Jan 2023 – May 2024 · 1 yr 4 mos · Charlotte, North Carolina, United States · On-site

• DTSC2301: Modeling in Society (Application of Data Science in Social Sciences; using World Bank Data, R programing)
• DSBA6211: Advanced Business Analytics (Decision tree, Time Series, Text Mining, Survival Analysis )
• INFO3221: Programming for Business Analytics (python)
• DSBA 6188: Text Mining and Information Retrieval (Application of NLP, prodigy, Hugging Faces)

May 2020 – Feb 2022 · 1 yr 9 mos · Bengaluru, Karnataka, India · Hybrid

• Quantitative Developer in Fixed Income, Currency and Commodities(FICC)
• Set up trading infrastructure for a new desk for market making strategy in US Treasury interest rate options
• Improved overall fit of a two layered parametrized Volatility Surface Model with backtesting and added Kalman filter to reduce data noise
• Reduced the time of model development cycle by implementing a robust testing framework; ensuring no mispricing and model fundamentals are intact at each iteration of the model development process

Sep 2019 – Feb 2020 · 5 mos · Mumbai, Maharashtra, India · On-site

• Crafted an intuitive Tableau dashboard to monitor daily sales and user metrics for strategic decision-making
• Implemented ML to make data-driven decisions for targeted marketing and product recommendation
• Segmentation of sellers into ‘good’, ‘moderate’, and ‘bad’ categories based on app activity, revenue & demographics
• Achieved 20% increase in conversion, the percentage of sellers who order within the first month of signup

Aug 2018 – Aug 2019 · 1 yr · Gurugram, Haryana, India · On-site

• Set up my trading desk for Algo trading, including end to end development of trading infratructure
• Developed a fully automated options market-making strategy in C++ for options traded on NSE
• Implemented statistical methods for market segmentation & identifying the most efficient model for a given market condition

Jun 2014 – Jun 2018 · 4 yrs · Mumbai Metropolitan Region · On-site

• Performed for quantitative research and post-market trade analysis on index option market making strategy
• Exploited the tight lead-lag relationship between future and option prices in tick-by-tick data, a non-synchronously observed diffusion process, by implementing Hayashi Yoshida correlation estimate
• Developed a library of tools in Python for data analysis and visualization of gigabytes of tick-by-tick data and strategy logs, making analysis efficient for the entire team
• Introduced order flow based signals to take positions and to clear off inventory, resulting in two-fold growth in P&L
• Revamped cross exchange statistical arbitrage strategy on equity
• Designed an algorithm in C++ to automate a static profit targeting to dynamic profit targeting;
• Adjusted the target spread dynamically by balancing risk-reward ratio on buy and sell legs of the transaction
• Modeled target spreads using Lasso-regression on price and volume features to address multicollinearity
• Led development of ‘Market indicator’ framework in Python, a plug and play facility for testing the performance of new indicators on simulated Market Data, making research easier for traders

May 2013 – Jul 2013 · 2 mos · Vienna · On-site

• Project goal: To construct phylogenetic/evolution tree for 89 samples from Arabidopsis family(a model organism for genetic studies)
• Designed a subroutine to extract high information containing parts of DNA using Statistical & Data Mining Techniques
• Applied k-mean clustering techniques on processed DNA sequences to construct neighbor-joining tree, depicting an evolutionary relationship between Arabidopsis samples

May 2012 – Jul 2012 · 2 mos · Bengaluru, Karnataka, India · On-site

• Project Guide: Sankarshan Basu
• Department: Finance & Control
• Project Goal: To study and analyze option valuation models for option contracts on S&P CNX NIFTY index
• Compared the option prices calculated using Black-Scholes Model, Hull and White Stochastic Volatility model to the daily market prices to gauge pricing accuracy