This spring, our Singapore office hosted Wen Bin, a student at the National University of Singapore studying Quantitative Finance and Computer Science. Read about his experience working on an algorithmic trading team in the APAC markets, and what he’s been up to this semester.
Last year, I decided to join DRW as a Quantitative Research intern because I was interested in the challenge of a research position. Since I’ve joined my team, I’ve been given the freedom to come up with multiple ways to tackle a problem, and then bring those solutions back to my team for more guidance. My team is willing to take the time to give me pointers and suggestions to improve my ideas – and it’s helped me build a better understanding of the work I’m doing for the firm.
Right now, my project involves working with trading signals at the market microstructure level to forecast short term stock prices. When I first started my internship, I spent a lot of time becoming accustomed to the data through exploratory analysis and visualization. Once I had a better idea of all the data that was out there, my team and I built machine learning models to predict the price of stocks throughout the trading day. Finally, we used all of this information to convert our model’s predictions into trades.
Because I’m working with such large amounts of complex data, I created a process to help me get started in the morning. I usually leave myself a note at the end of day, so I know exactly where my thought process left off. After reviewing that, I check the results of any simulations that may have completed while I was away. Then, I like to start my day with the toughest component of my project, because that’s when my brain is the freshest.
When I get stuck, I try to look at the data in the highest resolution possible. Sometimes I go as specific as looking at a strategy trade-by-trade to see if there’s anything that’s clearly wrong – which usually helps me catch any small mistakes I may have made. Every once in a while, I have to step away and work on a different part of my project until I can come back with fresh eyes. Luckily, no matter what I might be struggling with, I have a great team and supervisor who are always there to help.