Sahand (Sean) Ahmad, PhD

** ****** **** **, #**-*2, Singapore, Singapore, +65-9054 7535, ac31ep@r.postjobfree.com PROFESSIONAL EXPERIENCE

AMM E-FX TRADING AT BNP PARIBAS, SINGAPORE(JUN2017-PRESENT)

● Responsible for researching and developing signals and strategies for hedging and trading of eFx book based on classification of market and client data (Alpha research, Strategy design and backtest, FX 10- minute alpha from orderbook, price action, client trades, CLS/EBS volume, news sentiment, events, other currency pairs, other asset prices, successfully monetizing difficult client flow

● Designed a classifier for predicting Min Ask and Max Bid within a 5-10 min interval using market prices and orderbook states for use within the market making framework (accuracy score>0.49)

● Designed models for post-event (2-20 min) market reaction based on surprise factor and other features with accuracy score more than 0.65

● Using Ravenpack and Federal Reserve news analysis methodology for creating an online news sentiment score for currencies with 10-minute Alpha (Ongoing) SENIOR RESEARCH FELLOW, SINGAPORE MANAGEMENT UNIVERSITY, SINGAPORE (JUL2016-JUNE2017)

● Enhancing OLMAR (Online Learning Moving Average Reversion) with a predictive model based on volume (interacting factor), momentum, adjusting for Industry bias and Implementing transaction cost

● Applying a certain Recurrent Neural Network to enhanced technical data (implied vol, sentiment) of Russel1000 in order to train the network in predicting subsequent price move (Accuracy 0.21 out-of- sample vs. 0.1 random)

(Long-Short Equity based on this strategy produces 0.6% average daily return without transaction cost)

● Applying Deep Learning to options data for designing a volatility strategy (Not Completed)

● Working on a CTA using standard systematic macro factors (Momentum, Volatility, Mean-Reversion around trend-line, combined by a Recurrent Neural Network (portfolio optimization wasn’t completed) QUANTITATIVE STRATEGIST ON QIS TEAM IN GOLDMAN SACHS ASSET MANAGEMENT, NEW YORK, USA

(JAN2014-JAN2016)

● Implementing accounts based on the GTAA (Global Tactical Asset Allocation) model of the Macro team, enhancing and implementing the accounts in the codebase in SECDB

● Implementing and migrating Equity Alpha Factors (Industry-Specific Data, Intraday Market Data, Value, Quality, Momentum, Sentiment, of the Quantitative Equity team into SECDB codebase

● Conducting and completing Research projects using large data sets for investigating Alpha in certain market datasets using standard criteria for verification of Alpha/Factor Interaction/Factor Turnover (IC, IR, U-chart,5-1 Decile Long-Short,63-day Gamma, Residual regression, Turnover heat map,

● Implementing a Non-linear(L-1) filter with Mann-statistic for trend Filtering/Detection in equity trend

● Implementing an orthogonal 6-factor model for a fast trading model enhancing the current trade execution system with a daily move forecast signal (open to close)

● Contributing to Research on 2 equity factors based on Indication of Interest data&Intraday trade imbalance

(alpha signals extracted were implemented within the portfolio optimization signal set) ALGORITHMIC TRADING QUANT ON FX SPOT TEAM IN INVESTMENT BANKING DIVISION OF BARCLAYS CAPITAL, LONDON, UK (JAN2013-DEC2013)

● Design and Implementation of hedging strategies based on decay profiles/trade patterns of streams

(calculating riskiness of each currency position based on toxicity score of the counterparty client)

● Design and Implementation of a method for Trade Cost Analysis

● Design and Implementation of an optimal execution strategy for large orders based on Dynamic Programming model and Risk-Return Profile of small trades

● Implementing robust strategies for detection of regime shift in the trend of currencies

● Studying distribution of risk-increasing/risk-decreasing trades, for different currency crosses and different clients

● Implementing Variance-Covariance VAR method for our portfolio, testing different skews on currency Pairs for reduction of risk, checking their effectiveness in terms of speed of risk-reduction vs. P&L FRONT OFFICE QUANT ON CREDIT TEAM IN INVESTMENT BANKING DIVISION OF MORGAN STANLEY, NYC, USA (SEP2010-SEP2011)

● Adding features for new loan products on the loan pricer library

● Studying and suggesting possibilities for reducing Basel regulatory capital for the desk’s portfolio

● Meetings with core modeling team regarding modifications to the models for hazard process and borrower behavior in withdrawing loans

QUANTITATIVE PORTFOLIO RESEARCH INTERN, FERI TRUST, BAD HOMBURG, GERMANY (JAN2012-MAR2012)

● Devising quantitative methods for detecting market panic using comparison of current VIX index to implied 30-day forward VIX calculated using VIX futures

● Analyzing and comparing put options with different maturities and strike prices in order to find relatively more expensive ones to short

● Researching possible correlation at times of distress between different asset pairs within a class of assets and recommending pairs with strong correlation for trade RESEARCH EXPERIENCE

● RESEARCH ASSISTANT - UNIVERSITY OF MICHIGAN (SEP2007-JUL2010)

● RESEARCH ASSISTANT - UNIVERSITY OF ILLINOIS (SEP2003-MAY2007) PROGRAMMING SKILLS

Python(Keras,Scikit,Numpy,Pandas,Mosek C++, KDB/q, R, OneTick EDUCATION

● FRANKFURT SCHOOL OF FINANCE AND MANAGEMENT, FRANKFURT (SEP2011-DEC2012) Graduate-Level Courses in Finance with Focus on Capital Markets

● UNIVERSITY OF MICHIGAN, ANN-ARBOR (JUL 2010)

PhD in Electrical Engineering / Communication: Systems, GPA: 5.0/5.0

● UNIVERSITY OF ILLINOIS, CHAMPAIGN-URBANA (MAY 2005) M.Sc in Electrical Engineering, GPA: 3.93/4.0 with a Minor in Finance AWARDS AND ACHIEVEMENTS

● Gold Medal, ranked 7th globally in 39th International Mathematical Olympiad; 37/42, (1998)

● Vodafone U.S. Foundation Fellows Initiative Research Merit Award (2006)

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