Yerim Kim
I am a first-year Ph.D. student in Finance at Korea University, advised by Professors Baeho Kim and Thummim Cho. My research focuses on market making and risk management. [cv]
Contact
Notice
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Korea-Japan Joint Symposium on Statistics and Data Science 2024
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Korea Finance Association Conference 2024
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Best Paper Award at the 2024 Korea Finance Association Conference
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Korea Finance Association & Kiwoom Securities Scholarship
About Me
My research goal is to investigate the market impact of high-frequency trading and to develop risk measures that capture tail risk. I majored in management and financial engineering during my undergraduate studies and in computer science for my master’s. I also worked as a market maker at Korea Investment & Securities, specializing in market making, derivative securities, data analysis, machine learning and deep learning.
Research Interests
Market Microstructure | Market Making | High Frequency Trading | Machine Learning / Deep Learning | Financial Engineering | Derivative Securities | Optimization | Risk Management
Education
Korea University
Ph.D in Finance
Mar 2024 - | Seoul, Republic of Korea
Market Microstructure • Market Making • Risk Management • Econometrics • AI
Korea University
MEng in Computer Science
Mar 2021 - Feb 2023 | Seoul, Republic of Korea
AI • Computer Vision • Programming • Financial Theory • Options and Futures
Korea University
BS in Business
BS in Financial Engineering
Mar 2015 - Feb 2019 | Seoul, Republic of Korea
Derivatives • Time Series • Linear Algebra • Mathematical Analysis • Econometrics
Hong Kong University of Science and Technology
Business school
Feb 2017 - May 2017 | Hong Kong
Work Experience
Information System Security Lab [website]
Master student | Researcher
Jan 2021- May 2023 | Seoul, Korea
Publications
Detect your fingerprint in your photographs: Photography-based multi-feature Sybil detection [paper][website][conference]
Yerim Kim, Minjae Kim, Myungjae Chung, Junbeom Hur
The 23rd Privacy Enhancing Technologies Symposium (PETS 2023), July 10-14, 2023, Laussanne, Switzerland.
γ-Knife: Extracting Neural Network Architecture Through Software-Based Power Side-Channel
Dohyun Ryu, Yerim Kim, Junbeom Hur
IEEE Transactions on Dependable and Secure Computing, accepted, 2023. 9. 6.
Papers under Review/Revision
Follow Your Hidden Traces: Underground Forum-based Darknet Market Sybil Detection
Minjae Kim, Yerim Kim, Junbeom Hur
Working Paper
Market Maker Short Selling: A Necessary Evil?
Yerim Kim, Kyong Shik Eom, Baeho Kim
Conference
Korea-Japan Joint Symposium on Statistics and Data Science
Market Maker Short Selling: A Necessary Evil?
2024.11.02
Korea Finance Association Conference
Market Maker Short Selling: A Necessary Evil?
2024.11.01
Patent
Darknet Multi Account Detection Model that extracts user information charateristics of photos
Yerim Kim, Minjae Kim, Junbeom Hur
2021.12.20
Apparatus and Method for Analyzing Artificial Neural Network
Dohyun Ryu, Yerim Kim, Junbeom Hur
2021.11.01
Research & Project
Darknet Market Sybil Detection | ISS Lab [website]
Advisor: Prof. Junbeom Hur
Jan 2021- July 2023 | Seoul, Korea
(Published paper based on work and accepted to PETS 2023)
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Photograph based multi-feature Sybil detection model
Extracting features of darnet market vendors from photographs in fine-grained level and revealing Sybil accounts
Model architecture of multi-feature Sybil detection
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Darknet market multiple account detection with on- and off-chain dataset
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Market microstructure especially market making in contexts such as optimal execution, order spread, and inventory risk [material]
Presentation of curriculum as a head of HFT
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Implementing trading models for market making based on mathematical modeling and reinforcement learning using intraday bitcoin dataset
List of research papers used to implement the market making model
Market Microstructure | Research Challenger Program [website]
Advisor: Prof. Baeho Kim
Jul 2022- Feb 2023 | Seoul, Korea
(Selected for disciplinary convergence project and supported by school)
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Purpose of market maker’s short selling in terms of basis gap and liquidity
Conducting regression analysis using panel dataset and analyzing intraday dataset
Market making system and trading scheme
Optimal Portfolio | Mirae Asset Financial Group [website]
Jul 2022 - Oct 2022 | Seoul, Korea
(Awarded as best paper from national competition hosted by Mirae Asset)
Equity Linked Warrant | Korea Investment & Securities [website]
