Download PDF

Akshat Sinha

Quantitative Researcher at Quest Partners

Work History

Jan 2016Present

Quantitative Researcher

Quest Partners

► Back-tested position sizing for various systematic trading strategies in futures.
► Implemented and tested risk-parity portfolios for trend-following systems.
► Replicated hedge fund performance through multi-factor models.
► Conducted portfolio sensitivity analysis to various market scenarios.
► Automated calculation and reporting of daily fund performance.
► Created a unified framework to automate and parallelize common back-testing scenarios.

June 2015Aug 2015

Summer Analyst 

Bank of America Merrill Lynch

Mortgage and Rates desk, FICC e-Trading
► Devised an algorithm to predict price bounds for 30-year Fannie Mae 3.5 MBS, with 10% higher accuracy than Trade Web quotes. Used Python and kdb
► Analyzed market impact of aggressive, passive, cancelled and workup order volumes for 30-year Treasury bonds.
► Investigated cancellation order latency between data feeds in q/kdb.
► Reconstructed historical LOB for 30Y bonds and streamed it live on a browser.
► Built a prototype to parallelize cross-asset risk calculations (FX and Treasury) over multiple server nodes, with ability to prioritize calculation by client’s VAR.
► Used phonetic indexing and other metrics to group counter-parties by legal entity.

May, 2014July, 2014

Summer Intern

Reserve Bank of India

► Investigated the relationship between exchange rate volatility and trade. Used statistical techniques like      GARCH, ADL, VECM, TY-Granger and ICSS structural break detection on time series data in R.
► Prepared a 100 page report on forex intervention by the Reserve Bank, investigating its effects on trading activity in the FX futures and forwards market.

July, 2012Apr, 2014

Software Developer

Wipro Technologies

► Wrote 50,000+ lines of code to implement a distributed CDN from scratch in Java.
► Designed entire client-server workflow and API protocol for delivering content from multiple vendors. Used SQL and Cassandra to handle the database.
► Won two awards for successfully leading the development efforts before a crucial presentation to the client.

Education

Aug, 2014Dec, 2015

Columbia University

M.A. in Mathematics of Finance

► Coursework in Time Series Analysis, Stochastic Processes, Machine Learning, Financial Price Analysis, Quantitative Methods in Investment Management and Numerical Methods in Finance.
► GPA 3.5/4.

Aug, 2007May, 2012

Indian Institute of Technology, Varanasi

Bachelor and Master in Civil (Structural) Engineering

► B.H.U Merit Scholarship Holder.
► GPA 3.8/4. 

Awards

► Ranked 58th at National Science Olympiad, India.
► Ranked 12th in algorithmic trading at Rotman International Trading Competition.

Certification

► CFA Level 1 Passed.
► Series 3.

Skills

► Python, Java, SQL, MongoDB, VBA, Linux.