Hi, I'm

Jiarui Feng

Quantitative Researcher

Financial Mathematics @ University of Chicago
High-Frequency Factors · Market Making · Order Flow Modeling

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About

I'm a quantitative researcher with a background in economics and financial mathematics, currently pursuing my M.S. at the University of Chicago. My work sits at the intersection of high-frequency trading, market microstructure, and machine learning.

Across three internships in China's quantitative finance industry, I've built HFT factor pipelines, developed order-flow models using Hawkes processes, and collaborated with traders on real-time risk monitoring systems.

I'm particularly interested in limit order book dynamics, regime-switching models, and the application of modern ML methods to financial time series.

Technical Skills

Languages
Python C++ R SQL Stata
Libraries
NumPy Pandas Polars PyTorch scikit-learn
Domains
HFT Factor Research Market Making Hawkes Process HMM LOB Modeling
Tools
Git Linux MCP AI Agents
✦ Baruch C++ Certificate

Experience

Mar 2026 – Jul 2026 Shenzhen, China

Quantitative Research Intern

Newdaq Investment Co., Ltd
  • Built a Python-based agentic HFT factor-research pipeline for cross-border ETFs using tick-level order and trade data with numpy and polars, automating literature synthesis, factor generation, evaluation, and registration — validating 30+ high-frequency signals.
  • Developed an order-flow modeling framework using a regime-conditioned multivariate Hawkes process with HMM-inferred market states to forecast LOB event intensities; integrated forecasts into a market-making strategy, improving annualized return by approximately 5% vs. baseline.
Hawkes Process HMM Market Making HFT Polars
Jul 2025 – Oct 2025 Beijing, China

Quantitative Research Intern

Beijing Pingfan Private Equity Fund Management
  • Developed ETF factor-research and market-making strategies for SSE/SZSE-listed ETFs tracking HK assets; validated 20+ high-frequency predictive factors — IOPV deviations, trade-size imbalances, LOB features, and sector-index co-movements — achieving factor ICs of up to 0.09.
  • Upgraded Python-based intraday risk-monitoring modules, refining ~40 real-time alerts for excessive positions, futures/options rollovers, non-basis trades, and abnormal order-rejection rates; contributed technical specifications and implementation documentation.
ETF Factor IC LOB Features Risk Monitoring
Feb 2025 – May 2025 Hangzhou, China

Quantitative Research Intern

Hangzhou Jiahe Shansheng Private Equity Fund Management
  • Conducted factor screening by analyzing XGBoost/LightGBM feature importance (split counts, information gain, SHAP) to dynamically select daily factors; applied SGMM in Stata — improving daily RankIC by 0.027 and IC by 0.021.
  • Reviewed and synthesized 30 Huatai Securities AI research reports on multi-task learning, GNNs, and multi-horizon/frequency factor fusion, producing internal research briefs.
XGBoost LightGBM SHAP SGMM Factor Research

Projects

NLP · Sentiment Analysis May – Aug 2025

Advertisement Effect Measurement in Video

Fudan University (Course Project)

Scraped ~8 million real-time comments and subtitles from Bilibili using a Python data pipeline. Used Qwen-plus to identify and tag ad exposures, then built a sentiment time-series model with fine-tuned Chinese RoBERTa on subtitle tokens to measure advertisement effects.

RoBERTa Qwen Web Scraping NLP
Derivatives Pricing · Stochastic Calculus Oct – Nov 2024

Pricing TIPS under the HJM Framework

University of Pennsylvania (Course Paper)

Priced Treasury Inflation-Protected Securities (TIPS) under the Heath–Jarrow–Morton framework using martingale conditions under different discounting schemes, analyzing the interplay between real and nominal interest rate dynamics.

HJM TIPS Stochastic Calculus Fixed Income

Education

Expected Dec 2027 Chicago, IL

M.S. in Financial Mathematics

University of Chicago

Options · Mathematical Market Microstructure · Advanced Computing for Finance

Jul 2026 Shanghai, China

B.Econ. in Economics

Fudan University, School of Economics

Functional Analysis · Stochastic Processes · Advanced Econometrics · Machine Learning · NLP · RL · Time Series Analysis

Dec 2024 Philadelphia, PA

International Guest Student Program

University of Pennsylvania

Mathematics of Finance · Optimization Theory · Complex Analysis · Modern Data Mining

Contact

I'm open to quantitative research roles and research collaborations. Feel free to reach out.

jerryfeng@uchicago.edu linkedin.com/in/jiarui-feng