• M. Stat. Indian Statistical Institute (Kolkata, India)
  • B. Stat. (Hons.) from Indian Statistical Institute (Kolkata, India).
  • He was also a Ph.D. candidate in Statistics and a Statistical Consultant at Indiana University (USA).

Kalyan Roy

Kalyan Roy has over 22 years of experience working in the industry where he has played Quantitative Analyst roles at various organizations such as Citibank, Bank One and IMS Health in the USA and Nomura, Capital Metrics & Risk Solutions, Deep Value Solutions, DenuoSource, Patni Computer Systems, IMRB and Symphony Services in India

He has worked with Nomura (India) as Quantitative Analyst modelling Limit-Order Book Dynamics by Continuous-Time Stochastic Processes yielding algorithmic trading strategies for the pure limit-order driven global cash equity markets using Stochastic Filtering, Stochastic Control and Reinforcement Learning Techniques.

He previously worked with one of the largest institutional broking houses in India as a Quantitative Market Micro-structure Researcher. He has also served as the Head of Quantitative Analytics at Capital Metrics & Risk Solutions working in Quantitative Asset Allocation Research.

He has worked as a Quantitative Analyst with Deep Value Technology, a firm specializing in high-performance algorithmic trading strategy vehicles where he was involved in studying stochastic models of equity market microstructure, developing ultra-high frequency trading algorithms, statistical modeling, estimation of volatility based on ultra-high frequency data, building factor models for the S&P500 stocks, statistical modeling of ultra-high frequency time series.

He has worked as Statistical Consultant with Indiana University, U.S.A. where he was involved in modeling for researchers in physical, biomedical and social sciences. He has also worked as Statistical Analyst with CITIBANK, Chicago, U.S.A. where he worked on consumer response modeling. He has worked as Statistical Analyst with BANK ONE, Delaware, U.S.A. where he worked on consumer credit risk modeling.

He has worked as Statistical Modeler with IMS America, Pennsylvania, U.S.A. He had also been a Lead Consultant with Symphony Services, Bangalore, India and Market Research Director with IMRB International, New Delhi.

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