// Financial Engineer & Mathematician
// Asset pricing, market microstructure, funding liquidity & market design
I study how market rules, information, and liquidity constraints shape prices in modern electronic markets, with a focus on queues, adverse selection, funding fragility, and market design.
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Current work in financial economics, with emphasis on asset pricing, market microstructure, funding liquidity, and market design.
Develops a structural theory of deceptive liquidity in electronic limit order markets. Cancellation is an action; spoofing is a source of value. The paper separates bona fide execution value from induced response value and studies when public order-book patterns can and cannot identify manipulation.
Views -- · PDF opens --Shows that FIFO queue priority allocates adverse-selection exposure, not only execution speed. One-rank priority is a claim on a marginal execution state; toxic front priority can survive through entry, reposting frictions, and cancellation constraints.
Views -- · PDF opens --Studies how public order-flow inference can change continuation margin after the current mark has settled, linking price discovery, funding fragility, forced deleveraging, and market depth.
Views -- · PDF opens --Derives a closed-form sign condition for adjacent return covariance. Momentum appears only at intermediate informed participation; free entry maps information costs into continuation and reversal regimes.
Views -- · PDF opens --Studies price improvement in a price-time-priority limit order book. Improving one tick buys non-front access, but it can also transfer signed front-priority exposure; under sniping-dominated front states, no-undercutting can survive as tick size goes to zero.
Views -- · PDF opens --Characterizes exactly when deterministic-strike Jamshidian decomposition survives in multifactor affine term-structure models, and develops a projected one-factor approximation when bond-loading vectors are only approximately collinear.
A short theory note on the constrained implementation layer of quadratic option market-making approximations, with a book-level binding-set stability theorem and an observable margin diagnostic for upper-cap decisions.
Introduces queue tomography to reconstruct hidden liquidity structures in limit order books.
Research assistance for authors Madhu Veeraraghavan and Abhishek Rohit.
An intuitive essay blending Hurst exponent, fractional Brownian motion, and Volterra equations.
Download ->Notes on Arrow–Debreu, SMD aggregation and welfare results.
Download ->On Grossman–Stiglitz, Kyle and dynamic REE models.
Download ->A solved-problems working draft on market microstructure, adverse selection, Kyle-style equilibrium, price impact, and high-frequency econometrics.
Download the book ->A compact field guide to modern market mechanics, combining microstructure research with narrative vignettes.
Download the book ->A short story draft narrated by Whisker, the old cat at Leopold.
Read story ->Written at 24 in Hong Kong, a story of tenderness, restraint, and the rituals that carry entire histories.
Read full book ->On a snow-locked night in Interlaken, an Indian quant and a Pakistani psychiatrist drop their defences.
Read full book ->Access my custom built tools and algorithms.
Access Solutions ->Let's collaborate on research or discuss market mechanics.