MEng Concentration: Financial Engineering
Anticipated Graduation Date: December 2016
Areas of Interest:
Mingyang Li received his bachelor degree from University of California, San Diego with a double major in Applied Mathematics and Management Science. While doing research in the mathematics department, he quantified classical music into data and sought internal mathematical patterns among notes, pitches and frequencies. Completing his internships at Citibank and China Everbright bank in Beijing, he strengthened his knowledge in investment management and wealth management.
While studying in the Financial Engineering program at Cornell University, he became interested in the huge fall of oil prices. Taking his interest a step further, he completed a project in portfolio optimization with a macroeconomic factor model approach in U.S. energy sector stocks. The portfolio outperformed the benchmark ETF and the project received high marks as well as positive feedback from the professor. He also designed a cointegration pairs and triples trading strategy and further researched a pre-selection method for selecting cointegrated baskets. During his recent internship in the role of quantitative modeling, he improved the cointegration arbitrage strategy by processing data statistically, evaluating parameters in dynamic rolling window, tuning optimal cointegration coefficients and examining performance by robustness and risk measures.
In his spare time, Mingyang enjoys listening to classical and metal music.