Research
Research
Empirical research into financial markets, derivatives and market microstructure.
Computational Finance & Applied ML
Statistical and machine-learning methods applied to financial systems — feature construction, model validation and the discipline of telling a fitted model from a useful one.
1 paper · 1 research note
- Working Paper2026
Overnight-Premium in Indian Stocks
Close-to-open returns in 184 F&O-eligible NSE stocks are positive, pervasive and robust — but no long-only way of harvesting them survives correct real-time implementation and realistic costs.
- Out-of-Sample Validation
- Overnight Returns
- Transaction Costs
- Look-Ahead Bias
- Indian Equities
- +1
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Research notes
Shorter write-ups of a study or a programme of tests — the question, the design and what was found, including when it was nothing.
Research note
How Much of NIFTY's 1-Minute Direction Is Predictable? A Spectral Ceiling for Option Buyers
Instead of testing one more entry signal, we asked how much of NIFTY's short-horizon direction any linear signal could predict at best. The answer — under 1% of variance across all sessions at 1–5 minutes (about 0.2% in the development period) — caps hit rates well below what an intraday option buyer needs.
- Market Microstructure
- Derivatives Markets
- Computational Finance & Applied ML
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