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Quant

Location:
India
Posted:
February 13, 2018

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Avinash Kumar

** *****, ****, ***** **********

ac4gdt@r.postjobfree.com

+91-961*******

SKILLS

Fundamental Trading – Factor Investing, Growth/Value portfolio, Low Risk portfolio, Earnings Momentum portfolio

Technical Indicators – Momentum, Oscillators, Candlestick patterns, Breakouts, Pivot Points

Statistical Arbitrage – Equity pairs, ADR arbitrage

Quantitative Finance – Volatility prediction model, GARCH, Volatility mean reversal, Fractals

Asset Allocation – Drawdown based, Rolling returns based, Mu/Sigma optimization

Commodity Trading Systems – Technical Indicators based Systems, Delivery protection, Circuit protection

Long-Short – Market neutral, Sector neutral, Beta neutral, Portfolio creation, Index creation

Technology – MATLAB, C/C++, Python, SQL database-querying, .Net(C#), Excel & VBA, Bloomberg, Factset

Personal – Quick Learner, Good Application, Good Improvisation, Good analytical skills PROFESSIONAL EXPERIENCE

Franklin Templeton Investments Quantitative Researcher Nov’15 – present Investment Quant Research Group, Equity Nov’15 - present Responsibilities

Design/create/maintain Equity Factor Library as the core of the investment eco-system for portfolio managers

Design/create/maintain a portfolio tool for Portfolio Managers - an investment decision support system

Backtest various portfolio construction strategy using dynamic factor selection from Equity Factor Library

Manage the small team of 2 and guide Tech team for all the technology infrastructure to be created/maintained Achievements

Developed the Equity Factor Library in MATLAB and then improved it further in Python

Started Templeton Dynamic Equity Fund with the seed fund of $10million using Factor Library Citigroup Global Markets Sr. Associate (Quant Trader/Researcher/Developer) Apr’13 – Oct’15 Sentinel Team, Equity Product Development May’14 – Oct’15 Responsibilities

Develop Sentinel app on Bloomberg to monitor trade ideas & long-short style portfolios in live for traders

Prototype & design quantitative analytics on Excel initially and then implement the verified quantitative logic in C#

Guide the technology team and UI team to get the required data from Bloomberg and get the required display Achievements

Single tool to launch various analytics like – Fundamental, Technical, Macro Environment, Global Outlook, Sectoral Outlook, Factor Attribution, Stock baskets, Style Portfolios Alpha Trading, Central Risk Desk Apr’13 – Apr’14

Responsibilities

Backtest, improve, optimize and refine the existing pricing and hedging strategies of CRD

Develop a backtesting infrastructure in C++/python to backtest trading and hedging strategies

Implement various trading models in the backtesting framework in C++ and evaluate the backtest results Projects

Backtest existing trading models to evaluate their historical performance and optimize their parameters

Research new quantitative trading ideas to backtest them and then develop trading models to generate alpha

Developed various utility functions in Python to get portfolio stats like risk, hedge trades, hedging cost, alpha, etc. Live Systems

Strategy Description Trading Freq EOD position Asset class Risk optimal portfolio trading 5 min Yes US Equity Trading based on Shocks in Analyst Earning Reco Once a day Yes EMEA Equity Edelweiss Financial Services Ltd Quant Trader/Researcher May’11 – Apr’13 Management Associate, Quant Trading, Markets, Treasury Responsibilities

Developed Quant based trading strategies for the proprietary trading desk of Edelweiss – Trading idea generation, Backtesting, Sensitivity analysis, Judging the final system, Capital allocation

Read various research papers, journals, blogs and magazines to get ideas and then backtest them

Guiding the coders for deploying a system in live with necessary risk checks and then testing the coded system Achievements

Developed a well diversified FX book of $25 million(Last 5 yr: Retn: 13%, Mu/Sig: 2.6, Max DD: 2%, Margin: 10%)

Initiated trading of agri-commodities under quant trading by trading systems on them Live Systems

Strategy Description Trading Freq EOD position Asset class Moving average based system Intraday Yes USDINR, Commodities Momentum with long trend filter Intraday Yes USDINR, Commodities Candlestick pattern to detect trend reversal Intraday Yes USDINR ATR based breakout system Intraday Yes & No USDINR Filter to capture high return during high vol EOD Yes USDINR Option selling – Theta capture during range bound EOD Yes USDINR, Nifty, Stocks Time based breakout system Intraday No USDINR, Nifty, Stocks System based on FII activity in India BOD Yes USDINR, Nifty Statistical Arbitrage on ADR-Domestic equity pair BOD Yes ADR-Stocks Mentor Graphics (India) Pvt Ltd EDA Engineer July’07 - June’09 Senior Member Technical Staff, TBX

