text Mining Techniques for Predicting Stock Market Returns
• The Role of Information Asymmetry in Corporate Finance: An Empirical Analysis of Insider Trading and Firm Performance
• Mergers and Acquisitions: Value Creation, Synergy Assessment, and Post-Merger Performance