Ingensoma.

Phone interview questions (assumedly)

1) Tell me about yourself

My name is Viacheslav Baykov (you can call me Slava), Im 23 years old recent graduate
from NUS Business School. I was born in Syberia but grew up in Moscow, where I finished
high school with honours having algebra, geometry, physics and astrophysics as my favorite
modules. After that, I entered Finance University. There I studied finance and credit, and
discovered quantitative finance applications on financial markets as the best practical
implementation for my theoretical skills obtained so far. I specifically fell in love with
derivatives- Lord witness me, I couldnt live a day without thinking about them haha. In the
end, I graduated Ba Hons with a graduation work focusing on high-frequency trading
overview.
Meanwhile, I have completed summer Consultancy internship in PwC, which was not very
informative, unfortunately. Then I had a half-year employment with Open Bank Moscow as
a Junior Analyst on derivatives market (crude oil futures at most). I was assisting a senior
trader with the technical and fundamental analysis of relevant products, and I found this job
challenging yet extremely interesting. Thereafter, I was sent by my University to work with
Bank for Development and Foreign Economic Affairs (the largest governmental financial
corporation in Russia), where I stayed for 1.5 years as an Investment Project analyst.
Although this job was tough- something I do like- it was not as interesting as the previous
one. Yet, I was let to introduce a couple of adjustments to my responsibilities- e.g. market
risk analysis was not the one among them- it was fully my initiative.
Afterwards, I had the feeling to move on and study abroad. I discovered NUS as the most
appropriate place for me to continue my education, and so I completed Masters with
Honours in Business School. My primary modules were QRM, Econometrics and
Derivatives, and I started learning programming languages syntax. I also participated in a
Derivatives Trading Competition held among students with my team won the first prize!
Just recently, on the 21st of May, I completed FRM Exam Part 1- it was sophisticated and
rigorous, but, according to my feelings, I managed to pass it successfully. It reminded me
how genuine my interest in working within quantitative finance is.
In the end, I have to admit that after reading a book written by Mike Bellafiore, the CEO of
SMB Capital entitled One good trade I was swallowed by the atmosphere of competition
and non-stoppable self-development that accompanies proprietary trading.
2) What makes a good trader?

Well, it is a really subjective question. Apparently, you have to be a sharp analytical mind,
fast-thinker under stressful conditions and, no doubts, passionate about financial markets and
trading. But, through my previous experience, I inferred 3 so-called always rules and 1
never rule that every good trader should follow undoubtedly:
Rule 1: Always have a strategy: you should dedicate some time before each trading session
to develop a strategy and construct a relevant tactics scheme for a particular day. In the end
of a day you analyze its pros and cons, adjusting for appropriate changes and therefore
improving it. You must strongly follow this strategy unless it produces more losses than
income- in this case, you quit and carefully investigate what went wrong.
Rule 2: Always set stop-loss orders: by that I mean that you must cut off your loosing
position and never remain it open in hope to minimize losses. Recall e.g. Nick Leeson from
Barings, whose primary mistake was an attempt to gain back by increasing the loosing
position. If you suffer a loss- go out, make a quick research of a flaw in your model, and go
on with a new one.
Rule 3: Always respect the market: I actually inferred this rule from The Alchemy of
Finance- a great book by a great trader George Soros. The market is a powerful force you
have to honor. Never put yourself higher than it, dont fight the tape- otherwise, the
punishment will be very severe. When you win, it means that the market let you do that
because your strategy was right, unless it is just a lucky coincidence. You lose- the market
tells you that something is flawed in your approach. In the end, a good trader always
remembers this rule.
And finally, Rule 4: Never stop learning: this I can tell is the obvious one. A good specialist,
regardless of the job he does, never reaches the perfection- there are always new obstacles to
overcome, new heights to conquer. And you have to be equipped to face a changing realities.
3) What trading strategy are you most interested in?
As far as Im interested in derivatives, the most appropriate strategies are day-or swing
trading, if we talk about the time-frame. Position trading simply doesnt work most of the
time as it is too long-term.
I also think that one should combine technical analysis approach with quantitative analytical
models. For instance, options evaluation is better done with bi-trinomial tree adjusted for
volatility calculated by GARCH (1,1)- this approach was used by my supervisor in Open
Bank Moscow.
For futures, however, technical analysis is a slightly better use. Here I like most two
particular strategies: when the market is trending (and youre doing swing trading), the
MACD histogram divergence is a very good signal of a change in direction- from my
experience, it worked almost 70% of the time with crude oil Brent futures (on a weekly

