Quantitative trader with broad experience from statistical arbitrage to high frequency FX. Early entrant in the digital asset space as an official market maker for Ripple from 2014 – 2017. Joined the XRP Markets team at Ripple to help them achieve their vision of the internet of value, but now exploring a return to quantitative trading.
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Charged with increasing liquidity of XRP to enable Ripple's vision. Lead on Liquidity SWAT team, to ensure liquidity for Ripple flagship digital asset cross border product On-Demand Liquidity (ODL), allowing product volume to grow from $0 to $2.6B annualized as of September 2020.
· Work as part of business development team to build out XRP markets, mirroring that of FX markets
· Perform primary quantitative analysis of XRP markets for Ripple, presenting to C-Suite and advisors, external partners, and broader firm
· Managed XRP programmatic and OTC sales; XRP sales grew from $46.7M in year before joining to $530M in 2018, and deliberately lower to $500M in 2019
· Developed liquidity scaling plan for ODL, then signed liquidity deals with digital asset market makers, allowing ODL cross border volumes to grow from 0 to annualized $2.6B pace as of September 2020
· Sourced acqui-hire of crypto-trading firm to bolster engineering capacity within digital asset ecosystem
· Presented to C-suite of MGI regarding digital asset markets, giving them comfort to move from legacy infrastructure to Ripple solution
· Oversee relationships with quantitative market makers facilitating ~$65M in XRP loans
· Work cross-functionally with data, product, finance, legal, tax, and compliance teams
Founded algorithmic trading desk at proprietary trading company. Earned 475M XRP for firm in market making contracts and volume incentives
· Initiated algorithmic market making for bitcoin, ether, XRP, and other cryptocurrenciesacross global crypto exchanges
· Led team to build low latency C++ trading platform / historical simulator to trade spot FX and digital assets
· Researched, analyzed, coded in C++, simulated, and deployed live, multiple original intraday algorithmic trading strategies
Senior employee at fast-paced algorithmic proprietary trading company that averaged over $4.75B per day in notional currency trades. Sharpe ratios of 24.51 in 2010, 28.60 in 2011, 26.04 in 2012
· Developed original quantitative trading strategies, as well as refinements of existing strategies
· Programmed and executed back testing with in-house simulation engine, using C++ for high frequency, and VBA for lower frequency strategies
· Managed real time production risk parameters to optimize performance in changing market conditions
· Implemented extensive post-trade analysis to hone trading performance
· Managed liquidity providers examining last look and firm liquidity, PnL per trade, latency, fill/accept rates, and slippage
Quantitative trader on Asian equities team at a hedge fund founded by former members of Long Term Capital Management. Primarily responsible for a quantitative long/short equities strategy on TSE, with 2007 performance of 32% Return on Capital
· Executed Topix free float and MSCI index rebalancing, IPO, and special situation strategies
· Created fully integrated quantitative trading platform, with trade signal generation, real time portfolio management, historical trade analysis, and portfolio risk management
· Developed models for pair, box, and portfolio historical analysis, performing cointegration, orthogonal regression, time series analysis, Ornstein Uhlenbeck analysis, unit root testing, momentum testing, and stress loss analysis
· Built risk analysis tool detailing PnL decomp, beta, market cap, price, volume, PB, PE, and volatility exposures
· Tested historical performance of dividend capture strategy and sector momentum strategy
· Executed majority of cash and futures trades for pan-Asia strategies on TSE, SGX, HSI, KOSPI
· Performed full trade support, including FX hedging, PnL reconciliation, financing, trade processing, and trade break research
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Capital Markets Analyst
Planet Home Lending LLC
Los Angeles, California
