Saptarshi Kumar

SAPTARSHI KUMAR 104 Aditya Housing Society, Gulmohar Cross Road No.7, J.V.P.D.,Juhu,Mumbai 400409 (- -pilani.ac.in SUMMARY A pre final year student from India currently pursuing a dual major in Computer Science and Economics, with a keen interest in Finance with a focus on Quantitative Finance. WORK EXPERIENCE Trexquant Investment LP Global Alpha Researcher May 2018 - January 2019 · Developed statistical arbitrage trading strategies for USA,Europe and Japanese equity markets with the objective of maximizing information ratio while minimizing turnover. · Have consistently read and implemented research papers on Fundamental,Technical and Sentiment Analysis. · More than hundred alphas have gone into paper trading while five of them are being live traded. WorldQuant LLC Research Consultant September 2017 - March 2018 · Used advanced mathematical and statistical techniques to model and predict market movements and develop quantitative strategies for efficiently trading strategies in the US,Europe and Asian markets. · Placed in the top tier among all the consultants in the world. · Won the quarterly consultant meetup competition, by presenting a momentum strategy with a Sharpe ratio of 2.47. Quant One Technologies Pvt. Ltd. Quant Developer May 2018 - July 2018 Kolkata,India · Developed a Post Trade Analysis Framework which generated a daily report of the fund’s performance which was automatically mailed to all investors. · The Framework integrated a Risk Metrics System which quantified several risk factors and a Strategy Analysis Metrics to help them scrutinize their existing strategies. · Python and its libraries such as pandas, numpy, matplotlib,scipy,sklearn and mysqldb were used extensively to develop these features. Department of Economics,University of Manitoba Research Intern May 2019 - August 2019 Winnipeg,Canada · Under the guidance of Dr.Carlos Yepez, I worked on building a stochastic model to predict the implications of sovereign debt default for both international capital flows and risk sharing from the perspective of emerging market economies. · The model was implemented in Julia and computational methods like multiprocessing & multi-threading was used to speed up the computation from forty hours to below eight hours. PROJECTS Seasonal Anomalies in Indian Markets Department of Mathematics, BITS Goa August 2019 - Present · Identified several seasonal anomalies in the Indian markets like day of the week ,turn of the month and month of the year anomaly using statistical methods. A novel trading strategy was also suggested to exploit these anomalies. · Research was also done on the effect of indigenous Indian factors like festivals and holidays on the stock market. Momentum Strategies in Indian Markets Code Jan 2019 - May 2019 · Built a momentum strategy in the Indian equity markets which captures their historical movement and takes a volatility sized position in trending stocks · Gives a return of more than 500% in the last ten years, with a Sharpe ratio of 1.61 and a maximum drawdown of 19.92%. Deep Learning for Forex Markets Dec 2019 - Jan 2020 · Built Deep Learning models to predict the 24 hour high and low of major forex pairs and metals · Achieved a mean squared error in the range of 10−4 , using a combination of LSTMs and Dense layers to process time-series and non time-series data. Market Simulator and Automated Execution System July 2018-August 2018 · Built a market simulator and back tester using NIFTY50 end of day data for the last 10 years on which technical strategies can be simulated. · Built an automated execution framework using KiteConnect API which is used to fetch tick data and also place live orders. TEACHING ASSISTANTSHIP Applied Econometrics Undergraduate Teaching Assistant January,2020 - May,2020 · Conducted tutorials on the implementation of regression techniques in Python for a class of fifty students. · Decided the topic of course projects and assisted in evaluating them. EDUCATION Birla Institute of Technology and Science,Pilani B.E. Computer Science & M.Sc Economics Minor in Finance August 2016 - May,2021 Overall CGPA: 8.76 EXTRA-CURRICULAR Institute of Electrical and Electronics Engineers(IEEE),BITS Pilani President April,2017-March,2018 · Led a team of fifty students to organise a state level conference which was attended by industry professionals and academicians. · Organized talks, workshops and hackathons to motivate the student community to pursue technical activities. Wallstreet Club, BITS Pilani Vice President April,2018-March,2019 · We manage a yearly portfolio of equities and derivatives over which generated returns of 7.2% when the index was up 0.3%. · Started a Quantitative Finance Division which actively searched for robust signals in the Indian Markets. · Mentored more than 90 club members in the field of finance and economics through talks, lectures and activities on the different aspect of the finance. AWARDS & ACHIEVEMENTS Qualified Stage 1 of HOLT Valuation Challenge by Credit Suisse by completing assignments related to valuation Stood second worldwide in the Annual Trexquant Competition,2018 Stood tenth all over India in JP Morgan Quant Challenge,2019 Awarded the prestigious MITACs Research Scholarship to pursue a summer research internship in Canada Received the Merit cum Need Scholarship leading to waiver of 80% of my undergraduate fees due to exemplary academic performance