Systematic ultra-high frequency FX trading

- Prop Trading in Liquid Instruments (Forwards, Futures, Options and ETFs) in FX, Fixed income, Commodities, Equity Index- Researched in mid (daily rebalancing) to high frequency trading signals (a few hours holding period) G10 FX signals

• Collected data on earning announcements and developed MLE estimation procedures to analyze effects of earning announcements on option prices.• Developed Bayesian methods to estimate models with Regime-Switching, Jump-Diffusion, Stochastic Volatility, LAD regressions, and models with fat-tails.• Implemented particle filtering algorithms to study real-time dynamics of latent factors underlying various financial models.

• Analyzed the time-series predictability of spreads between treasury rate, fed fund rate, agency rate and MBS rate.• Developed term-structure model incorporating stochastic volatility, seasonal events and random shocks.• Estimated using Bayesian MCMC methods and decomposed the variability of the term-structure of interest rate spreads.• Found that quarter-end, after-quarter-end and year-end accounted for most of the variation in the interest rate spreads. Year-end accounts for 80-90% of variation observed in the spreads between treasury and MBS rate, and the spreads agency and MBS rate.• Calibrated treasury bonds using the Neilson-Siegel model and priced bonds with various maturities.• Improved the calibration approach of the Neilson-Siegel model to provide more robust estimates.

• Taught review sessions and held office hours for classes in Finance, Statistics and Computer Science.