DHRUV CHAUHAN
Quantitative Analyst
Rajkot, Gujarat
Summary
Skilled quantitative analyst who specialises in trading volatility. Capable of creating trading bots and creating and applying sophisticated algorithms. Capable of using statistical models and data analysis methods to support well-informed decisions. Ability to deliver creative solutions in a fast-paced environment by collaborating with cross-functional teams.
Overview
2
2
years of professional experience
10
10
years of post-secondary education
Work History
Quantitative Analyst
QC Alpha Advisers
Mumbai
05.2022 - Current
- Worked on identifying Volatility Regime and Analyzed the implications of upward and downward facing slopes of Implied Volatility-Historical Volatility Graph (IV-HV)
- Analyzed Skew of Indian Markets with different strikes (based on moneyness). Developed a system of buying and selling the skew depending upon
conclusions drawn. - Analyzed the effects of Theta to Gamma ratio on different days to expiry and further analyzed the effect of market movement based on Gamma of the option chain.
- Helped in building a gamma scalping engine with delta adjustment adjusted to market volatility.
Research Analyst Intern
QC Alpha Advisers
04.2021 - 04.2022
- Optimized existing directional long options strategy using SciPy library to get a Calmar Ratio of 2.86 and T-Stat of 4.8
- Further analyzed the risk metrics of the strategy by performing Monte Carlo simulation to get the worst drawdown
- Responsible for analysis of trade sheets and understanding slippage of different trading systems
- Calculated Implied Probability Distribution and Analyzed the market bias based on 100-point Iron Fly on Option Expiry Days.
Education
B.Tech - Information Technology
07.2017 - 04.2022
MBA - Finance
06.2017 - 04.2022
Skills
Python and SQL
undefinedProjects and Research Papers
1. Intraday Directional Trading Bot
- Built a price action-based trend following system which takes a maximum of
two trades per day.
2. Intraday Non-Directional Trading Bolt
Built a directional neutral trading strategy which trades the IV, triggers based
on Garman Klass realized volatility. Delta neutrals the position using
synthetic futures.
The process of data collection, data processing, signal generation and execution is
automated using python and deployed on AWS server. The live capital traded using these
bots is around 90 Lakh INR.
Review Paper : Dhruv Chauhan, Rejo Mathews "Review on Dimensionality
Reduction Techniques", https://link.springer.com/chapter/10.1007/978-3-030-43192-1_41
Hobbies
- Playing Poker and Chess
Timeline
Quantitative Analyst - QC Alpha Advisers
05.2022 - Current
Research Analyst Intern - QC Alpha Advisers
04.2021 - 04.2022
MPSTME, NMIMS - B.Tech, Information Technology
07.2017 - 04.2022
MPSTME, NMIMS - MBA, Finance
06.2017 - 04.2022
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