CV

EDUCATION

Tokyo-Institute東京工業大学 / Tokyo Institute of Technology (2015-2018)

Doctoral program, Computational Intelligence and Systems Science

Thesis Subject: Probabilistic Market Microstructure Analysis of Injected and Annihilated Orders in Foreign Currency Market

 Tokyo-Institute東京工業大学 / Tokyo Institute of Technology (2013-2015)

Master program, Computational Intelligence and Systems Science

Essay Subject: Quantitative Analysis of Cancellation Orders in Foreign Exchange Market

ULavalLaval University (2011-2012)

Master of Business Administration (MBA), Finance

Essay Subject: VPIN Toxicity Method and Algorithmic Trading Positions and Performances

  • Rotman International Trading Competition (2012, 2013)
  • University Trading Challenge (2012)

ULaval Laval University (2009-2011)

Bachelor of Business Administration (BBA), Finance

Kaisai-Gaidai関西外国語大学 / Kansai Gaidai University (2010)

Asian Study Program, Studying Abroad

EXPERIENCE

ARBARB Group (2018-Present, Contract)

Automated Options Strategist

  • Develop back-testing tools and implement execution algorithm for vanilla options on RUT product from 2004 to 2018 intraday dataset.
  • Analyze empirical scaling relations between the implied volatility skew and the volatility of the underlying using C++.
  • Optimize trading signals for risk-taking and hedging strategies.

SonySony (2014-Present, Part-Time)

Research Assistant

  • Conduct theoretical research on order-flows for a large intraday tick dataset on the FOREX.
  • Publish peer-reviewed research to predict empirical market fluctuations.
  • Collaborate with worldwide scientists to perform financial studies.

ARBARB Group (2016-2018, Contract, 25 months)

Proprietary Algorithmic Trading Systems Developer

  • Conduct successful proven alpha research for intraday tick data from 2014 to 2017 on 13 derivative products (bonds, equities, FOREX, materials).
  • Design, back-test, and implement profitable algorithmic trading systems in using Awk/Gawk and C++.
  • Multi-period optimization of parameters to significantly increase the Sharpe ratio.
  • Portfolio risk management of algorithmic systems with Matlab and R Project.

ARBARB Group (2013, Full Time, 8 months)

Option Trader

  • Perform statistical researches on option products (S&P500, WTI) using large intraday tick dataset from 2011 to 2013.
  • Develop complex option trading models in VBA and C++ to generate absolute returns.
  • Trade weekly E-mini S&P500 and WTI options using volatility arbitrage techniques.
  • Portfolio risk management of option strategies using Greek letters and numerical simulations using C++ and Matlab.

ULavalLaval University (2011-2012, Part-Time, 16 months)

Trading Rooms Assistant

  • Management of seminars teaching how to use Bloomberg and Capital IQ.
  • Assist professors to create big-sized financial databases.
  • Improve practical homework for portfolio management and derivatives courses.

CERTIFICATIONS & SKILLS

  • Passed all three levels of the CFA Program (2014).
  • Computer Skills: C/C++, Shell Scripts (Awk/Gawk), Unix, VBA.
  • Financial Software: R Project, Matlab, Bloomberg, Capital IQ.

SCHOLARSHIPS

  • Japan Student Services Organization (2017-2018)
  • Otsuka Toshimi Scholarship (2016-2017)
  • Japan Student Services Organization (2013-2016)
  • Tuition Exemption Tokyo Institute of Technology (2013-2016)
  • Bourse relève Desjardins (2014)
  • Bourse Jean Turmel, Rotman Competition (2012,2013)
  • Bourse Jean Turmel, University Trading Challenge (2012)

