Research

Financial markets produce enormous amounts of fast-moving data, yet their underlying dynamics are often hidden behind noise. My research treats markets as stochastic systems and brings together methods from physics, applied mathematics, and empirical finance to find structure in how orders and prices behave, especially at high frequency.

A central theme of my work is the intraday behaviour of the order message book. With Markov chains, I study how orders and price changes transition through the trading day and how these patterns differ across market capitalizations. This includes work on order transitions during the 2018 US and China trade war, and more recent work on the transitions of ask and bid limit order prices.

Current work: News sentiment and market microstructure

At the IITB–Citadel Securities Quantitative Research Lab, I am extending my work on market microstructure by incorporating news sentiment into models of order flow. This work examines how information arriving through news influences order flow and price formation at high frequency.

See my research publications for more details.

I am always open to collaborating with people who can contribute novel ideas to my current work. If you see a way to collaborate, or are interested in thoughtful outreach, please get in touch!