Responsibilities

Implemented the PCI-eXpress compatibility without which product was going to be obsolete

Implemented multi-user support which gave us competitive advantage by implementing it first

Interfacing with various external customers about issues relating to the TBX product Achievements

Developed good communication skills while responding to external customers as well as the diverse global workforce, both spread over different regions of the world

Developed interpersonal & leadership skills while working in team and guiding subordinates Member Technical Staff, TBX

Responsibilities Reducing the time taken in chip verification, a distinguishing feature used by the buyers Achievements

Based on high quality work under strict deadlines, promoted within 6 months into the job

Developed good software development skills in C++ EDUCATIONAL QUALIFICATIONS

PGDM (Finance) Indian Institute of Management, Indore 3.11/4.33 Ranked in top 15 of the batch 2011 Electives: Security Analysis & Portfolio Management, Investment Banking, Corporate Banking, Treasury Management, Project Appraisal & Finance, Strategic Tax Management, Marketing Research, Marketing of FMCGs, Marketing Strategy, Regulatory Issues in Infrastructure, New Product Development Exchange EM Lyon Business School, France 16.1/20 2011 Electives: Fixed Income Securities, Options Futures & Derivatives, Introduction to Commodities Market, B2B Marketing, Service Operations Management, Revenue Management, Operations & Supply Chain Management Btech+Mtech(EE) Indian Institute of Technology, Kharagpur 8.58/10.00 Top 10 students in Electrical Dept 2007 Class XII (CBSE) DAV JVM Shyamali, Ranchi 93.40% Ranked 1st in School 2002 Class X (ICSE) Sacred Heart School, Daltonganj 91.87% Ranked 1st in the District 2000

MINOR Degree in E&ECE from IIT Kharagpur with a CGPA of 8.57/10.00 2007 ACADEMIC ACHIEVEMENTS

Aditya Pratibha Scholarship by Kumar Mangalam Birla for academic excellence in PGDM for two consecutive years

Nominated for O.P. Jindal Scholarship in 1st Year being amongst the top 20 participants at IIM Indore 2009

2010

Aditya Pratibha Scholarship by Kumar Mangalam Birla for academic excellence in B.Tech

Mrinal Chandra Basu Memorial Scholarship for academic excellence in B.Tech 2006

2005

Prova Basu Scholarship for academic excellence in B.Tech 2004 INTERNSHIPS

Business

Development

Aricent Technologies Ltd - Opportunity Analysis of Smart Grid for Aricent Technologies Ltd Apr’10 – May’10

Identifying new business opportunities for Aricent with the arrival of Smart Grid technology

Shortlisted among top 10 summer internship projects for presenting the project in 2nd Industry Academia meet Operations

(Control Systems)

Shree Cements Ltd – Fuzzy logic controller for Power Generation Plant May’05 – June’05 PROJECTS & PAPERS

Developed an Option Pricing and Volatility software using VBA

Palm Image and Signature Biometric Systems using Artificial Intelligence

- an integrated and reliable security system developed in MATLAB which can identify persons based on the unique features of their palm and signature

- Completed 2 projects as part of European Union sponsored project under Economic Cross Culture Program (ECCP) 2010

2006

-07

Developed a decision-making software in MATLAB using Fuzzy Logic for Cricket Team Selection based on player’s performance alone

2005

POSITIONS OF RESPONSIBILITY

General Secretary Mess, RP Hall, IIT Kharagpur

Responsible for administration, budgeting, supervising, resolving grievances and ensuring satisfaction of residents

Implemented an online system where by improving account management and bringing more clarity 2004-05

Head (Transport Team), Kshitiz 2005, the annual technical festival of IIT Kharagpur 2005 EXTRACURRICULAR ACHIEVEMENTS

1st Prize, Sailing competition organized by AquaSail, Mumbai 2012

1st Prize, Commodities Trading Game, EM Lyon, France

2nd prize, Dumb Charades, Spring Fest, IIT Kharagpur 2010

2005

A-certificate, National Cadet Corps (NCC)

1st Runner-up, Inter House Football Competition

2003

2000

OTHER INTERESTS & ACTIVITIES

Adventure Sports – Paragliding (Sattal), Rappelling (Sattal, Corbett NP), Rafting (Byasi), Bridge Absailing (Corbett), Sailing (Mumbai)

Sports – Table Tennis, Cricket

Japanese puzzles – Sudoku, Kakuro, Nonograms, Slither Link

Sudoku – Ranked 18th in Indian Sudoku Championship 2017. Ranked 19th in Indian Sudoku League 2016.

Conversant in English, French (Delf-A1) and Hindi



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