QUINN LIU

FICC Portfolio Manager · Systems Builder Hong Kong · quinn@quinnmacro.com · quinnmacro.com

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THE SHORT VERSION

I build systems to understand markets, then manage money with them.

Fixed income, multi-currency. Rates, credit, FX across G10, EM, and Asia. The research infrastructure I built — multi-agent pipelines, sovereign spread monitors, relative-value briefs before the first coffee — is not a side project. It's the actual workflow behind every position.

Started with a RMB FX quoting engine in 2019. The kind of understanding you get from building it yourself — forward microstructure, CFETS protocol, low-latency design — is something you can't learn from watching a screen.

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EXPERIENCE

Assistant Portfolio Manager → Rates Trader → Portfolio Manager Large Asian Commercial Bank | 2017 – Present

The progression wasn't planned. But there's a logic to it.

2017–2019: Liquidity desk. Repo, swaps, T-bills, NCDs. I was supposed to manage a buffer. Instead I built the Nelson-Siegel yield curve toolkit — not because someone asked, but because the off-the-run patterns in the T-bill basket were doing something the standard models weren't capturing. It worked.

2019–2023: Rates desk. IRS, futures, options, FX swaps, CDS. Became the #1 P&L contributor, two years running. Then I built the CFETS RMB quoting engine. Not to trade better — to think clearer. The act of building a system forces a precision about microstructure that trading the same instrument in the dark never could. Six years in production. Still is.

Also: FX pricing ranked #1 globally by peer review, 2021. Led the macro research group. Designed systematic strategies across curve arbitrage, IRS cross-market spreads, G10 currency rotation, and gold arbitrage.

2023 – Present: Portfolio management. Multi-billion dollar book. Sovereign/SSA, MBS, IG credit. G10, EM, Asia.

Now the quant and the macro come together. I coordinate investment standards across 30+ overseas entities. I built the performance attribution system that tells me exactly where the alpha came from — not after the fact, but in time to act. I run the multi-agent research pipeline that digests 20+ feeds and produces the relative-value brief before I've finished my first coffee.

The job title changed. The system-building never stopped.

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ADVISORY

International Financial Institution Concurrent | New York / Copenhagen / Beijing

Appointed expert on sovereign fixed income audit engagements. Evaluated derivatives portfolios. Built quantitative audit methodology combining local volatility surface analysis with ML pattern recognition. The work changed how I think about tail risk — not as a distribution to estimate, but as a structure to map.

Central Bank | Beijing Concurrent

Advised on bond issuance and yield curve management. The questions were operational — futures positioning distortions, CTD dynamics, primary dealer behavior around auction windows — but the implications were macro. The view from inside the mechanism is different from the view from the portfolio.

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SYSTEMS

CFETS FX Engine | 2019–2023 | Production RMB spot and forward auto-quoting. CFETS protocol. Low-latency design. Six years in production.

MacroRAG | 2024–Present | Production G10 central bank intelligence. 20+ RSS feeds. LLM risk scoring, issuer auto-alerting. Daily briefings before 06:00 UTC.

GlobalMacroDesk | Active Development 12-agent macro research system. Bloomberg terminal integration. MCP server coordination.

Market Intelligence Pipeline | Production Real-time news monitoring and OSINT for FICC trading desks.

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THE PHILOSOPHY

"The limits of your language are the limits of your world." Wittgenstein was right.

In markets, the model you can build is the risk you can see. I ride bikes up mountains for the same reason I build systems: the suffering-to-reward ratio is not so different from a rate cycle you've misjudged. But at least on the mountain, the model is honest about its assumptions.

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SKILLS

Quant & Modeling Python · C++ · Stochastic calculus · Nelson-Siegel Derivatives pricing · Portfolio optimization Volatility surface · Factor models · Black-Litterman

Data & Engineering Bloomberg API · Refinitiv · SQL · asyncio Systematic strategy prototyping & backtesting Next.js · React · TypeScript

AI & Systems Multi-agent orchestration · LLM reasoning · MCP servers RAG pipelines · Real-time data ingestion Gradient boosting · Time-series forecasting

Certifications & Access CFETS interbank RMB/FX dealer HKSI Type 1/4/9 licensed responsible officer Bloomberg Terminal · Refinitiv Eikon

Languages English / Chinese — native-level both

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RECOGNITION

2022 Bloomberg Quant Challenge — 3rd Place Only pure fixed income entry in the finals.

Bank Internal AI Modeling Competition — Champion Team lead. AI anti-fraud model for trading surveillance.

FX Markets Asia FX Awards — "Best RMB Market Maker" Core technical lead, 2021.

Bank Internal Young Think Tank — 1st Prize, 2021 Macro quantitative framework.