Apr 2015 – Mar 2022 · 6 yrs 11 mos · Mumbai Area, India

Apr 2014 – Mar 2015 · 11 mos · Mumbai Area, India

Jul 2012 – Mar 2014 · 1 yr 8 mos · Mumbai Area, India

Jan 2012 – Jun 2012 · 5 mos

• DeltixLab Project:-
• I have worked for a high net worth client for implementation,designing ,development and deployment of the multiple instrument and portfolio level trading strategy on Deltix Product suite for Indian Capital Market.
• I have worked on medium frequency strategies and successfully built 15+ strategies for the client.
• Development Platform:- C#
• My work and responsibilities were to :-
• 1.Understanding the client need and trading logic with its order management system and other minute complexities in strategy development
• 2.Making algorithmic design and understanding Algo complexity with flow chart and pseudo code
• 3.Building up the strategy with any custom indicator and statistical tools on the trading platform(Quant Office)
• 4.First level testing on multiple scripts for maximum in-sample data and checking robustness of trade signals and logic implemented
• 5.Improving the strategy with customization based on the first level testing and analysis of the trade results and logs
• 6.Using optimization tools and techniques including brute force optimization forward walk optimization for analyzing the results of back testing and fine-tuning the model for final improvement
• 7.Final level back-testing(in-sample data) and forward testing(out-sample data) simultaneously triple checking of the trade entries with dynamic and complex stop losses,reentry and exit positioning sizing, order management considering slippages,latency and commission factors
• 8.Simulation with live data and analyzing effectiveness of strategy on different data sets and on different bar intervals for the maximum alpha generation
• Success- Out of 15 , we went live for 3 strategy with very high annual returns

Jan 2012 – Jun 2012 · 5 mos

• Quantitative Modelling and Automated trading
• Platform:IB/Tradelink/MB Trading/Excel
• I made quantitative automated trading system, In first stage i did research on quantitative models ,understood the minute details of research papers on which our model was based , modeled it and made the dummy strategy with real data and checked all the signals and computations.In later stage i had developed and designed a 'n' number of condition sets for final statistical and scientific computation based strategy for International Market with dynamic signals,trailing stop losses,order book balance , crossover determination,bar sizing,positioning sizing,gain rebate pairty e.t.c.

Aug 2011 – Nov 2011 · 3 mos

• Spectral Methods for PDE Project
•  Analysed the Fourier spectral method for numerically solving Cahn-Hilliard equation with periodic boundary conditions , proved existence and uniqueness of the numerical solution
•  Computed iteratively the nonlinear system with calculating Fourier coefficient by FFT and coded it on Matlab

May 2011 – Jul 2011 · 2 mos

• International Economics Project
•  Calculated the impact of FDI inflows on Gross Output(GO) and Labour Productivity (LPR) on Major Sectors of Indian economy
•  Used Panel Co-integrating test ,Unit Root Test ,Fully modified OLS, Dynamic OLS testing on Eview, RATS and SAS
•  Concluded that in the FDI is not growth stimulant rather it is growth resultant to developing countries like India

Jan 2011 – Nov 2011 · 10 mos

• Credit Risk Modelling Project
•  Analysed and compared the mathematical modelling properties of basic credit risk structural , reduced form and hybrid models
•  Further did the parallel computing and numerical analysis of PD with sparse grid method , default barrier with meshfree method
•  Implemented and validated the model in Matlab, and the comparative statics of the models are examined .
•  Examined and coded on Matlab for the EBIT-based model of Goldsten in two different cases : static case and the dynamic case

Jan 2010 – Nov 2010 · 10 mos

• Computational Fluid Dynamics Project
• Studied conservation of law of fluid dynamics, boundary conditions, Navier-stokes equation, transport equation
• Analysed the Finite volume method for Diffusion problem, Convection-Diffusion problem
• Implemented all these FVM on Matlab with n nodal points with different differencing schemes (central ,upwind, hybrid)
• Finite Element Method Project
•  Represented a term paper on a new mixed FEM method using quadrangulation mesh to solve navier-stokes equation
•  Estimated the optimal error and well-posedness of the problem with implementation & plotting on Matlab with examples
•  Demonstrated the FEM solution by Galerkin method to the problem of axially loaded bar with the help of Matlab tools

Aug 2009 – Nov 2009 · 3 mos

• Optimization Project
•  Studied the global descent methods for unconstrained global optimization problem to attain the global optimality
•  Solution framework consists of a two-phase cycle with the construction of the (quasi) global descent functions
• Mathematical Modelling Project
•  Analysed models of therapy in light of anaemia and provides a quantification of the amount of drug a body tolerates
•  Discussed Endemic equilibrium, bifurcation point analysis of 2 and 3 variable set of differential equations using P.D.E concepts
•  Calculated and studied local stability, global stability of 2 and 3 variable system of differential equations of whole model

Jan 2009 – Nov 2009 · 10 mos

• Econometric Method Project
•  Examined the contribution of foreign direct investment to economic growth in Africa using graphical and regression analysis
•  Discovered that the contribution of FDI to growth is estimated to be positive in most of the countries but not significant
•  Used DW test, Granger causality test, t- statistic test , R-square method on 11 countries time series data for 30 years
• Regression Project
•  Using SAS have successfully done MLR Analysis to predict various factors effecting reported crime rate
•  Fitted OLS, tested β for significant repressors, tested multi-collinearity and used variable selection techniques for subset model
•  Used R Square ,Adj-R square, backward & forward elimination technique for residual analysis,checked normality probability plot

Jun 2008 – Jul 2008 · 1 mo · Kolkata Area, India

• Cryptography Project, I.S.I Calcutta
•  Detailed study of the important cryptographic and combinatorial properties of Boolean functions used in stream cipher
•  Implemented T.T/ANF, Walsh transformation, correlation Immunity, resiliency, cryptanalysis algebraic degree in stream cipher
•  Implemented Shamir's Secret Sharing Scheme

May 2008 – Jul 2008 · 2 mos

• Finance Project, I.I.M Calcutta
• Worked on different Assets Pricing models and have done all implementation on VBA
• Worked on VIX Modelling research project ,reduced execution work upto 90% by re-developing model on JAVA with GUI to calculate India VIX, realized VIX as proposed by Prof. A. Banerjee
• Analysed Share Buy Back transaction of 100 companies with data mining and number crunching skills with prowess software by CMIE

Jan 2007 – Oct 2007 · 9 mos · IIT Kanpur

• Entrepreneurship Project, SIDBI Incubation Centres
•  Analysed ecosystem and working models of incubation cells and incubates centered at IIT Kanpur and IIT Bombay with 20+ startups on their different socio-economic aspects
•  Proposed few changes in incubation ecosystem which later got implemented and reflected in IIT Kanpur SIIC incubation cell policies
•  One of my team member got awarded with CBFW-NEN fellowship 2010 (for women only) for our project and efforts made by us.