Lin Jianwu
Professor

Professional Experience & Education

Professional History

    2013.3-present: Professor of Finance, Graduate School at Shenzhen, Tsinghua University (China)

    2012.6-2014.5: Executive vice president, China Quantitative Investment Research Institute (Hong Kong)

    2010.5-2012.5: Senior Quantitative Researcher, Director of Global Quantitative Investment Trading, Magnetar Capital, LLC (USA)

    2007.2-2010.5: Vice President of Equity Strategy and Principal Strategist of Portfolio Algorithms, Goldman Sachs (USA)

    2000.8-2007.2: Financial Engineer, Member of Equity Trading laboratory, Morgan Stanley (USA)

Education

    1998-2004: Ph.D. in Systems Engineering, double master's degree in Systems Engineering and Network Engineering, University of Pennsylvania (USA)

    1996-1998: Master's degree in Biomedical Engineering, Department of Electrical Engineering, Tsinghua University (China)

    1992-1996: Dual Bachelor's degrees in Biomedical Engineering (Department of Electrical Engineering) and Economics (School of Economics and Management), Tsinghua University (China)


Instruction & Advising

Current Courses:

    Introduction to Quantitative Investment Analysis (TBSI); Quantitative Investment Analysis; Financial Risk Management; Internet Finance

Master's & Ph.D. Advising:

    Financial market microstructure; Quantitative investment and hedge funds; Risk management; Meta learning


Research

Interests:

    Financial market microstructure, Supply chain finance, Quantitative investment and hedge funds, Risk management, Meta learning

Current Projects:

  • Meta learning of Quantitative trading strategies

  • Market microstructure of Chinese financial market

  • Artificial intelligence in financial news and reports analysis


Books:

  1. Jianwu Lin (Executive editor), Quantitative Investment Analysis, Economic and Management Publishing Co., 2015, 570 pages

  2. Chun-Hung Chen, Loo Hey Lee, Jianwu Lin (Chapter Author and major theory contributor), Stochastic Simulation Optimization: An Optimal Computing Budget Allocation, World Scientific Publishing Co., 2011, 248 pages

  3. Lin Gongshi, Lin Jianwu, Credit Card, Tsinghua University Press, 2006, 428 pages

  4. Lin Gongshi, Wang Yuan, Lin Jianwu, Personal Finance, Tsinghua University Press, 2003, 409 pages

Patents:

  • Massive caching technology

  • A method for predicting the volatility of equity portfolios

Selected Publications:

  1. Lin Jianwu, Jia Shuqin, Deng Jiahao, Smart risk management with financial big data, Ieee/sice International Symposium on System Integration IEEE, 2017.

  2. Lin Jianwu, Xiang Haitao, Li Jian, Chen, Chun-hung, Best Investment Strategyselection Using Asymptotic Meta Learning, IEEE/SICE International Symposium on System Integration IEEE, 2017.

  3. Zhou Yi, Lin Jianwu, The Alpha Life Cycle of Quantitative Strategy, Ieee/sice International Symposium on System Integration IEEE, 2017.

  4. Lin Jianwu, Lin Ning, Jia Shuqin, Alpha Factor and Risk Factor Changes, China Securities Futures, 2014.3

  5. Lin Jianwu, Wu Suihua, Wu Tutu, the treatment of the ups and downs in algorithmic trading, the 21st century quantitative economy, Volume 14, 2013.10

  6. Lin Jianwu, Global Financial Quantitative Investment Development and Strategic Thinking, Quantitative Investment and Hedge Funds, Dec. 2012

  7. Jia Shuqin, Lin Jianwu, Empirical Analysis of Static Optimal VWAP Strategy Model, Quantitative Investment and Hedge Fund, Dec. 2012

  8. Lin Jianwu, China's Quantitative Investment Research Report for the First Half of 2012, China Quantitative Investment Research Institute, Sept. 2012

  9. Ning Lin, Jianwu Lin, Optimal Scale Parameter Setting of Nelson-Siegel Model in Pricing Convertible Bonds in China, Proceedings of the 2nd China Quantitative Investment International Summit, September 2012

  10. Cao Dahai, Lin Jianwu, Research on Market Emotion Factor Measurement and Related Trading Strategies Based on CSI 300, Proceedings of the 2nd China Quantitative Investment International Summit, September 2012

  11. Wang Zhiwei, Lin Jianwu, Some explorations on the trading volume of China's stock market, Proceedings of the 2nd China International Conference on Quantitative Investment, September 2012

  12. Oliver Hansch,Jianwu Lin,Killian Mie, Ingrid Tierens, Overnight risk and multi-day trading, GSET Street Color, Issue 5, Jan. 2010

  13. Oliver Hansch,Jianwu Lin,Killian Mie, Ingrid Tierens, Optimal usage of portfolio algorithms, GSET Street Color, Issue 3, Nov. 2009

  14. Chun-Hung Chen, Karen Donohue, Enver Yücesan, Jianwu Lin, Optimal Computing Budget Allocation for Monte Carlo Simulation with Application to Product Design, Journal of Simulation Modeling Practice and Theory, Vol. 11, No. 1, pp. 57-74, March 2003

  15. Chun-Hung Chen, Karen Donohue, Jianwu Lin, Enver Yücesan, Efficient Approach for Monte Carlo Simulation Experiments and Its Applications to Circuit Systems Design, Annual Simulation Symposium 2001: 65-71

  16. Chun-Hung Chen, Jianwu Lin, Enver Yücesan, Stephen E. Chick, Simulation Budget Allocation for Further Enhancing the Efficiency of Ordinal Optimization, Journal of Discrete Event Dynamic Systems: Theory and Applications, Vol. 10, pp. 251-270, July 2000

  17. Hsiao-Chang Chen, Chun-Hung Chen, Jianwu Lin, Enver Yucesan,An asymptotic allocation for simultaneous simulation experiments, Winter Simulation Conference 1999: 359-366

  18. Jing Bai, Jianwu Lin, A pacemaker working status telemonitoring algorithm, IEEE Transactions on Information Technology in Biomedicine 3(3): 197-204 (1999)

  19. Jianwu Lin, Jian Chen, Jing Bai, Using human factors engineering as the basis for developing medical human-computer systems, IEEE International conference on systems, man and cybernetics, vol. 2, pp. 1202-1207, 1996


2013 Chinese Association of Quantitative Economics Annual Meeting: Outstanding Paper Award

2003 Outstanding employee award, Morgan Stanley

1999 University fellowship, University of Pennsylvania

1998 Excellent Graduate Master of Tsinghua University

1997 IEEE Excellent Student Paper Award

1996 Tsinghua University's highest student award - special scholarship, merit student of Beijing, first-class scholarship of the School of Economics and Management