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Achievement: Pull Shark

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Achievement: Pull Shark

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sbaijal/README.md

Soham Baijal

Quantitative Research • Systematic Trading • Financial Engineering

"Building systematic investment strategies through mathematics, statistics, and machine learning."

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Summary

My work focuses on developing statistically robust and reproducible quantitative models for financial markets. Research interests include stochastic processes, derivatives pricing, time series modelling, optimization, and systematic trading. My repositories document end-to-end quantitative research—from mathematical modelling and data engineering to backtesting and performance evaluation—with an emphasis on reproducibility and rigorous analysis.

Skills

Category Skills
Programming Languages Python, SQL, C++, Java
Quantitative Methods Statistical Modelling, Volatility Forecasting, Hypothesis Testing, Derivative Pricing, Time Series Analysis, Backtesting, Monte Carlo Simulation
Mathematics Probability Theory, Statistics, Linear Algebra, Calculus, Stochastic Processes, Optimization
Libraries NumPy, pandas, SciPy, scikit-learn, statsmodels, Matplotlib, arch

Current Research

  • Statistical Arbitrage
  • Volatility Modelling
  • Portfolio Optimization
  • Yield Curve Modelling
  • Market Microstructure
  • Reinforcement Learning for Trading

Research Pipeline

Idea Generation
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Data Collection
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Feature Engineering
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Statistical Testing
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Model Development
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Backtesting
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Risk Analysis
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Execution

"Markets reward discipline, not prediction."

Pinned Loading

  1. Yield-Curve-Modeling Yield-Curve-Modeling Public

    Quantitative fixed income research — yield curve modelling, risk management, and NS factor forecasting on US Treasuries.

    Jupyter Notebook 2

  2. Regime-Conditional-Volatility-Forecasting Regime-Conditional-Volatility-Forecasting Public

    Jupyter Notebook

  3. pairs-trading-optimal-threshold pairs-trading-optimal-threshold Public

    Pairs trading framework that models spreads as Ornstein-Uhlenbeck processes and derives optimal entry thresholds by solving the Kolmogorov Backward Equation — replacing conventional fixed z-score h…

    Python