--- Responsibilities • fiat currency portfolio (hedge) trade strategy research: methodology selection, prototyping, backtesting, and performance monitoring • JPY, USD hedge trade signal generation (IR: 1.06 and 1.33, respectively) --- Achievements • Devised and implemented real-time intraday risk on/off proxy v FX rate correlation chart with order-flow indicators (Matlab, React.js, C#) • Calibrated path-dependent stochastic process models on high frequency FX rate movements, MC simulation to generate future exchange rate trajectories • Implemented algorithmic news trading (ANT) applied to FX market, quantified 1w/3m macro sentiment for a given country (NodeJS, Matlab, MySQL)

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--- Meister technologies, Seoul, Korea (2018) Achievements • Devised and back-tested systematic arbitrage trading strategies on bitcoin, Ethereum perpetual-swap/futures contracts (Matlab, Python, Java, MySQL) • Generated entry/exit signals (for various price observation frequencies) on Binance perpetual swap, futures long short positions. Python program follows dynamic hedge ratios, estimated on bid-ask spread, exchange fee adjusted bid ask prices (at which position enters or exits) • Configured trading system to update maturing swap-future pairs and futures contracts Responsibilities • Independent research utilizing high frequency data sets • Model calibration for a mean-reversion strategy on bitcoin futures (cross-exchange) • Portfolio optimisation with liquidity, volatility and technical indicator constraints • Intraday real-time P&L, transaction costs report with entry/exit basis

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--- Achievements • Implemented quantitative, fully automated ETF portfolio rebalancing program on investment policies • Developed ETL batch jobs to feed data to AI engine (Java, Oracle, R, Python) --- Responsibilities • Portfolio optimisation with market risk and liquidity constraints (MATLAB) • ETF portfolio rebalancing on investment policies (e.g. cash, region weight, and target rolling volatility constraints)

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--- Achievements • Implemented an application to measure liquidity adjusted portfolio market risk employing Power-Law and stair step MSDCs, and time average VaR/ES (Matlab, Java, MySQL) • Measured optimal liquidation time and costs for given liquidity policies (e.g. Liquidation size 100% for max. 30 day trading periods, and portfolio ES limit) • Estimated and compared (prior/posterior) VaR/ES on the distribution of financial costs given the department selected in Bayesian network. --- Responsibilities • Developing risk management tools, quantifying market liquidity risk based on stair step MSDCs, operational risk using Bayesian belief network

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--- Data Analyst, POSCO (Client), Seoul, Korea (1/2014 ~ 6/2014) Achievements • Improved prediction for nickel price (both direction, size) with market sentiment indicator (60%) Responsibilities • Implemented Nickel price forecasting system to use on buy decision making (Java, PostgreSQL, SAS) • Devised patterns of text that indicate future nickel price movement and trend of risk factors • Coded economic events from Reuters news and quantified the impact of events using a word frequency distribution --- Senior Programmer, Samsung Electronics (Client), Suwon, Korea (9/2013 ~ 12/2013) Achievements • Reduced the time of startup sensing process (2 hour frequency) Responsibilities • Implemented startup sensing system to use on merge and acquisition (M&A) deals • Created batch jobs to extract, transform and load M&A transactions data from S&P Capital IQ to local DB (Java, MSSQL, SAS)

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