// शून्य (Shunya) — the quantitative consulting practice
Where stochastic calculus meets microsecond execution. Proprietary HFT solutions for firms operating at the frontier of Indian and global derivatives markets.
Shunya — शून्य — Sanskrit for zero. In mathematics, zero is not absence but perfect balance. In HFT, the edge lives in what most models cannot see: the invisible choreography of limit orders, adverse selection, and microstructure frictions that pull prices away from theory.
"Markets are not random. They are merely too complex for most participants to decode — until now."— Aryan Ayyar, Founder · MAHE Bangalore
Each engagement begins with rigorous mathematical formulation — extending Kyle (1985), Almgren-Chriss (2000), and eSSVI surface theory to real market microstructure. Every solution is architectured for production deployment, not academic exercise.
Five modular solutions, each battle-tested in live Indian derivatives markets. Deployable independently or as an integrated stack.
Real-time calibration of arbitrage-free implied volatility surfaces using the extended Surface SVI (eSSVI) framework. Eliminates butterfly and calendar spread arbitrage through differentiable lattice penalties, producing smooth surfaces suitable for options pricing, delta-hedging, and structured product valuation. Deployable with 2ms latency (HyperIV-class) using hypernetwork parameterization.
Deep-level limit order book (LOB) analysis at tick resolution: toxicity scores (VPIN), adverse selection quantification, queue dynamics, and spread decomposition. Proprietary data schemas for option chains and LOB snapshots at microsecond timestamps. Identifies hidden liquidity patterns and price impact functions to calibrate trading strategies against real market frictions.
Almgren-Chriss based optimal execution algorithms calibrated to Indian market liquidity regimes. Minimizes implementation shortfall through adaptive TWAP/VWAP schedules that respond to real-time spread, depth, and toxicity signals. Includes a full Transaction Cost Analysis (TCA) layer: slippage decomposition, broker performance benchmarking, and execution quality reporting.
GBDT/LSTM hybrid models for real-time market regime classification: calm, trending, high-volatility, and crisis states. Trained on NSE F&O microstructure features — realized volatility, order imbalance, spread dispersion, and cross-sectional correlation. Enables dynamic strategy switching and risk limit adjustment, reducing drawdowns by adapting execution and sizing to prevailing market conditions.
Each consulting engagement follows a rigorous mathematical formulation-to-deployment pipeline.
Shunya works exclusively with firms and individuals operating at the quantitative frontier.
Estee Advisors, iRage, Graviton, Quadeye — firms running NSE co-located strategies who need cutting-edge volatility surface infrastructure or execution optimization that their internal quant teams haven't yet built.
Flow Traders, IMC, Optiver, XTX, and smaller European prop shops looking to expand into Indian derivatives markets need a local microstructure expert who understands NSE F&O liquidity dynamics, co-location economics, and regulatory constraints.
AlgoBulls, Trinkerr, and similar platforms needing institutional-grade TCA layers, execution quality reporting, or volatility analytics to differentiate their institutional offering and attract serious quant clients.
Structured as modular consulting engagements — one-off projects, advisory retainers, or co-development partnerships.
Every engagement starts with a focused diagnostic conversation. No pitch decks. No sales process. Just a precise discussion of where your execution or modelling stack can be improved — and whether Shunya is the right fit.
// Typically responds within 24 hours · All enquiries treated with discretion
