Welcome to Liang Pi 's Home page!
Assistant Vice President, Capital Management & Advisory, Swiss Re, New York, NY
Also, PHD Candidate in Industrial & System Engineering Dept, UW-Madison, Madison,WI
liang_pi(at)swissre.com, lpi(at)wisc.edu 646-853-1096 (Cell Phone)
Education
2004.9-present: PHD in Department of Industrial and System Engineering (ISyE), University of Wisconsin-Madison (UW-Madison).
Major: Operations Research and Decision Science
Qualify Exams: Stochastic system (Pass, Fall 2005), Performance Evaluation (Pass, Fall 2005)
PHD Preliminary Defense (Pass, Fall 2007)
2004.9-2005.12: ME in Department of ISyE, UW-Madison.
Major: Operations Research and Decision Science
2000.9-2004.6: BE in Special Class for the Gifted Young(SCGY), University of Science and Technology of China (USTC).
Major: Computer Science and Technology.
Experiences:
June 2007-present: Capital Management & Advisory, Swiss Re. Current Position: Assistant Vice President, Equity Dept.
¨
Construct
the Mean-variance optimization and Black-Litterman optimization framework.
¨
Analyze
technical trading signals for stock market, and combine fundamental information
with technical signals to improve the strategy performance.
¨
Develop
sector neutral fundamental trading strategy based on machine learning .
¨
Analyze
investor sentiment data and its correlation with the market and sector/group
return.
¨ Develop a statistical arbitrage for equity trading.
2004.9-present: Research Assistant of Prof. Leyuan Shi, Department of ISyE, University of Wisconsin-Madison.
¨
Modeling and large-scale
optimization techniques, including mathematical programming, adaptive sampling,
Lagrangian relaxation/column generation, local search, Markov decision process,
etc.
¨
Applied machine learning
techniques, such as decision tree, neutral network, support vector machine,
Bayesian learning, etc.
¨ Apply the above methodologies in Logistics management and service operations planning, supported by Schneider National, Transport America, NSF, etc.
2005- 2006: Course Assistant. (ISyE 516: Intro. to Decision Science; Math 475: Intro. to Combinatorics.)
2002.9-2004.6: Research Assistant of Prof. Xiaoping Chen, Computer Science Department, USTC.
Awards:
Graduate Travel Grant, UW-Madison ISyE dept. (2007)
Four Excellent Student Awards, USTC. (2000 - 2003)
Two Excellent Undergraduate Research Awards, USTC. (Fall-Spring 2002-2003, Summer 2003)
Memberships:
INFORMS, IEEE, CFA Institute
Reviewer:
IEEE Trans. on Automation Science & Engineering (2006 - 2008), IEEE CASE (2006-2007).
Journal/Book Publications:
L. Pi, Y. Pan, and L. Shi. Hybrid Nested Partitions and Mathematical Programming Approach and Its Applications. Accepted by IEEE trans. on Automation Science & Engineering. 2007. (PDF)
W. Chen, L. Pi, L. Shi, etc. Data Mining-Based Decision System Framework for Local Pickup and Delivery Problem. Submitted to Annuals of Operations Research. 2007. (PDF)
L. Shi, L. Pi, and W. Chen. Nested Partitions and Its Applications to the Intermodal Hub Location Problem. Submitted to Springer Book Optimization and Logistics Challenges in the Enterprise, 2007. (PDF)
L. Shi, L. Pi, and W. Chen. Predicting the Transient Performance of Nested Partitions Optimization Method. Working Paper, 2008.
Conferences Papers&Abstracts:
W. Chen, L. Pi, , L. Shi, etc. Data Mining-Based Decision System Framework for Local Pickup and Delivery Problem. INFORMS Annual Meeting, 2007.
L. Pi, and L. Shi. Resource-Task Assignment Process with Rejections and Reassignment. IEEE-CASE 2007. (PDF)
L. Pi, L. Shi, P. Cheng. Local Pickup and Delivery Problem with Out-source and Intermediate Storage Options. MSOM Conference, 2007. (PDF)
L. Pi, Y. Pan, and L. Shi. Nested Partitions Method for the Local Pickup and Delivery Problem, IEEE-CASE, 2006. (PDF)
Y. Pan, L. Shi, and L. Pi. Solving the 2 stage homing driver problem: with application in trucking industrial, MSOM Conference, 2005. (PDF)
Friends
Music
Whitney Houston(The greatest voice of all time)
last update: 02/02/2008