Junior Quantitative trader

Ji Soo Kim

***-****, **********, **********, *********, Gyeonggi - do

Email: ********@******.**.** // Cell: 010-****-**** Education

Yonsei University, College of Commerce and Economics, Seoul, Korea Mar 2009 Aug 2015

Major: Applied Statistics, Overall GPA: 3.76/4.5

Completed courses in: Mathematics for Economics, Computer Programming, Data Mining, Micro/Macro economics.

Work Experience

Derivatives Trading Division, Taurus Investment & Securities Apr 2015 Aug 2015 Proprietary Trader

Using Excel DDE, made some charts that was not contained in free hts. Used Excel macros to make charts that show the fluctuation of KOSPI200 option premiums and implied volatility.

Deeply impressed by the book, “Trend Commandments: Trading for Exceptional Returns” by Michael W. Covel, traded option volatility by trend following strategy.

Based on the fact that Volatility of options is decreasing gradually, always followed my strategy that when the at-the-money option premium decrease constantly, I just follow the trend. To see premiums of options decrease, calculated at-the-money options implied volatility and the sum of them.

Strategically traded KOSPI 200 options. According to all the possible cases, made scenarios before the stock market opened. Especially took a volatility selling strategy.

Always struggled to follow my rules which are the cores of profits.

Kept positions as long as possible if the volatility constantly decreases, but not beyond a day.

Not a good PnL. At the first time entered the firm, couldn’t use my own strategy for 3 months. After using my strategy, made my PnL graph that always went up. OTC Derivatives Division, Kiwoom Securities Dec 2015 Dec 2016 ELS Quant

Managed parameters like historical volatility of KOSPI index, correlation of HSCEI and EuroStoxx50 which are used to calculate ELS theoretical prices.

Quantitatively supported ELS traders. Using Excel VBA, made a simulator that shows combination of vanilla option payoff according to the degree of volatility and price of underlying assets.

Using Python, made a vanilla option price calculator. When calculating option price, not only used Black-Scholes equation but also path-dependent Monte-Carlo simulation method. Equity Derivatives Division, KB Investment & Securities Dec 2016 Now Market Maker & Arbitrage Trader

Market Making Strategy : As a market maker, provide liquidity on order driven derivatives market. Mainly focus on equity derivatives market. For example, Mini KOSPI200 futures and options, KOSDAQ 150 futures. Servers near the future exchanges receive quotes and calculate theoretical prices of an index future continuously. From my system, send figures that will be added to theoretical prices so that two-sided quotes continuously keep distance from theoretical prices. Used server and clients system that are very sensitive to latency.

Index Arbitrage Strategy : Basically make use of basis contango and backwadation to make profits. In the market, there exists various views of the future index price from different view of interest rate or dividends. It’s the key to calculate a future price precisely among that many different views of prices. Not a latency sensitive strategy. Can use all stocks of an index or just index ETFs.

With above two strategies, PnL is about 3 millions $ a year. hold positions until expiry. When every expiry, unwind all positions.

Extra-Curricular Activities

Yonsei Forum of Risk Management & Financial Engineering Mar 2014 Dec 2014

Studied a variety of topics related to the financial risks. Among those topics, took part of complements to the VaR; EVT(Extreme Value Theory). Focusing on EVT mathematically, made presentations on how to derive EVT formulas.

Financial Engineering with Excel VBA, Institute of Financial Investment Jun 2015 Jul 2015

Successfully finished the Financial Engineering lectures. Through the lectures, acquired skilled programming techniques to implement financial models using Excel VBA

Precisely established the concept of Historical volatility & Implied volatility. Market Micro structure & HFT

Jun 2017 Jul 2017

Successfully finished the market micro structure lectures. With other students, reviwed the recent published papers related to Market Micro Structure and High Frequency Trading.

Using a simulator, verified the effectiveness of the strategies that are introduced in papers above

After Successfully finishing the course, held academic seminar in front of all colleagues in my company. In front of them, explained theories about Reinforcement learning based HFT Strategies, basic concepts of Market Micro structure. Skills

Language: Intermediate spoken English (TOEIC: 935/990, Lv.6 TOEIC SPEAKING) Computer: Excel VBA (Expert), R & SAS for statistical analysis, C, C#, Python Honors and Awards

Sungryun scholarship(Academic excellence), Mar & Sep 2012

Donghwa scholarship(Academic excellence), Sep 2013

Park Jung Ok scholar ship(Academic excellence), Sep 2014

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