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)
- 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
Computer Skills: C/C++, Python, Unix, VBA, Aladdin, Bloomberg, Eikon.
Languages: French (Native), English (Bilingual), Japanese (Intermediate).
- Physica A: Statistical Mechanics and its Applications, November 2018, P. 1152.
- Proceedings of the Asia-Pacific Econophysics Conference 2016, October 2016, P. 011014.
- Proccedings of the International Conference on Social Modeling and Simulation, plus Econophysics Colloquim 2014, June 2015, P. 27.
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