About Me

I am a credentialed actuary practicing in the U.S. This website has been a playground for me to put down some notes from study and work. Hope any of these contents can be useful to you as well. It was built on Hexo with the Arctic theme and hosted on my Github.

Data Science

I have explored applications of machine learning and data science techniques in actuarial data. In this article I explored how to more efficiently compute KNN with Mahalanobis distance. I also typed up some study notes with R codes on the book An Introduction to Statistical Learning.

Quant

Most of my quant endeavors took place during my years at UChicago. I typed up several study notes for MSFM courses. I have also tested numerous quantitative trading strategies on bitcoin and crypto derivatives. Here is a research I did on the implied volatility structures based on historical S&P 500 index levels.

Others

Other random posts on tech, pokers and more:

• Optimizing No-Limit Hold’em Buy-In under Kelly’s Criterion
• How to Set Up A Photo Library with Raspberry Pi
• Pricing A Variance Swap
• 日本語ノート