Muyang Jin

Muyang Jin

Sunnyvale, California, United States
2K followers 500+ connections

About

Currently studying Data Science at New York University.

Proficiency in Python…

Activity

Join now to see all activity

Experience

  • Google Graphic

    Google

    Mountain View, California, United States

  • -

    Palo Alto, California, United States

  • -

    94303, Palo Alto, California, United States

  • -

    Greater New York City Area

  • -

    Needham, MA

  • -

    Boston, MA

  • -

    中国 广东 深圳

  • -

    Boston, MA

  • -

    Tianjin

Education

Publications

  • 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.

    See publication

Projects

  • 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

    -

    - 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

    -

    - 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.

    See project
  • Netflix Recommender System

    -

    - 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.

    See project

Recommendations received

More activity by Muyang

View Muyang’s full profile

  • See who you know in common
  • Get introduced
  • Contact Muyang directly
Join to view full profile

Other similar profiles

Explore collaborative articles

We’re unlocking community knowledge in a new way. Experts add insights directly into each article, started with the help of AI.

Explore More

Others named Muyang Jin

Add new skills with these courses