Experience

Daiwa Asset Management

• 1 - 100 Employee

• Quant Analyst

  • Aug 2011 - Present

  -Developed a dynamic portfolio optimization strategy: Developed a methodology to replicate a target payoff distribution at the lowest cost by applying options theories. Also builds tools to implement an algorithm using a monte-carlo simulation. Applied to the systematic macro strategies below, which successfully resulted in replicating a performance of a certain famous hedge fund. -Developed systematic macro strategies: Developed systematic macro models in currencies, commodities, bonds, rates, and index futures. Independently built the comprehensive databases, back-testing systems, and rebalancing tools. These databases and systems are open to others and commonly used in the team until now as it is user-friendly structured. -Developed analysis tool for fund managers: Built and implemented a variety of useful tools that help FMs conduct a research. Show less



Daiwa Securities Trust Company

• Proprietary Trader

  • Oct 2008 - Aug 2011

  -Quantitative Trading Project: Developed and implemented an algorithm for a HFT strategy for Tokyo Stock Exchange. • Analyzed intra-day based market anomalies such as mean-reversion, order imbalance, depth imbalance, lead-lag effect and others to find short-term market inefficiencies. • Conducted back-testing to check validity of a strategy on historical tick data. • Launched the HFT strategy in practice. -Quantitative Trading Project: Developed and implemented an algorithm for a HFT strategy for Tokyo Stock Exchange. • Analyzed intra-day based market anomalies such as mean-reversion, order imbalance, depth imbalance, lead-lag effect and others to find short-term market inefficiencies. • Conducted back-testing to check validity of a strategy on historical tick data. • Launched the HFT strategy in practice.



Daiwa Securities Capital Markets

• Investment Banking
• 100 - 200 Employee

• Proprietary Trader

  • Apr 2007 - Nov 2008

  -Developed a trading strategy for Hong Kong Futures Market: Successfully launched and operated a momentum strategy in the Hong Kong market in 2008. -Developed a trading strategy for Commodity Futures Market: Developed two arbitrage strategies, which were cross-products arbitrage (e.g. Gold vs Platinum) and maturity arbitrage. -Developed a trading strategy for Hong Kong Futures Market: Successfully launched and operated a momentum strategy in the Hong Kong market in 2008. -Developed a trading strategy for Commodity Futures Market: Developed two arbitrage strategies, which were cross-products arbitrage (e.g. Gold vs Platinum) and maturity arbitrage.