London, England, United Kingdom
Specialties: Algorithmic trading products, Market micro-structure, Intratrade analysis, Signals, Econometrics, Predictive Engine Programming Languages: Python, R, KDB/Q, C, SQL, Advanced Excel, Primary knowledge of .Net Framework
• Execution Strategy Leadership: Led research to improve schedule-based and liquidity-seeking algorithms, reducing market impact, and execution slippage. • Algorithm Design: Optimized trading strategies responding to liquidity, volatility, and market order book-based signals. • Alpha Research: Directed short-horizon price momentum research and integrated predictive signals into execution decisioning. • Volume Forecasting: Developed volume surprise models to dynamically adjust execution urgency and participation. • Dark Liquidity: Built dark venue fill probability and fill rate models to optimize dark routing across venues using utility cost minimization. • Market Microstructure: Analyzed micro- and macro-structure to inform child order placement, aggressiveness, and venue selection. • Model Ownership: Owned full model lifecycle from hypothesis and backtesting through validation, governance approval, and production rollout. • Production & Desk Support: Deployed models into low-latency trading systems and provided continuous desk-facing diagnostics and tuning. • Leadership: Acted as senior quantitative advisor to traders; mentored and led junior and mid-level quants.
Leading the Intra-Trade Quant Research Team in Mumbai to design, simulate and enhance Citi’s Equity Algorithmic Trading strategies to improve performance of clients’ trading flow. • Build models to identify predictive signals in sentiment values, news feed, order book data and employ these signals for prediction of movement in return, liquidity and volatility of stocks. • Perform multi-variant regression analysis to identify importance of various microstructure variables and order specific variables in describing impact cost for different equity markets. • Build model to predict short term alpha for US markets to improve execution performance of algorithmic strategies • Develop model to predict short term alpha signals based on real time order book imbalance to be used for opportunistic trading strategies. • Publish quantitative pieces on ongoing market microstructure changes in various stock markets globally covering analysis of likely impacts on general microstructure and trading activities.
Worked for development of Banking Applications for the client. Had an enriching On Site Experience of working in Tokyo for a year and gained insights into Project Development, Bussiness Modeling and Client Management.