Research
Research
Empirical research into financial markets, derivatives and market microstructure.
Market Microstructure
Price discovery, order flow, liquidity and market dynamics at intraday horizons.
3 papers · 2 research notes
- Working Paper2026· v17
Open Interest Repositioning around Intraday Price-structure Breaks: Evidence from NIFTY 50 Index Options
A comprehensive empirical study of whether intraday options open-interest repositioning provides advance information about structural price breaks in NIFTY 50 index options.
- NIFTY 50
- Weekly Options
- Open Interest
- Market Microstructure
- Structural Breaks
- +2
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- Working Paper2026
FnO Ban Selling Pressure
A pre-registered test of whether entry into the NSE F&O ban creates selling pressure in the cash market — large and significant in 2020–24, then gone from 2025.
- F&O Ban
- Position Limits
- Price Pressure
- Single-Stock Derivatives
- Event Study
- +1
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- 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
Searching for Intraday Edges in NSE F&O Stocks: Findings from a Pre-Registered Research Programme
About 38 pre-registered rounds of intraday tests on NSE F&O stocks found effects that were real but almost always smaller than realistic trading costs. The clearest structural finding: predictable information is priced in the overnight gap, not during the session.
- Market Microstructure
- Price Discovery
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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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