basis). However, when the market is flat and volatile, this strategy is not useful at all- in this
case, I think stochastic oscillator produces more or less right signals.
But, as I said, one should combine technical analysis with quantitative models approach.
Sometimes a good quantification may reflect a nice discrepancy arbitrage- and I with my
team used this approach when trading in Nasdaq options during Derivatives Trading Game in
NUS.
4) What do you know about our company? This position? Why do you want to work for us?
Your company is a proprietary trading firm focusing on derivatives, and specializing in Asian
markets where you are a leading player (esp. in Kospi market). Your approach to trading are
highly structured algorithms which you use for automated execution of deals. You also
mention high-frequency trading that provides low risk/high return- do you primarily use this
approach?
I like the fact that you use sophisticated valuation models and pay strong attention to risk
management- it helps you find the reliable discrepancies in the markets and arbitrage on
them. I also appreciate the dynamic atmosphere of friendly cooperation and non-stoppable
development that your company provides. Finally, you dont narrow the range of products
you deal with and always look for the new markets/instruments to capitalize on- e.g. you also
trade on cash market, which is interesting as well.
Concerning Junior Trader position- I really like the range of responsibilities attributed to this
role in a kick-start manner. You have only 2-3 months of training preparation- and then you
are expected to become a fully responsible part of a mechanism, providing pricing and
trading of products, performing position management and risk analysis, improving the
strategies and developing new ones. This requires strong quantitative and analytical skills,
open mindset and ability to deal with pressure and make quick decisions. I think, this is what
makes a job interesting- challenges, importance of what you are doing, and, for myself,
sophisticated valuation models a specialist has to deal with. I also believe that my
involvement in this sphere, my addiction to quantitative finance, will help me to make a
significant contribution to the companys performance as a Junior Trader. Finally, this is the
profession that pushes you on for a continuous learning, improving your capabilities and
testing your limits.
5) Why do you think you are a good fit for this role?
First of all, its my genuine interest in financial markets. I do not only deal with them on a
working basis- I love reading financial documentaries; meeting people from this sphere
regularly as they share their experience and opinions; in the end, I like watching movies of a
related script, e.g. recent The Big Short- very funny and instructive, although there were
plenty of drawbacks. I never stop educating myself within financial markets.

Second, my developed quantitative and analytical skills. My favorite subject was and
remains mathematics- I even read books on, for instance, topology and stochastic calculus
just for my own pleasure. I participated in Russia-wide mathematical competition
Lomonosov 2010 where I won the 1st grade laureate (apart from many other smaller
competitions). I even wanted to enter MSU, Mathematics&Mechanics Department, but my
dad insisted on going to Finance University, and I feel much obliged for it now. Finally, I
have an astrophysics among my recreational scientific interests, so I believe I am capable of
dealing with rigorous valuation analytical models.
Third, I am a good fit because I can deal with a high pressure environment, make quick
decisions and able to learn fast, whenever applicable. I am good at working in a team as well
as on my own, and I love mutually sharing opinions and experiences.
To conclude, I believe that my background may well bring some fresh vision to processes
you employ and challenges you company might face. I think that I can help you with your
current activity- as far as you are a startup, you definitely have a lot of administrative stuff
and so on, and I could give you a hand on this!
6) Tell me about your working experience
Sure. Firstly, during 2 months of summer 2012 I worked as an Consulting intern at PwC, but
I dont have much to share about it. We didnt have time to do anything relatively importantwe were just taught how to perform market research and P&L analysis using a previous years
case-studies. Needless to say, I didnt like it and realized that I wanted to do something else.
At that moment I came across with Mile Bellafiores One good trade book, and I
understood- this is what I wanted to do. So, I started working part-time at Open Bank
Moscow as a Junior analyst, where I was assisting senior trader with derivatives valuation
and technical analysis. I was working with crude oil Brent futures and was doing MACD
histogram divergence recognition to decide whether it was a time to roll-over a position.
Then my supervisor compared my outcomes with his own thoughts and made an appropriate
adjustment. Still, we were also using valuation models to price derivatives- you can not rely
only on technical analysis. Open Bank has an affiliate connection with Gazprom Holdings,
so we had a reliable source of the figures we needed to calculate: market-wide convenience
and lease rates, commodity spread fractions, convexity adjustments. Then, by inferring the
expected price for future delivery, we could tell with more or less strong level of confidence
which side of arbitrage discrepancy could we employ. I have to admit that roughly 70% of
deals made on these calculations produced positive results. So, I found a job a wanted to do.
But then, I was arranged to work with Bank for Development and Foreign Economic Affairs
as a part of learning program. There I acted as Investments Project Analyst at the Department
of Natural Resources, and, although I liked this job less than the previous one, it taught me

