Jan 2017 – Jan 2018 · 1 yr · Kolkata Area, India

• I have been member of Quant One from day 1 of the firm. This provided me opportunity to become Involved in all aspects of a quant strategy development including Ideation, Backtesting, Execution, Risk Management and Monitoring. My major research areas have been Machine learning, Momentum strategy development and systematic Futures portfolio construction. Following are my major projects:-
• ●Worked on integration of generic portfolio algorithms in Machine learning System modelling expected returns
• ● Led a team of researchers from top institutes on varied projects
• ○ Using Bayesian optimization for hyperparameter search in Random forest and ML system
• ○ Using autoencoder variables in place of PCA generated variables
• ○ Other projects included usage of Fourier transform, tick data, clustering of assets, feedback system

Jan 2015 – Jan 2017 · 2 yrs · Kolkata Area, India

• ● Developed Machine Learning system used for most financial asset allocation decisions in $15mn+ fund
• ○ System interacted financial assets, custom financial indicators and machine learning algorithm and other
• trading and risk decisions to arrive at the asset composition. Helped in testing ideas in small time.
• ○ System was built in Java with help of machine learning libraries in R and Python
• ● Developed multiple strategies for fund using above Machine Learning system, generating 20%+ returns
• ● Identified Transaction costs(Slippages) as a major source of uncertainty. Divided problem as costs dependent and
• independent of our transaction. Modelled both of them improving performance of all strategies
• ● Involved in hiring, training and mentoring of employees

Jan 2013 – Jan 2015 · 2 yrs · Gurgaon

• I worked in Credit Risk Oversight team under Enterprise Risk Management. My team acted as second line of defense for risk management and was required to work on any credit related issue. My work dealt with working on special projects coming directly from senior management on credit related subjects.
• Recognition:-
• Awarded with Analyst of Quarter, Team Superstar and Reward Points, Special Bonus for contribution to different projects and overall work.
• ● Identified issues in CCAR, a regulatory reporting of capital adequacy for next 9 quarters
• ○ Coordinated with different teams to assemble different parts of model in a single spreadsheet to experiment
• with hypotheses from different risk managers
• ○ My work helped Amex to immediately answer regulators queries. Was rewarded by management
• ● Built a model for possible balance on credit cards in India business in response to a Regulator(RBI) comment
• ● Developed bankruptcy forecast model based on Google trends which reduced error by 50% from previous model
• ● Developed risk policy escalations framework for higher management to identify early signals of portfolio risks
• ● Took session on Risk management and BASEL capital requirements

Apr 2012 – May 2012 · 1 mo · Mumbai Area, India

• Worked on development and evaluation of strategies for algorithmic trading using technical analysis of Indian securities
• Analyzed various stocks to develop a model to identify leaders and laggards among various stocks for executing trades

May 2010 – Jul 2010 · 2 mos · Munich Area, Germany

• Worked on digital maps to extract information and to classify a map as forest, crop area, river etc
• Used it to provide feedback to navigation system of unmanned air vehicles from which images were taken
• Was graded 10/10 for performance