“It was great to have Muyang as a data science intern in the Fall of 2019. He was very proactive from the beginning of his internship. He understood that the projects required rapid communications with clients and successfully delivered the results in a timely manner with strong technical skills. He proved his versatility by showing that he could work on two projects with completely different tasks, and I started to feel comfortable to rely on him toward the end of his internship. With his constant eager to improve himself, I am confident that he will play a crucial role in any data science team.”
About
Currently studying Data Science at New York University.
Proficiency in Python…
Activity
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"We are led by our gut instincts, our intuition, our desires and fears, our scars and our dreams. And you will screw it up sometimes. So will I. And…
"We are led by our gut instincts, our intuition, our desires and fears, our scars and our dreams. And you will screw it up sometimes. So will I. And…
Liked by Muyang Jin
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I realized I never posted a status update on my career, so here it is. The past ~a year at #SAP has been a whirlwind. From onboarding virtually into…
I realized I never posted a status update on my career, so here it is. The past ~a year at #SAP has been a whirlwind. From onboarding virtually into…
Liked by Muyang Jin
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April 15: I am looking forward to giving the talk "Hedging an Options Book with Reinforcement Learning" in the Frontiers in Quantitative Finance…
April 15: I am looking forward to giving the talk "Hedging an Options Book with Reinforcement Learning" in the Frontiers in Quantitative Finance…
Liked by Muyang Jin
Experience
Education
Publications
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Deep Reinforcement Learning for Option Replication and Hedging
The Journal of Financial Data Science Fall 2020
The authors propose models for the solution of the fundamental problem of option replication subject to discrete trading, round lotting, and nonlinear transaction costs using state-of-the-art methods in deep reinforcement learning (DRL), including deep Q-learning, deep Q-learning with Pop-Art, and proximal policy optimization (PPO). Each DRL model is trained to hedge a whole range of strikes, and no retraining is needed when the user changes to another strike within the range. The models are…
The authors propose models for the solution of the fundamental problem of option replication subject to discrete trading, round lotting, and nonlinear transaction costs using state-of-the-art methods in deep reinforcement learning (DRL), including deep Q-learning, deep Q-learning with Pop-Art, and proximal policy optimization (PPO). Each DRL model is trained to hedge a whole range of strikes, and no retraining is needed when the user changes to another strike within the range. The models are general, allowing the user to plug in any option pricing and simulation library and then train them with no further modifications to hedge arbitrary option portfolios. Through a series of simulations, the authors show that the DRL models learn similar or better strategies as compared to delta hedging. Out of all models, PPO performs the best in terms of profit and loss, training time, and amount of data needed for training.
Projects
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Option Portfolios Replication and Hedging Using Reinforcement Learning
- Present
- Use reinforcement learning to replicate and hedge option portfolios subject to discrete trading and non-linear transaction cost. Set up the environment using OpenAI, and implementing both Deep Neural network and Tree-based models.
- Designed the environment given the problem in which the agent will learn. Simulated the data using Geometric Brownian Motion and initialized the parameters following the Black Scholes Morton model -
Document Similarity Study using Quora Question Pairs
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- Performed extensive feature engineering and model construction to extract the meaning behind questions
Implemented various NLP technics including topic modeling, N-gram language modeling, and semantic analysis. Calculated document distance using different metrics and trained multiple tree-based and neural net based models. -
NYC Rental Listing Popularity Study
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- Predicted the popularity of NYC rental listings using a Two Sigma data set containing more than 75K instances
- Generated new features from text-based variables using tokenization and performed dimension reduction using PCA to eliminate features with little predicting power
- Built various supervised learning models and chose log loss as the evaluation metric. Achieved a log loss of 0.4933 with Random Forest. -
Netflix Recommender System
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- Constructed several movie recommending models using MovieLens 100K data set. Focused on collaborative filtering methods
- Implemented ensemble methods to merge models built using kNN, SVD and NMF. Utilized cross-validation and performed massive hyperparameter tuning to boost model performance
- Built an evaluation assessment tool to test multiple metrics which reflect accuracy, diversity, and coverage of all models.
Recommendations received
2 people have recommended Muyang
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I’m so proud of being part of this great project and sharing the knowledge with the world! Hope to see more and more driverless teams joining Formula…
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I am thrilled to announce that I will be joining Forge (Formerly Equidate) as a Marketplace Analyst to continue exploring the “unicorn” market - an…
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