the high responsibility to make decisions on your own in a lack of external help.
Nevertheless, let me describe the role:
After having several months training of what I was supposed to do, I worked on the analysis
of two highly-capitalized projects of a governmental importance- this Bank specializes in
financing infrastructural projects that ordinary banks cannot go for. The first project was
named as Development of new Boron extraction points and implementing advanced
methods of producing Boron acid and products and required 2.5 billion RUB in a first
investment round. Of course, I didnt have to go into the technical details of a project- my
part reflected the analysis of NPV statement of a project and comparing the calculations to
the standards set by the Bank. E.g. WACC was used as a standardized discount rate. I also
investigated a companys financials in Bloomberg to make sure they were not lying in a
Prospectus. Finally, I made a report and presented it to an Investment Committee with my
decision whether we should consider this investment opportunity or send it back for
completion. The second project, Development of new biaxially-oriented polypropylene
tape, required 2 billion RUB.
One more thing I liked about that time was my fully initiative market-risk analysis of the
companies. My boss liked the idea, and although I was not basing my report on the outcome
of such analysis, it was a good help in making a final call.
In the end, I had to quit the Bank because I entered NUS Business School and returned to
studies 24/7. Now, after graduating with Second Upper Honours degree and having FRM
Part 1 Exam completed, Im ready to start working again, and I would really love to go back
into trading sphere.
7) Tell me more about NUS Derivatives Trading Game 2015
Sure. It was held among students of a relevant discipline September through November
2015. We were split into teams of 4-5, each of us was given $1 mln and approx. 2 months to
trade. Our professor developed a special real-time trading platform so he could easily check
our activity. The instruments available were crude oil Brent futures, Nasdaq 100 option,
Japanese Yen futures and Treasury 10-year note futures.
Im happy that you asked me about this game because it is a very good example of several
aptitudes: leadership, teamwork and making quick decisions. Our team couldnt agree upon a
particular strategy- some even wanted to trade independently and then combine our result. I
told I was ready to put myself in charge of developing trading technique. The deadline was
next day- we had to start trading as soon as possible. So, I spent all the day and night long to
choose which instrument to trade and stopped at crude oil futures and Nasdaq 100 options. I
chose scalping for the former (it was extremely volatile, but flat) and discrepancy arbitrage

