Basis Trading: Maximizing Our Hit Rates Across Cash and Treasury
Basis Trading: Maximizing Our Hit Rates Across Cash and Treasury, Puru P. Sarathy, QB Whitepapers, Apr. 2025
CV
Education
- Ph.D in IEOR, IIT Bombay, 2026 (expected)
- M.F.E. in Financial Engineering, University of California, Berkeley, 2012
- M.A. in Economics, University of California, Los Angeles, 2010
- B.Tech. in Mechanical Engineering, IIT Bombay, 2003
Work experience
- October 2023 - Present: Director of Research
- Quantitative Brokers
- Duties includes: Market microstructure research, signal development
- Futures, Cash Treasury and FX markets
- July 2018 - July 2023: Senior VP and Software Engineer
- JP Morgan Chase Bank
- Duties includes: Software Engineering for Credit Traders
- Single Name and Index Credit Default Swaps
- September 2016-June 2018: Trader
- DV Capital, LLC
- Duties included: Trading Canadian and Hong Kong futures markets
- Promoted to Trader and Chief Risk Officer
- August 2012 - August 2016: Financial Economist
- US Securities and Exchange Commission
- Duties included: Market microstructure and rule-making for Dodd Frank
- Division of Trading & Markets
- August 2010 - August 2012: Intern/Co-Op Quant
- PIMCO Portfolio Analytics Group, Newport Beach, CA
- Blackrock Global Alpha, San Francisco, CA
Skills
- Econometrics
- Programming
- Python
- R
- kdb/q
- Optimization
Awards
- Morgan Stanley Applied Finance Award, Runner Up, 2012
- Top 3/35 Economics Qualifer, UCLA, 2010
- Harry Kurnitz Award for Creative Writing, UCLA, 2005
Publications
Cash Treasury Smart Order Router(SOR) for Aggressive Crosses
Cash Treasury Smart Order Router(SOR) for Aggressive Crosses, Jiuyue Zhou, Puru P. Sarathy, S. Narayanan, QB Whitepapers, Nov. 2024
CME Rates Calendar Spread Cointegration
CME Rates Calendar Spread Cointegration And Other Roll Improvements, Puru P. Sarathy, S. Narayanan, QB Whitepapers, Aug. 2024
Eurex Block Trading During Rolls
Block Trades Against QB Algos: Evidence From EUREX Interest Rate Calendar Spreads, S. Narayanan, Puru P. Sarathy, QB Whitepapers, Nov. 2023
Factor Based Forecasts in Universal Portfolios via Dirichlet Weights
Parthasarathy, Purushottam, Avinash Bhardwaj, and Manjesh K. Hanawal. "Online Universal Dirichlet Factor Portfolios." arXiv preprint arXiv:2308.07763 (2023).
Almost Exact Risk Budgeting With Return Forecasts For Portfolio Allocation
Bhardwaj, Avinash, Manjesh K. Hanawal, and Purushottam Parthasarathy. "Almost exact risk budgeting with return forecasts for portfolio allocation." Operations Research Letters 51, no. 2 (2023): 171-175.
Equity Market Volatility on August 24, 2015
Equity Market Volatility on August 24, 2015 Division of Trading and Markets, US SEC,Washington D.C.
Inventory risk management by dealers in the single-name credit default swap market
Inventory risk management by dealers in the single-name credit default swap market, Division of Trading and Markets, US SEC,Washington D.C.
Spatially Controlled Assembly of Nanomaterials at the Nanoscale
Parthasarathy, Puru, Paula M. Mendes, Eric Schopf, Jon A. Preece, J. Fraser Stoddart, and Yong Chen. "Spatially controlled assembly of nanomaterials at the nanoscale." Journal of Nanoscience and Nanotechnology 9, no. 1 (2009): 650-654.
Electrochemically Controllable Conjugation of Proteins on Surfaces
Mendes, Paula M., Karen L. Christman, Puru Parthasarathy, Eric Schopf, Jianyong Ouyang, Yang Yang, Jon A. Preece, Heather D. Maynard, Yong Chen, and J. Fraser Stoddart. "Electrochemically controllable conjugation of proteins on surfaces." Bioconjugate chemistry 18, no. 6 (2007): 1919-1923.
Talks
Ph.D. Seminar
Talk at IEOR Department, IIT Bombay, Mumbai, India
R For Data Science
Tutorial at UC-Berkeley Haas School of Business, Berkeley, CA, USA
Teaching
Service and leadership
- Code for Good Mentor, JP Morgan Chase, Bengaluru 2022
- Currently Director of Research at a high frequency execution brokerage