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General Information
| Full Name | Zekang Cheng |
| zkcheng1994@outlook.com | |
| Languages | Chinese (native), English (fluent) |
Education
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2019 PhD in Engineering
University of Cambridge, Cambridge, UK - Thesis A moving mesh method for non-isothermal multiphase flows
- Incorporated non-isothermal effects into the finite element code (in C) for isothermal multiphase flows;
- Developed a numerical treatment of interface topology change in an adaptive moving mesh system;
- Examined the accuracy & capability of the numerical method with benchmark tests and designed examples;
- Investigated drop collision and non-isothermal liquid bridge break-up through numerical simulation;
- Thesis A moving mesh method for non-isothermal multiphase flows
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2014 B.S. in Theoretical and Applied Mechanics
University of Science and Technology of China, Hefei, China - Thesis A numerical and experimental investigation of a water droplet impact on an oil-air interface.
Experience
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2019.08 - Now Quantitative analyst
Market and Securities Services, Citigroup, London - FX STIRT (short term interest rate trading) Quant
- Analysed FX swap request data and developed a method to identify roll-over trades;
- Implemented post-trade STIR-component aftermath calculation for NDF deals;
- Built a data pipeline from scratch to process the booking data of voice FX & NDF trading;
- Developed a PnL attribution model to measure the value of client flow for voice FX & NDF trading;
- Improved the STIRT PnL valuation model by including derivatives and futures in risk matching calculation.
- FX options quant and trading
- Developed a flexible & efficient backtester for FX options trading strategies;
- Backtested relative value trade strategies for FX options and performed PnL attribution;
- Measured vega risk netting effect of vanilla FX option structures through backtesting.
- FX STIRT (short term interest rate trading) Quant
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2018.07 - 2018.12 Off-cycle Intern
Market and Securities Services Citigroup, London - Equities central risk desk (CRD)
- Analysed the toxicity of equities flows into CRD and automated reporting of CRD's PnL attribution;
- Calibrated the trade volume profile used in the transaction cost model of CRD's portfolio optimisation tool;
- Analysed the execution performance at difference trading venues using pre/post-trade price.
- Equities central risk desk (CRD)
Skills
- Proficient: Python, C;
- Intermediate: C++, Latex, SQL, Git;
- Basic: C#, Bash, kdb+/q.
Miscellaneous
- Other relevant projects: built regression model to predict alt-coin returns with Binance market data; practised machine learning skills with Kaggle datasets and won 1 bronze medal.
- Hobbies: swimming, cycling, running, reading and hillwalking.
- Societies: Brighton Tri Club, Brighton Mitre Cycling Club, Cambridge University Hillwalking Club (Treasurer 2017), Cambridge University Canoe Club, Queens' College Boat Club, School of Gifted Young football team (freshers' team captain 2011).
- Publication: Cheng, Zekang, et al. An exactly force-balanced boundary-conforming arbitrary-Lagrangian-Eulerian method for interfacial dynamics. Journal of Computational Physics 408 (2020) 109237.