CONFERENCES

  • The Physical Society of Japan (JPS) – 73rd Annual Meeting (Tokyo University of Science, Japan – March 22-25, 2018)
    • Presentation (# 25aK702-9): Numerical Simulation of the Market Event Scaled Relations in the Foreign Currency Market
  • The Physical Society of Japan (JPS) – Autumn Meeting (Iwate University, Japan – Sep. 21-24, 2017)
    • Presentation (# 21aJ16-3): Hazard Function of Market Events in Foreign Currency Market
  • EBS Meeting (National Graduate Institute for Policy Studies, Japan – September 8, 2017)
    • Presentation: Numerical Simulation to Reproduce the Order Book Distribution in EBS Market
  • Econophysics Colloquium 2017 (Warsaw, Poland – July 7, 2017)
    • Presentation (# 32405): Causal Inference of Market Event Rates in Foreign Currency Market
  • The Physical Society of Japan (JPS) – 71th Annual Meeting (Osaka University, Japan – March 20, 2017)
    • Presentation (# 20aB13-3): Scaling relation between cancellation and submission rates in foreign currency market
  • EBS Meeting (National Graduate Institute for Policy Studies, Japan – October 13, 2016)
    • Presentation: Relation between injection and cancellation rates for multi-currency pairs in EBS Market
  • Complex Systems Society (Beurs Van Berlage, Netherlands – Sep. 19-22, 2016)
    • Presentation (#238): Circadian Rhythm of Cancellation Rates in Foreign Currency Market
  • The Physical Society of Japan (JPS) – Autumn Meeting (Miyazaki University, Japan – Sep. 13-16, 2016)
    • Presentation (15aAK-10): Dependency of Cancellation Rate to Market Conditions in Foreign Exchange Market
  • Asia-Pacific Econophysics (The University of Tokyo, Japan – Aug. 24-26, 2016)
    • Poster Session (#P-15): Annihilation Rate of Limit Orders in Foreign Exchange Market
  • EBS Meeting (National Graduate Institute for Policy Studies, Japan – August 4, 2016)
    • Presentation: Dependency of Submission and Cancellation Rates in Foreign Currency Market
  • EBS Meeting (National Graduate Institute for Policy Studies, Japan – June 17, 2016)
    • Presentation: Replication of Cancellation Rate using First-Passage Time Theory in Foreign Exchange Market
  • Kawaguchiko Joint Seminar (Kawaguchiko, Japan – May 28-29, 2016)
    • Presentation: Cancellation Rate of Limit Orders in Foreign Currency Market
  • The Physical Society of Japan (JPS) – Spring Meeting (Tohoku Gakuin University, Japan – Mar. 19-22, 2016)
    • Presentation: Application of First-Passage Time Theory to replicate Cancellation Orders in Foreign Currency Market
  • The Physical Society of Japan (JPS) – Autumn Meeting (Osaka City University, Japan – Sep. 16-19, 2015)
    • Presentation: Cancellation Orders in Foreign Currency Market
  • Econophysics Colloquium (Prague, Czech Republic – Sep. 14-16, 2015)
    • Presentation: Orders Annihilation and Market Price Movement in Foreign Currency Market
  • The Physical Society of Japan (JPS) – 70th Annual Meeting (Waseda University – Mar. 21-24, 2015)
    • Presentation (# 24aAK-5): Relation between Cancellation Orders and Market Price Movement in Foreign Currency Market
  • Econophysics Colloquium (Kobe, Japan – Nov. 4-6, 2014)
    • Poster Session: Comparison of Distribution of Execution and Cancellation Times in Currency Market
  • The Physical Society of Japan (JPS) – Autumn Meeting (Chubu University – Sep. 7-10, 2014)
    • Presentation (# 9aAP-4): Power Law Relation between Execution and Cancellation Times in Currency Market

PUBLICATIONS

  • Empirical Scaling Relations of Market Event Rates in Foreign Currency Market
    • Submitted for Revisions in Physica A: Statistical Mechanics and its Applications – Edition VSI: Econo and Sociophysics (March 28, 2018).
  • Replication of Cancellation Orders using First-Passage Time Theory in Foreign Currency Market
    • Proceedings of the Asia-Pacific Econophysics Conference 2016 (JPS Conference Proceedings, 2016) 011014.
  • Execution and Cancellation Lifetimes in Foreign Currency Market
    • Proccedings of the International Conference on Social Modeling and Simulation, plus Econophysics Colloquim 2014, edited by H. Takayasu, N. Ito, I. Noda, and M. Takayasu (Springer Proceedings in Complexity, 2015) p. 27.