Navoneel Raichaudhuri

Team lead - Equity Algorithmic Trading (Sell side) Algo development.

• Managing a team of 4 working across 3 different regions - US, EMEA and APAC on core algo development and implementation.
• Developed and automated a framework for testing Simulation results from the old and new model run across a large no. of orders prior to each model release in US.

Working with the Equity Algorithmic Trading execution desk on algo development.

• Developed a framework in JAVA for the interaction of client orders with Citi's internal US central risk desk which was taken to live across a large no. of clients and is a a major feature of Citi's algo flow.
• Solved a no. of different client complaints and issues raised by the desk like with Short Sale Restricted orders, issues with Aggregated orders, failing to clean up odd lot at orders' end, less or more than desired participation in the auctions etc. Worked on investigating them, proposing a solution, implementing the soln. and integrating it with the existing algo framework, testing the soln. in a test-driven-development framework before deploying it to client flow and monitoring the soln. when it was taken live for clients, all within a strict deadline.

Working with the Equity Derivatives Trading Desk

• Developed and maintained a fully automated pricing check and alert generation tool for trading use and developed the internal webpage for the same in Python.
• Maintained the daily production runs for the stochastic volatility model and correlation model tools.

• Worked on validating Exposure models for assessing Counterparty Credit risk.
• Tested the assumptions and limitations of the model and back tested for assessing model performance (in Excel and R).

Worked on designing new high frequency trading strategies.

• Developed new high frequency trading models for different time scales for use in the Indian market, using time series analysis techniques and variables like weighted average of bid and ask levels, cross-returns of stocks from the same sector in C++.