Hi there 👋

This is Cheng Li (李丞) from Shanghai, China. A quantitative modeler with enthusiasm on quantitative finance and other related topics.

I am currently actively working on the following projects:

1. Quantinative Equity Portfolio Management

• Finance-Python

Python tools for Finance with the functionality of indicator calculation, business day calculation and so on.

• Alpha-Mind

Quantitative security portfolio analysis. The analysis pipeline including data storage abstraction, alpha calculation, ML based alpha combining and portfolio optimization.

• Portfolio-Optimizer

A library for portfolio optimization algorithms with python interface.

2. Derivatives Pricing Library

• Derivatives Algorithms Lib

Derivatives Algorithms Lib is an library with the goal to offer the user the AAD-enabled derivatives pricing and product scripting functionality.

• dal.cpp

a standalone version Derivatives Algorithms Lib without any submodule dependency

• dal.jax

An experimental project to benchmark the performance between DAL and JAX implemented codes.