Advisor: Senior Trader. Gihwan Kwon
Feb 2019 - Jun 2019 | Seoul, Korea
(Awarded as best paper from Korea investment & securities)
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Reducing issuance fee of ELW [paper]
Verifying scenario for issuance period and price range by conducting simulation
Price coverage simulation of call ELW
Derivative Securities | KUSEA
Jan 2018 - Jun 2018 | Seoul, Korea
(Presented paper at the National University Students Economics Forum)
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Domestic introduction of weather derivatives and expected hedging performance [paper]
Calculating based on scenario of listing weather derivatives on Korea Exchange
Monthly demand and supply functions of weather derivatives
Academic Society
FBA Quant | Financial Big Data Analysis Quantitative Finance Research Group
Quantitative finance research group built at intersection of financial engineering and data science
Jan 2021- Present | Seoul, Korea
KUSEA | Korea University Students Economic Association
Econometrics research group studying and discussing economic issues
Jan 2018 - Dec 2018 | Seoul, Korea
UFEA | University Financial Engieering Association
Financial engineering research group studying structure of derivative securities
Jun 2016 - Sep 2016 | Seoul, Korea
KUBIG | Korea University Big Data Research Association
Statistical analysis research group learning big data analysis tools and theories
Jul 2015 - Jun 2016 | Seoul, Korea
Award & Honors
2024
Best Paper Award
Korea Finance Association Conference
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Market Maker Short Selling: A Necessary Evil?
Ph.D. Student Scholarship
The Korean Finance Association & Kiwoom Securities
2022
iPBL Research Competition | 1st Prize
LG Electronics Inc. & Korea University
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Creating new customer value for induction COOKTOPS [slides]
Customized induction recipe recommendation service for each user
Project overflow and application prototype
Financial Big Data Analysis Competition | 4th Prize
Mirae Asset Financial Group
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All weather alpha portfolio
Best Paper Award | 4th Prize
National Cryptography Competition
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Detect your fingerprint in your photographs: Photography-based multi-feature Sybil detection
Research Challenger Program Scholarship
Korea University
Junior Fellow Research Grant Scholarship
Korea University
Peer Tutoring Program Scholarship
Korea University
Teaching Assistant Scholarship
Korea University
KT Corporation Consulting Competition | 1st Prize
KT Corporation & Korea university
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Restaurant consulting based on KT's big data [sildes]
Consulting using business canvas, SWOT, 3C analysis and 4P strategy
Business canvas of restaurant
2021
Best Idea Award | 2nd Prize
National AI Security Competition
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2019
Best Paper Award | 1st Prize
Korea Investment & Securities
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Reducing issuance fee of ELW
2017
Mirae Asset Exchange Scholarship
Mirae Asset Financial Group
2015
Business School Schorlarship (2015 - 2018)
Korea University
Teaching
SWAI Academy | Korea University
Teacher
Jan 2023 - Feb 2023 | Seoul, Republic of Korea
COSE 214 Algorithms | Korea University
Teaching Assistant (Prof. Dogil Lee)
Mar 2022 - Jun 2022 | Seoul, Republic of Korea
Peer Tutoring Program | Korea University
Tutor
Apr 2022 - Aug 2022 | Seoul, Republic of Korea
Institute for Global Education | Korea University
Mentor
Sep 2017 - Aug 2018 | Seoul, Republic of Korea
Samsung Dream Class | Samsung
Mathematics Teacher
Apr 2016 - Feb 2017 | Seoul, Republic of Korea
Extracurricular Activities
Consumer Electronic Show | Korea University
Translator
Jan 2022 | Las Vegas, USA
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Interpretation for RoBoTry Company
RoBoTry: company making paper robots for coding and educating on robotics mechanics and structure
Working at RoBoTry Boothe from CES 2022
Mirae Asset Global Reporter | Mirae Asset Financial Group
Reporter
Feb 2017 - May 2017 | Hong Kong
KU Pride Club | Korea University
Ambassador
Feb 2016 - Feb 2017 | Seoul, Korea
Volunteer Work
KUBS Global | Korea University Business School
Academic Team Leader
Feb 2016 - Dec 2016 | Seoul, Korea
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Published book about school life and course registration for international freshment at business school
Guidance book for freshment
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Hosted events such as meeting with seniors, field trip, and welcoming party
Speech from meeting with seniors
Books
합격 선배가 알려주는 공부법 | Megabooks
ISBN 9791129701220
2018 | Seoul, Korea
합격 선배가 알려주는 학생부종합전형의 모든것 | Megabooks
ISBN 9791129701213
2018 | Seoul, Korea
