Contact

+** ******** (Home)

adiia4@r.postjobfree.com

www.linkedin.com/in/hwayoung-

lee-phd-3b039426 (LinkedIn)

essex.academia.edu/

HwayoungLee (Personal)

Top Skills

C++

Analysis

Python

Languages

Korean

English

Certifications

SCJP, SCJD

MCDBA, MCSD

Publications

Portfolio valuation under liquidity and

expected shortfall constraints

Hwayoung Lee, PhD

Quantitative researcher

Seoul

Summary

Financial Engineer with the ability to solve complex portfolio optimization problems with investment constraints, along with experience in liquidity adjusted market risk (FRTB) modelling. Experience

MOIN, Inc.

Senior Researcher

July 2018 - Present (2 years 6 months)

Gangnam-gu, Seoul, Korea

--- Responsibilities

• fiat currency portfolio (hedge) trade strategy research: methodology selection, prototyping, backtesting, and performance monitoring

--- Achievements

• JPY, USD hedge trade signal generation (IR: 1.06 and 1.33, respectively; BM underlying currency not hedged)

• Devised and implemented intraday risk on/off proxy chart based on real-time fx rate movements (Matlab, React.js, C#)

• Calibrated path-dependent stochastic process models on (detrend) high frequency FX rates (Matlab)

• Cross-correlation analysis on currency factors and FX rates for different time scale with extended Fourier transform method and VECM

• Implemented algorithmic news trading (ANT) applied to FX market, quantified 1w/3m macro sentiment for a given country (NodeJS, Matlab, MySQL) Independent

Quantitative Researcher

November 2009 - Present (11 years 2 months)

London, United Kingdom

--- bakdu technologies, meister trading, Seoul, Korea (2018) Achievements

• Devised and back-tested systematic arbitrage strategies on bitcoin swap/ futures (Matlab, Python, MongoDB)

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• Generated entry/exit signals (10 seconds frequency) on Bitmex 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

• Daily P&L, transaction report with entry/exit basis Qraft Technologies, Inc.

AI engineer

June 2017 - February 2018 (9 months)

Seoul, Korea

--- 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)

iZeno

Senior Research Engineer

February 2017 - May 2017 (4 months)

Singapore

NLP analytics research support

Redhat camel programming (client: Sompo Insurance, SG) Celemics

Senior Manager

September 2015 - January 2017 (1 year 5 months)

Seoul, South Korea

Java, mySQL programming

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Invesco Perpetual

Risk modelling

October 2014 - September 2015 (1 year)

United Kingdom

--- 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 University of Essex

Research Assistant (part-time)

October 2014 - September 2015 (1 year)

UK

--- Achievements

• Implemented an application to update Ztree data to Dataverse in real time

(which was done manually) using the data feeder (ExpCapture) (Java NIO)

--- Responsibilities

• Setting up a “Dataverse” (open-source software developed at Harvard), an interface for depositing and linking data, for social science lab experiments

(Glassfish, PostgreSQL)

• App development: Experiment Participants Identification key generator system (Java, MySQL)

Core meta

Data Analyst

September 2013 - July 2014 (11 months)

Seoul, Korea

--- Data Analyst, POSCO (Client), Seoul, Korea (1/2014 ~ 6/2014) Achievements

• Improved prediction for nickel price (both direction, size) with market sentiment indicator (60%)

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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)

University of Essex

Research Assistant (part-time)

June 2013 - August 2013 (3 months)

UK

--- Achievements

• Automated peacekeeping operation events coding (over 60% recognition rate in comparison with the human coders)

• Enabled multiple users to maintain actors, event dictionaries through web interface in order to improve coding quality

--- Responsibilities

• Extend the TABARI program (http://eventdata.psu.edu/software.dir/ tabari.html) to use on peacekeeping operation analysis (C++)

• Creating a web interface for users to code documents online (Java) Oracle

IT Analyst (contract)

October 2009 - March 2010 (6 months)

Singapore

--- Achievements

• Installed the citibank global e-Cadd anti-money laundering system without loss of business time

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• The UAT system signed off and went live as scheduled.

--- Responsibilities

• System upgrade planning, deployment (UAT, PRD), configuration and maintenance of the Citi bank anti-money laundering system (Solaris, Java, PL-SQL)

• Organising DB, UNIX, librarian activities, daily health check and TWS job registration

• Responsible for the Billing (ASPAC) system upgrade, holiday update, month- end billing generation & monitoring user activity

• Responsible for CORONA application (UAT, PRD) setup, daily heath check on NDM data feed, virtual ticket

Ionic Information Ltd

Risk modelling (part-time)

April 2009 - September 2009 (6 months)

London, United Kingdom

--- Internship, Ionic Information Ltd, London, UK (4/2009 ~ 6/2009) Achievements

• Automated market risk estimation using the real-time data feed from the Sharescope package

Responsibilities

• Implementing a portfolio VaR application: VaR-cone indicator for an equity portfolio based on the Expected Shortfall(ES) method from the Extreme Value

(EV) theory (Java)

--- Dissertation Project (6/2009 ~ 9/2009)

Achievements

• Implemented the Asian option pricing engine with the FpML Interface

• To mitigate mispricing and operation risk of the OTC Asian option contract, app automated OTC Asian option contract with the extend Quantlib pricing engine and the FpML Interface (C++, XML)

Responsibilities

• Pricing exotic options (barrier, chooser, shout, Asian, compound, lookback options), IR derivatives (Caps and Floors, Swaption pricing based on Black's models) with short rates (Vasicek, CIR, HW models)

• Computing default probability, average default intensities based on LGD, CDS price, and bond yield spread

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• Regression analysis for FX implied volatility swap, pricing Forward volatility agreement (FVA)

• P&L clustering using Markov chain Monte Carlo (MCMC) methods (Gibbs sampling, Metropolis–Hastings algorithm)

• Computing CIP line on FX spot/forwards with transaction costs

• Cross-sectional predictive regression with liquidity, fundamental, momentum, volatility, and statistical factors

Republic of Korea Air Force

Programmer (Military service)

September 2005 - September 2007 (2 years 1 month)

Kyounggi-Do, Korea

--- Responsibilities

• Implemented a multi-client rootkit to use on National Air Force 'INFOCON' training (C++)

• Developed the web-based bulletin board intranet system (Java, PL-SQL) Education

University of Essex

Doctor of Philosophy (Ph.D.), Computational Finance · (2010 - 2016) University of Essex

Master, Financial Software Engineering · (2008 - 2009) Page 6 of 6

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