CS from IIT Roorkee. Two years validating credit scoring models at Wells Fargo.
Currently pursuing Financial Mathematics at NC State - mostly focused on market microstructure and systematic strategies.
Looking for quant trading and research roles for 2027.
- Futures microstructure — ES calendar spread mean-reversion using Databento nanosecond order book; fair-value decomposition via SOFR + dividend yield
- ML-enhanced equity strategies — XGBoost 4-quadrant L/S momentum reclassifier on Russell 2000; 10-member ensemble on 19 cross-sectional features; regime diagnostics via feature importance rotation
- Crypto market making - Avellaneda-Stoikov walk-forward backtester in C++20 on Coincall BTCUSD perpetuals; Volatility + iintensity MLE calibration, quote-through fill replay
- Derivatives pricing — Heston calibration, Carr-Madan FFT, options market making frameworks (Avellaneda-Stoikov / GLFT), stochastic optimal control
- Competition — IMC Prosperity 4: ranked 42nd globally in Phase 1 (~18k teams), finished in overall top 5%
Languages: Python, C++, SQL, SAS, R
Libraries: NumPy, Pandas, SciPy, Statsmodels, Scikit-learn, XGBoost, QuantLib, Vollib
Platforms: QuantConnect, Databento (MBP-10), Bloomberg Terminal
Methods: Time series, Monte Carlo, numerical optimization, stochastic calculus, microstructure analysis
- Email: dhaldar@ncsu.edu
- LinkedIn: Dhrubojeet Haldar