As an independent quantitative researcher, I developed “Death by Microstructure: Nifty 50 VRP & Execution Latency,” an SSRN working paper on a high-frequency strategy between the Nifty 50 and India VIX. The strategy achieved a theoretical directional risk-free gross return of 17.85%.
For the work, I developed a Split-Brain EGARCH framework for 15-minute intraday data and used a discrete-time Kalman Filter for dynamic delta hedging. I also identified execution collapse linked to the 9:15 AM U-shape in variance and rebalancing friction.
In my statistical arbitrage project, I analyzed relationships between Kotak Mahindra Bank and IndusInd Bank. I used the Johansen Cointegration Test to identify stationary, mean-reverting portfolio combinations and OLS regression to calculate residuals for dynamic execution.
I also developed a Monte Carlo volatility simulator using Geometric Brownian Motion, covariance matrices, and Cholesky Decomposition. I’m studying Financial Investment Analysis at Shaheed Sukhdev College of Business Studies, and I’m a member of the startup incubator ecosystem at Shaheed Sukhdev Innovation & Incubation Foundation (SIIF).
