Hello, my name is Jeong Ho Chu, with the OTC management team at Yuanta Securities.
The OTC management team deals with OTC derivatives, and my role is a Quant.
Quants help management by modeling financial problems mathematically
then using computers to solve these problems.
Many people may be unfamiliar with Yuanta Securities.
TongYang Securities Inc., previously famous for CMAs was acquired by Yuanta Taiwan and renamed Yuanta Securities.
We are currently investing intensively in “We Know China” and “Don’t invest in Shares, Do tRadar” as part of China’s investment guide.
ELS means stock-linked securities,
a derivative that seeks higher returns than bonds, and more security than stocks.
While it is good for customers, as it seeks higher profits,
the company issuing securities faces risks because it has to provide a high profit to the customer.
To hedge this risk, you need to use highly sophisticated mathematics and very powerful computers
to operate in a very sophisticated way to provide the promised returns to customers.
We have to calculate a total of 25,000 scenarios,
and with our existing server, this would take around 3 hours to calculate.
3 hours is a very long time for a trader,
so there was a need to increase servers in order to reduce this time.
And on the days when the volatility of the market increases, traders needs to calculate more scenarios,
and as the results from the server are calculated too slowly, we have been working to try and reduce the time.
Above all, AWS offers a price plan called ‘Spot Instances’ which is not offered by other clouds.
The Spot Instances is a cost-effective plan
where AWS auctions spare Amazon EC2 computing capacity and allows for 70~80% discounted rates on the standard on-demand prices.
To utilize this, we have introduced queues and invested time on building a stateless environment.
Because of the Seoul Region, the connection between our company and Amazon was very fast, which I liked,
and because of this, we had access to low network latency services, and was thought that many security issues could also be resolved.
Furthermore, there is a variety of departments in Korea such as sales, engineering team and training team,
and with their help, we were able to easily implement ideas.
In addition, they provided an abundance of APIs allowing us to automate scripting which was very convenience and easy to use.
Currently, we have completed the PoC on AWS,
and we plan to phase into production in accordance with Financial Services Cloud best practices and guidelines.
In addition, we are using VPN connection for intra-company connection.
Presently we have completed testing for up to 500 cores,
and we are building a structure that can be further expanded within minutes in response to demand.
Jobs which took an average of 3 hours on an existing limited core, has sped up approximately 4 times and has decreased to 30 minutes.
It is also possible to reduce costs by turning it off when it is not needed.
This scalability of AWS was utilized very effectively past June when there was great market volatility due to Brexit.
We require enormous computing power to quickly and efficiently analyze the risks of derivatives and use them in trading,
and I think that it would not have been easy to respond if it were not for AWS.
What's even better is that you only need to turn it on during the times you want,
so the cost of use is much cheaper if you use it for only 3-4 hours.
Furthermore, Spot instances are again 70% to 80% cheaper than the above mentioned price.
It can be used at around 200 won. Based on this calculation, it can be concluded that the cost is reduced to 1/10 compared with the existing cost.
At present we are using Amazon very well at very low prices.
I am currently using 50 scenarios,
and I would like to calculate more scenarios
which before I could not imagine possible due to insufficient computer resources,
so that I can assist in a more stable management.
And we are trying to reduce additional costs by introducing Lambda, the stateless server currently provided by AWS.