Benjamin Chung Email & Phone Number

http://ssrn.com/abstract=3853181- Trading signals must be binary, communicating timing information *only*, and must not carry magnitude information.- Frequency of correctness matters more than gain/loss asymmetry.- Portfolio diversification is achieved through the diversification of information, not "really" through diversification of assets.- Measurement.

Toronto

• Worked with Blackheath’s Portfolio Manager to create Blackheath AI Global Macro FX strategy (BAI) – a systematic global macro FX strategy with month-long holding period.
• Innovated and implemented new improvements to portfolio construction to reduce idiosyncratic risk of USD and global systematic risk.
• Researched and backtested new machine learning models, and implemented improved models using tensorflow.
• Original models achieved annualized Sharpe of +3.3 pre-Trump-China Trade War. Improved machine learning models achieved annualized Sharpe of +1.8 pre-COVID-19.
• Portfolio volatility never exceeding its risk target despite Brexit, Trump U.S./China Trade War, and COVID-19-related global financial market and economic collapse in 2020 H1.
• Pursuing new alpha research in the field of stock volatility using innovated Portfolio Theory and thermodynamics, describing stock volatility as a function of its debt and available float.

• Independently researched, developed, and implemented a scalable, purely systematic, long-horizon global macro quantitative FX allocation strategy.
• Researched and implemented machine learning models in Java (and eventually Python) to create forecasts in currency markets.
• Innovated a new Portfolio Theory upon the fundamentals of Information Theory, resolving many issues with Modern Portfolio Theory and Tactical Asset Allocation (what a trading signal is, low levels of input/training.
• Architected, developed, and integrated all systems involved in the systematic trading system. Macro-economic data acquisition, ingestion, sanitation, normalization, monitoring; machine learning model creation.
• Integrated the strategy’s tactical asset allocations with Interactive Brokers trade execution.
• Achieved +400% total return with annualized Sharpe of 2.5 over the first 15 months.

Toronto

• Created systems to ensure data correctness for backtests and model ingestion.
• Conducted research with Portfolio Managers on macroeconomic forecast models for GTAA's systematic emerging market currencies strategy.
• Developed and performed backtesting on new models.
• Integrated new factor models into production infrastructure.
• Assisted in the daily monitoring and management of portfolio trades, positions, and risk.

Sourceforge

• Created the world's first opensource object-oriented deep learning library (Java) and released it under the GPLv2 in 2007. https://sourceforge.net/projects/jarbm/
• Assissted post-graduate students around the world in its use for their theses.