May 2025 – Jul 2025 · 2 mos · Mumbai, Maharashtra, India · On-site

• Researched Market Microstructure and problems in stochastic optimal control and exit in continuous trading. Created (ultra) high frequency orderbook from trade by trade (tbt) data and formulated short term alphas
• from mathematical and statistical properties of orderbook by targeting volume and orderflow imbalance.
• Studied Optimal Market Making with robust liquidation and formulated Market Making strategy using HJBequations and modelling price dynamics of options on NSE into stochastic processes (Ornstein-Uhlenbeck,Arithmetic Brownian,etc.) and using quadratic inventory penalty functions to drastically reduce inventory risks.
• Studied optimization of multi-asset Market Making in competitive markets using linear approximation
• method for trade arrival dynamics in utility function and multi period model accounting for risk of adverse selection.
• Performed time series analysis of statistical arbitrage spreads by creating orderbook from trade-by-trade data.

May 2023 – Jul 2023 · 2 mos · Mumbai, Maharashtra, India · On-site

• Developed an application for analyzing 5-min IDV (Intra-Day Volatility) against market
• IV, greatly facilitating trading decisions. Awarded Letter of Recommendation for the same.
• Developed a low-latency application for Option IV and greeks calculation, reducing the latency by
• 80% from the currently deployed application in live deployment and backtests.
• Developed basic trading algorithms (long/short straddle, etc. with various hedging techniques) hosted
• on 3rd party platforms (Tradetron/QuantConnect) for paper trading and backtesting.