Quantitative Research Intern
Huatai Securities
Tianjin, China | Jan 2026 - Feb 2026
- Constructed an execution-aware CSI500 index enhancement framework integrating factor modeling, portfolio construction, and realistic trading constraint simulation.
- Automated parameter sweeps and structured experiment reporting to analyze regime shifts, constraint sensitivity, and risk-adjusted performance metrics including IR, TE, IC, and Max Drawdown.
- Built a modular backtesting architecture including Factor Engine, Portfolio Engine, Execution Engine, and Diagnostics to ensure reproducibility and scalability of research experiments.
- Modeled real-market frictions including turnover caps, minimum trade notional thresholds, lot-size rounding, and capital constraints, reducing paper-alpha bias.
- Designed execution diagnostics to decompose target trades, budget truncation, and realized execution, enabling quantitative analysis of transaction efficiency and strategy robustness.
Quantitative ResearchFactor ModelingPortfolio ConstructionBacktestingExecution SimulationPythonData Analysis