Gym, Travel, Movies
Prateek Jaiswal
Quantitative Analyst
Mumbai
Summary
I'm Prateek Jaiswal, a 2022 IIT Kanpur graduate, trading and researching high-frequency strategies with a Mumbai-based HFT firm. I enjoy analyzing Tick-by-Tick (TBT) data, I am an entrepreneurial and self-motivated professional, dedicated to collaborating on challenging projects, enhancing skills, and achieving continuous improvement in my professional journey.
Overview
2
2
years of professional experience
Work History
Quantitative Analyst
IRageCapital (High-Frequency Trading)
06.2022 - Current
- Research and trade an Options Market Making strategy focused on the Implied Volatility surface within the Indian Equity derivative market
- Conducted analysis of strategy logs, leading to enhancements in order replacement, order priority logic, hedging strategies, and option pricing
- Developed a dynamic spread model for options quoting, systematically analyzing market dynamics and order flows across various market regimes
- Regularly monitored Implied Volatility skewness and Greek exposures to proactively manage risk exposures within the portfolio during trading
- Successfully implemented and deployed a Stochastic Volatility Inspired (SVI) model to calculate Implied Volatility values for an entire option chain
- Demonstrated a keen interest in analyzing Tick-by-Tick (TBT) data, meticulously identifying observations and patterns crucial to find signals
- Formulating an alpha based on market microstructure: incorporating order book imbalances, order flow- types, and frequency analysis
- Conducting an examination of the lead-lag relationship between order arrivals in options and changes in the future order book
Education
CBSE(XII) - undefined
Nalanda Academy, Kota
CBSE(X) - undefined
Little Flower School, GIDA Gorakhpur
B.S. Economics -
Indian Institute of Technology, Kanpur
Kanpur05.2022
Skills
Python
undefinedResearch
Media Expressed Negative Tone & Firm Level Stock Returns (June'20 - August'20)
- To observe the relation between Media Expressed Negative Tone and predictability of firm level stock returns
- Web Scraped news articles using BeautifulSoup library for NIFTY50 firms from top business-news websites
- Performed tone analysis using NLTK Tokenizer and Lemmatizer & Loughran and Mcdonald word list
- Built a Vector Autoregression(VAR)[Time series model] to derive effect of negative tone on daily share returns
- Observed negative impact of negative tone on stock returns; 17% return on sentiment based trading strategy
Position Of Responsibility
Founder, Public Policy and Opinion Cell, IIT Kanpur, May'20 - May'21
- Spearheaded a 3-tier team of 50+ members to organize events for 7500+ members of campus community
- Planned 1st edition of Indian Governance Summit having esteemed personalities like Viral Acharya
- Partnered with Policy firms to conduct 15+ workshops & competitions on Economics, Geo-Politics, Science
- Successfully led flagship event Policy Conclave, collaborated with 10+ firms & arranged 1L+ INR sponsorship
Interests
Timeline
Quantitative Analyst
IRageCapital (High-Frequency Trading)
06.2022 - Current
CBSE(XII) - undefined
Nalanda Academy, Kota
CBSE(X) - undefined
Little Flower School, GIDA Gorakhpur
B.S. Economics -
Indian Institute of Technology, Kanpur
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