Professional Experiences

Scotiabank (May 2019 – Present, Full-Time, Toronto)

Senior Algorithmic Trading Developer

Designing and developing new market-making trading systems for the ETF business both in front-end and back-end (C++).
Trading and technology development focus on execution management, risk gateway, and system development.

BlackRock (Jul. 2018 – Feb. 2019, Full-Time, Tokyo)

Risk Quantitative Analyst

Applied statistical techniques to real financial data and live portfolios to aid fund managers’ real-time decision making.
Provided quantitative analysis of portfolios (equity, fixed income, and multi-asset) to inform portfolio construction and risk-taking decisions of the portfolio management teams.
Risk managed multi-asset portfolios using risk-factor attribution models, stress tests, market-driven scenarios, and factor shocks.

ARB Group (Jan. 2018 – Jul. 2018, Contract, Tokyo)

Automated Options Strategist

Developed back-testing tools and implement execution algorithm for RUT index options using 2004-2018 intraday dataset.
Analyzed empirical scaling relations between the volatility smile and market conditions using C++.
Optimized trading signals for risk-taking and hedging strategies.

ARB Group (Jan. 2016 – Jan. 2018, Contract, Tokyo)

Proprietary Algorithmic Trading Systems Developer

Conducted successful proven alpha research for intraday tick data from 2014 to 2017 on 13 derivative products (bonds, equities, FOREX, materials).
Designed, back-tested, and implemented profitable algo trading systems in using shell script and C++.
Multi-period optimization of parameters to significantly increase the Sharpe ratio.

Sony Computer Science Laboratories (Apr. 2014 – Jul. 2018, Part-Time, Tokyo)

Research Assistant in Market Microstructure

Conducted theoretical research on order-flows for a large intraday tick dataset on FOREX.
Published peer-reviewed research to predict empirical market fluctuations.
Collaborated with worldwide scientists to perform financial studies.

ARB Group (Jan. 2013 – Aug. 2013, Full-Time, Montreal)

Option Trader

Performed statistical researches on option products (S&P500, WTI) using large intraday tick dataset from 2011 to 2013.
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++.

Laval University (Sep. 2011 – Dec. 2012, Part-Time, Quebec)

Trading Rooms Assistant

Managed several seminars teaching how to use Bloomberg and Capital IQ.
Assisted professors to create big-sized financial databases.
Improved practical homework for portfolio management and derivatives courses.

EDUCATION & QUALIFICATIONS

東京工業大学 / Tokyo Institute of Technology (Oct. 2015 – Sep. 2018, Tokyo)

Doctoral program, Computational Intelligence and Systems Science

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

CFA Program (Jun. 2014): Passed all three levels.

東京工業大学 / Tokyo Institute of Technology (Oct. 2013 – Sep. 2015, Tokyo)

Master program, Computational Intelligence and Systems Science

Essay: Quantitative Analysis of Cancellation Orders in Foreign Exchange Market

Laval University (Sep. 2011 – Nov. 2012, Quebec)

Master of Business Administration (MBA), Finance

Essay: VPIN Toxicity Method and Algorithmic Trading Positions and Performances

Laval University (Sep. 2009 – May 2011, Quebec)

Bachelor of Business Administration (BBA), Finance

関西外国語大学 / Kansai Gaidai University (Sep. 2010 – Dec. 2010, Osaka)

Asian Study Program, Studying Abroad

SPECIFIC SKILLS

Computer Skills: C/C++, Python, Unix, VBA, Aladdin, Bloomberg, Eikon.

Languages: French (Native), English (Bilingual), Japanese (Intermediate).

SCIENTIFIC PUBLICATIONS

Empirical Scaling Relations of Market Event Rates in Foreign Currency Market

Physica A: Statistical Mechanics and its Applications, November 2018, P. 1152.

Replication of Cancellation Orders using First-Passage Time Theory in Foreign Currency Market

Proceedings of the Asia-Pacific Econophysics Conference 2016, October 2016, P. 011014.

Execution and Cancellation Lifetimes in Foreign Currency Market

Proccedings of the International Conference on Social Modeling and Simulation, plus Econophysics Colloquim 2014, June 2015, P. 27.

SCIENTIFIC CONFERENCES

The Physical Society of Japan (JPS) – 73rd Annual Meeting (Mar. 2018, Tokyo University of Science)

Presentation (# 25aK702-9): Numerical Simulation of the Market Event Scaled Relations in the Foreign Currency Market

The Physical Society of Japan (JPS) – Autumn Meeting (Sep. 2017, Iwate University)

Presentation (# 21aJ16-3): Hazard Function of Market Events in Foreign Currency Market

EBS Meeting (Sep. 2017, National Graduate Institute for Policy Studies)

Presentation: Numerical Simulation to Reproduce the Order Book Distribution in EBS Market

Econophysics Colloquium 2017 (Jul. 2017, Poland)

Presentation (# 32405): Causal Inference of Market Event Rates in Foreign Currency Market

The Physical Society of Japan (JPS) – 71th Annual Meeting (Mar. 2017, Osaka University)

Presentation (# 20aB13-3): Scaling relation between cancellation and submission rates in foreign currency market

EBS Meeting (Oct. 2016, National Graduate Institute for Policy Studies)

Presentation: Relation between injection and cancellation rates for multi-currency pairs in EBS Market

Complex Systems Society (Sep. 2016, Netherlands)

Presentation (#238): Circadian Rhythm of Cancellation Rates in Foreign Currency Market

The Physical Society of Japan (JPS) – Autumn Meeting (Sep. 2016, Miyazaki University)

Presentation (15aAK-10): Dependency of Cancellation Rate to Market Conditions in Foreign Exchange Market

Asia-Pacific Econophysics (Aug. 2016, The University of Tokyo)

Poster Session (#P-15): Annihilation Rate of Limit Orders in Foreign Exchange Market

EBS Meeting (Aug. 2016, National Graduate Institute for Policy Studies)

Presentation: Dependency of Submission and Cancellation Rates in Foreign Currency Market

EBS Meeting (Jun. 2016, National Graduate Institute for Policy Studies)

Presentation: Replication of Cancellation Rate using First-Passage Time Theory in Foreign Exchange Market

Kawaguchiko Joint Seminar (May 2016, Kawaguchiko)

Presentation: Cancellation Rate of Limit Orders in Foreign Currency Market

The Physical Society of Japan (JPS) – Spring Meeting (Mar. 2016, Tohoku Gakuin University)

Presentation: Application of First-Passage Time Theory to replicate Cancellation Orders in Foreign Currency Market

The Physical Society of Japan (JPS) – Autumn Meeting (Sep. 2015, Osaka City University)

Presentation: Cancellation Orders in Foreign Currency Market

Econophysics Colloquium (Sep. 2015, Czech Republic)

Presentation: Orders Annihilation and Market Price Movement in Foreign Currency Market

The Physical Society of Japan (JPS) – 70th Annual Meeting (Mar. 2015, Waseda University)

Presentation (# 24aAK-5): Relation between Cancellation Orders and Market Price Movement in Foreign Currency Market

Econophysics Colloquium (Nov. 2014, Kobe)

Poster Session: Comparison of Distribution of Execution and Cancellation Times in Currency Market

The Physical Society of Japan (JPS) – Autumn Meeting (Sep. 2014, Chubu University)

Presentation (# 9aAP-4): Power Law Relation between Execution and Cancellation Times in Currency Market

CV