Eric Lei

Financial Researcher

Email: elei AT alumni DOT cmu DOT edu
Location: New York, New York

Introduction

I am a portfolio manager at WorldQuant, a systematic investment firm. My work includes trading, risk management, portfolio construction, and alpha research by quantitative methods. Previously, I finished my PhD in 2019 in the Machine Learning Department at CMU, advised by Artur Dubrawski in the Auton Lab. My doctoral research involved the development of statistical machine learning techniques with a focus on multi-view methods in the areas of prediction, signal processing, unsupervised learning, and factor analysis. I applied these ideas in practical scenarios by collaborating with scientific institutions to create data-driven solutions to real-world problems.

[CV] [LinkedIn] [GitHub]


Experience

  1. 2019—present | Vice-President, Portfolio Management. WorldQuant. New York.
  2. 2018 | Quantitative Research Intern. Two Sigma. New York.
  3. 2017 | Software Engineering Intern. Google. New York.
  4. 2014 | Research Intern. Allen Institute for Artificial Intelligence. Seattle.
  5. 2013 | Research Intern. Microsoft Capital Markets. Redmond.
  6. 2012 | Software Engineering Intern. Qualcomm. San Diego.

Selected Publications

  1. Eric Lei (2019). Multi-view relationships for analytics and inference. Doctoral dissertation, Machine Learning Department, CMU. [slides] [paper]
  2. Eric Lei, Kyle Miller, Artur Dubrawski (2018). Characterization of hemodynamic signal by learning multi-view relationships. arXiv preprint. [paper]
  3. Eric Lei, Kyle Miller, Artur Dubrawski (2017). Bleeding detection by multi-view correlation clustering of central venous pressure. NIPS Machine Learning for Health. [poster] [paper]
  4. Eric Lei, Kyle Miller, Simon Labov, Karl Nelson, Artur Dubrawski (2017). Robust detection of radiation threat by simultaneous estimation of source intensity and background. IEEE Nuclear Science Symposium. [slides] [abstract]
  5. Eric Lei, Kyle Miller, Simon Labov, Karl Nelson, Artur Dubrawski (2016). Robust detection of radiation threat using uncertain censored energy windows. IEEE Nuclear Science Symposium. [slides] [abstract]
  6. Eric Lei, Anna Karlin (2015). On a competitive secretary problem. Association for the Advancement of Artificial Intelligence. [slides] [paper]