Wang Jiachen

Projects

A collection of my research and engineering projects in quantitative finance and machine learning.

Quantitative Strategy2025.10 – 2026.01
LLM-Driven Factor Mining & ETF Rotation Strategy

End-to-end quant platform: LLM Agent factor discovery (GLM-4.5), multi-tier signal evaluation, rolling XGBoost/linear combination, and live ETF rotation trading.

  • LLM Agent factor mining (GLM-4.5 / Gemini)
  • Multi-tier evaluation: IC → layer backtest → OOS validation
  • Rolling XGBoost/linear/ICIR combination methods
  • Live trading with scheduler & notifications
PythonGLM-4.5pandasPolarsNumPyXGBoostLightGBMPlotlyJoblibRead more
Academic Research2024.12 – 2025.04
Autoencoder-Driven Latent Factor Models for A-Share Market

Thesis: Built PCA, IPCA, and conditional autoencoder latent factor models on 1996–2023 A-share data with 91 firm characteristics.

  • Conditional autoencoder outperforms linear models
  • 91 firm characteristics, 1996–2023
  • Superior Sharpe ratio & prediction accuracy
  • Profitability & size as core A-share risk factors
PythonPyTorchpandasNumPyRead more
Deep Learning2023.12 – 2024.07
Candlestick Chart CNN Prediction for A-Share Market

Attention-CNN on A-share candlestick images for binary prediction; long-short Sharpe ratio of 3.30 (weekly) and 1.50 (monthly).

  • Long-short Sharpe 3.30 (weekly), 1.50 (monthly)
  • Attention-CNN outperforms baseline by 2%
  • Independent pricing factor characteristics
  • Stronger in small-cap & high-turnover stocks
PythonPyTorchNumPyOpenCVRead more
Quantitative Research2023.11 – 2025.01
Index Enhancement Strategy with XGBoost

Full-stack index enhancement: factor engineering, XGBoost with linear leaf nodes, and adaptive market-style model fusion.

  • Multi-source alpha factor engineering
  • XGBoost with linear leaf nodes
  • Adaptive large/small-cap model fusion
  • Incremental learning for rolling training
PythonXGBoostpandasNumPyNumbaPolarscuDFRead more
Academic Research2023.06 – 2023.12
Green Finance DID Study on Labor Market Impact

National-level innovation project: DID evaluation of green finance pilot zone policies using 2010–2021 A-share data.

  • National-level innovation project
  • DID empirical design
  • 2010–2021 panel data
  • Independent research paper
PythonStatapandasRead more
Quantitative Strategy2023.04 – 2023.10
Futures Dual MA Trend-Following CTA Strategy

Futures trend-following strategy: 15.9% annualized return, max drawdown 10.9%, Sharpe 1.07.

  • 15.9% annualized return
  • Max drawdown 10.9%
  • Sharpe ratio 1.07
  • Automated data pipeline
PythonpandasNumPyRead more
NLP / FinTech2023.06 – 2023.07
ChatGLM-Based Financial Q&A System

Fine-tuned ChatGLM-2 on inclusive finance domain corpus, winning innovation award.

  • ChatGLM-2 fine-tuning
  • Inclusive finance domain
  • Innovation award
PythonChatGLM-2PyTorchRead more
Data Science Competition2023.02 – 2023.04
Kaggle: JPX & Optiver Competition Solutions

Top 10% in JPX stock prediction and silver-level in Optiver volatility prediction.

  • JPX top 10% (Sharpe 0.119)
  • Optiver silver level (RMSPE 0.21524)
  • LightGBM + TabNet ensemble
  • LOB feature engineering
PythonLightGBMXGBoostTabNetpandasNumPyRead more