for options- comparing theoretical price with the market price and see whether it is overunderpriced. Next day, I presented the outcome to my teammates, and, I have to admit, the
team was nice and competent. They introduced some efficient adjustments to the model- e.g.
using binomial tree with VXN index for volatility instead of manually calculated volatility.
All in all, it worked the best, and we finished with the first prize and 45% return- 70% of it
contributed to futures, thanks to the extreme fluctuations at that time. This case taught me
several things- teamwork really matters and helps achieving best results; also you have to be
ready to make quick decisions and take the leadership in something you are competent, but
always listen to your mates.
8) Tell me about a time when you had to make quick decision
Apart from NUS Derivatives Trading Game, I recall junior analyst job in Open Bank
Moscow. My supervisor, senior trader I was working with, a couple of times gave me some
sort of fire-calls. It was like that: Slava, Im looking at this futures now, and I need your
opinion. You have one hour, then Ill do whatever you say. Of course, I had to make no
wrong decision, because if I had done that, I would have been penalized or even fired! Yet,
everything worked out nice- I was using the analysis technique which my supervisor taught
me, and, in the end, the positions turned out to be profitable (not so much, due to
insignificant timeframe- only several days). But I received a warm praise from the senior
trader. I really liked this style of work, because I had to quickly make a decision which was
not the one among my responsibilities. Going out from your comfort zone is a good way to
train your ability to act under pressure.
9) What are the main challenges you have faced so far?
Derivatives trading game 2015 NUS
Well, its a good question. I can remember a couple, though there were much more.
First one coming to my mind was a Russia-wide mathematical competition Lomonosov
2010. It consisted of three extremely tough and exhaustive tours- calculus, threedimensional geometry and logical tasks which were not so difficult in their solution, but
insanely hard to come up with it. It took almost two months to complete and, after passing all
three steps, I gained enough to win the first laureate prize. Needless to say, the preparation
period was a nightmare- I had almost no sleep and, even considering that mathematics is my
favorite module, sometimes felt nearly vomiting from all these calculations and hardthinking. I sometimes joke that if I were to do it again, I would never go for it haha. Its not
true, apparently- I appreciate great challenges.
Next one actually reflects one of my weaknesses- Im too deep into details when it comes to
dealing with any task. It was my first project in Bank for Development and Foreign
Economic Affairs, and I literally read through all the sentences in the Prospectus and
analyzed every single calculation of an enormous financial model accompanied. My boss

told me not to bother myself with anything apart from several main points, but I just couldnt
sleep knowing that there was something I didnt understand properly. So, I was working 1415 hours a day for some weeks to make a report on time. In the end, I made it great, and
luckily, my conciseness never faded when I was presenting to a Higher Investment
Committee haha. Still, it was a tough time for my physics.
In conclusion, I want to mention something very distant. I play several musical instrumentsaccordion and guitar professionally- and, apparently, I participated in several Moscow and
Russia-wide musical competitions where I was winning first and second prizes mostly. Of
course, each one was a responsible and important contest and required a lot of rehearsals.
Combining it with a lot of studies at school and the fact that I was also playing volleyball
and visiting taekwondo, I had no time for recreational activity, but I dont regret it. At least, I
can attract a lot of girls with my guitar skills haha.
10) What are your strengths/weaknesses?
Im a very fast learner, especially when it concerns financial markets- I never stop educating
myself. I have strong quantitative and analytical skills that I keep on developing throughout
my whole life. Then, I never retreat in the presence of challenges- oppositely, it forces me to
go beyond my limits and pass it. Finally, I can maintain control under pressure and make
quick cold-minded decisions.
Concerning my weaknesses, I may be too deep into details. Even when my supervisors tell
me that you should not bother yourself with anything except this main points, I cannot live
peacefully knowing that there is something in my work I didnt understand properly.
Next, I like being ahead of deadlines. Of course, the quality comes the first, but if I can get
everything done before the scheduled time, no doubts I will do this.
Lastly, I have too many interests in many spheres. It sometimes irritates me because I cannot
choose which book to start with e.g. and so I read 4-5 books at a time, still maintaining all
the info in my head.
11) Where do you see yourself in 5 years?
Apparently, I see myself working as a senior trader (if 5 years is enough to become one). I
appreciate the atmosphere of non-stoppable education and tough challenges you face doing
this job. I would also like to develop my own trading strategies basing on the materials I
analyze and my own experience. Of course, I see myself making a significant contribution to
a companys performance, dedicating most of the recreational time to improving my working
skills and, what also attracts me, helping younger generation in this sphere to become
professionals.
12) Describe a typical day of a trader

