Advisory at the intersection of market microstructure, optimal execution, and the invisible mechanics of price formation.
Start a conversation →Theory informs, but markets decide.
The most important information is what the order book doesn't show.
The Zen of execution: wait for the trade to come to you.
Deep-dive analysis of limit order book dynamics, adverse selection costs, and price impact models for trading desks and portfolio managers.
Custom execution algorithms and TWAP/VWAP strategy design informed by Kyle-type information models and Almgren–Chriss frameworks.
eSSVI and SABR model calibration, implied vol surface construction, and Greeks analysis for options desks.
Co-authorship and research assistance on working papers in asset pricing, market microstructure, and financial econometrics.
One-on-one sessions for PhD applicants, CFA/FRM candidates, and early-career quants building market microstructure intuition.
Queue reconstruction in NSE Nifty50 futures using Level-2 LOB data and hidden Markov models.
A pedagogical framework for teaching quantitative finance using Socratic derivation — deployed at MAHE Bengaluru.
A derivation-first companion to the Kyle (1985) and Almgren–Chriss (2000) models for independent learners.
Every engagement begins with understanding the specific friction: is it adverse selection, execution slippage, or model misspecification?
Build a theoretical skeleton — Kyle, Almgren–Chriss, or a bespoke framework — before touching data.
Test the model against live or historical order flow, refine assumptions, and document failure modes.
Final output is always a clear, written document: a working paper draft, an execution memo, or a strategy specification — never just a deck.
“Aryan's work on LOB dynamics brought rigour I hadn't seen outside of top-tier academic research. His derivations are clean, his intuition is sharper.”— Research Collaborator, [Institution Redacted]
“The mentorship sessions genuinely changed how I think about market impact models. Rare to find someone who can teach Kyle and make it feel intuitive.”— PhD Applicant, [University Redacted]
I take a limited number of engagements at any given time. If your problem involves market structure, execution quality, volatility modelling, or quantitative research — write to me. A brief description of the problem is enough to start.