From conversations with traders I had and from specific books I read like One good trade,
I somewhat constructed a perception of a typical traders day.
Firstly, you get up early in the morning. Trading session starts at, say, 8am, but you have be
awake at 6 something (like 6.15). Then, you make a quick research of what happened in the
markets during the night, and work out briefly your tactics for a day. After squeezing in a
morning bus, you come to an office and start chatting with your colleagues on thoughts
exchanges and so on. Then, a head of the floor comes and makes a speech about some fresh
news and instructions for a trading session. Final inspiring words- and the working day
starts. You keep a sharp eye on three monitors, for instance, open positions, rolling them over
and closing whenever appropriate. In the end of a session, a trader makes quick
representation of his performance (P&L statement) and then leaves. A good trader then
dedicates some time in the evening to analyze what he has done so far, looking for flaws in
the model he implemented, and making appropriate adjustments to it. And, if there is a
recreational time- well, its purely individual- going to the gym, watching movie and so on.
13) What markets do you follow?
Well, nowadays energy market and especially crude oil futures are being at the centre of
worldwide attention. For example, when we had our trading game (Sept Oct last year) this
market was extreeemly volatile like almost never before- I guess the speculators gained a lot
from it. Anyway, Im not only following this market because of its storming activity- Im
doing that rather because Im being concerned about Russian economy. As you know,
Russian financials like currency or budget deficit highly depend on energy market level- the
remainder from Soviet Union- and as far as it has depressed a lot, our currency dropped and
we suffered. I hope, still, that this gonna get better soon, and right now Im praying that the
fact crude oil price cracked $50 from below signifies an upcoming trend. There is actually
much more about politics, and I keep an eye on it.
As a consequence, I follow Russian currency and RTSI index- the former used to be so stable
for such a long time- around 30 RUB per $, but after these political scandals with Crimea
and civil war in Ukraine it lost more than 100%, then gained back 30%, then last it again- its
the most volatile period of all times since our default in 1998. And RTSI index, which is a
nice representative of Russian market activity, has been declining since 2012 when it was
2000 down to 960 now. But, it has experienced a long term double-bottom which is a great
signal of trend change. Combining it with positive expectations on oil, it is about to speed
up.
Im also very fascinated by the development of Asian market through the last 20-30 yearsits been an incredible result. The flow of FDIs and portfolio investments is now refocusing

from the West to the South-East, step by step. For instance, Chinese market just recently was
very restrictive- and now it is widening the borders to let the foreigners in. Although this
half-year is somewhat tough- for all markets- Asian business environment is very attractive.
Finally, developing new analytical models to approximate vanilla and exotics prices in the
market is something that interests me. Concerning our derivatives trading game, we used
binomial tree adjusted for VXN volatility to simulate the price of Nasdaq100 options, and, I
should say, it predicted an option to be overvalued, and later on it decreased in value. Yet, it
was a fairly simple model, there are much more sophisticated ones that use improved ARCH,
Geometric Brownian motions. There is one particularly interesting- neural networks in
predicting time series data. Im very new to this sphere, but the main idea how to construct a
financial variable simulation alongside with human brain processes is itself very intriguing.

Flow Traders questions:

1) What do you know about our company? This position? Why do you want to work for us?
Your company is a globally recognized liquidity provider on ETPs market founded in
2004 in Amsterdam and having offices in US and Singapore as well. In other words, you
are an authorized participant or, specifically, market maker. By possessing high
buying/selling power, you are eligible to continuously quote bid/ask spreads for
thousands of ETPs on different markets all over the world, which keeps you attached to
continuous activity 24 hours a day. You are independent principal (or proprietary) trading
firm acting fully on your behalf with your own account.
ETPs were created in 90-s and have gained high popularity so far. They typically include
mostly ETFs, ETNs and others like ETCs. Still, in the absence of global liquidity
providers, these instruments become very hard to trade. This is where your part comes in:
you contribute to overall ETP ecosystem by providing fair quotes for investors. You also
try to fully and instantaneously hedge your exposure by taking an opposite position in the
underlying whenever you buy/sell a particular ETP. Your activity lets you capitalize on
arising arbitrage opportunities (using primarily ETF arbitrage strategy), as for wellbeing, and bring liquidity to the market.
The Junior Trader position comprises 6-months intensive in-house training scheme in
HQs in Amsterdam, followed by an enrollment on a trading desk with Senior trader in
Singapore. As far as I inferred from other companies, Junior Trader actually assists
Senior trader in developing strategy, monitoring markets and pricing instruments.
Sometimes he is challenged to go beyond the scope of his responsibilities (e.g. maintain

all the process on his own). This position requires genuine interest in financial markets
and trading, passion for excellence and ability to quickly act under pressure.
I want to work for your company because of several reasons:
a) Its a worldwide recognized trading firm with a highly developed internal
infrastructure that always seeks for a perfection;
b) You offer team-collaborative mutually-assistant environment where all
individuals act as a unity rather than solely; being in your team is being
surrounded by the brightest passionate professionals, which makes you become
the best yourself;
c) Finally, Im passionate for trading and almost everything related to it. And I
believe that my skills and knowledge will help me make a well-positive
contribution to your company
2) Walk me through an ETF arbitrage
ETF is an investment vehicle that aims to follow a particular benchmark by comprising a
portfolio of underlying instruments in relevant proportions (e.g. S&P500 index fund buys
shares of companies in this index in the percentages these shares are reflected in the
index). ETF holds assets like stocks, derivatives and so on and is traded throughout a day
at a price very close to its Net Asset Value, which is (Assets-Liabilities). In this sense it is
very similar to close-end funds.
Still, there are usually discrepancies between ETF share price and NAV- this is where
arbitrage opportunity arises. For authorized participants (which market makers are to be)
there is Creation and Redemption mechanism to capitalize on these discrepancies. For
instance, if ETF share price is higher that NAV, it is said to be overpriced and AP shorts
this share. He hedges by taking a position in the underlying product so his overall
exposure is offset. In the end of an arbitrage, he will sell the underlying and redeem the
ETF shares, which closes his short position. All in all, concerning it is a zero-cost
investment (or even negative-cost investment, as far as he has some profit from the
discrepancy in the beginning) that tends to create some risk-free profit at the end, this is
clearly an ETF arbitrage. This particular technique is called Creation.
Redemption is symmetrically the opposite, when ETF price if less than NAV.
ETF arbitrage follows two purposes: to gain small risk-free profit from the arising
discrepancy and to maintain ETF price and NAV closest to equilibrium, therefore
bringing liquidity to the market.
3) Why do you want to become a trader (at our company)? Why not trading for yourself?
My favorite module has been mathematics- I loved quantification and deep analysis that
comprised my studies at school. At university, I discovered finance, and especially
financial markets to be the best implementation of my quantitative skills obtained so far.

I started reading books about it, searching for a specific sphere that suited me most- and
then I came across with Mike Bellafiores One good trade. And I told myself- this is it!
This is what I want to do as my profession.
Trading requires excellent quantitative and analytical skills; it deals with quick response
to changing circumstances, need to be the best, and continuous learning- and I highly
value this features. They make the job tough yet extremely interesting.
I rather prefer being in a team. When you work among your colleagues who also share
the inner need for excellence and thrive for it, you are inspired to become the best
yourself. Finally, it is always much more fun and joy!
4) What might be a potential difficulty to become a trader?
Its definitely when your quantitative skills, and especially quick mental calculations
abilities are not developed. Secondly, an inability to think clearly and act fast under
stressful condition potentially harms the traders activity. And finally, even if one has
everything mentioned, but doesnt possess genuine passion for financial markets and
trading, he will doubtfully become a good specialist.
5) How do you cope with stress?
Well, its a tough question haha. I assume that my calmness under stress was developed
since I started participating in musical competitions. I went through dozens of them and
even participated in a world-wide accordion competition, and, step by step, I realized that
Im only worrying before something. When it actually comes, I become if not peaceful,
but calm and sharp. I also tell myself that panic will never help, only distract your
attention, so I throw all bad thoughts from my head.