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A list of all the posts and pages found on the site. For you robots out there, there is an XML version available for digesting as well.
Pages
Posts
Future Blog Post
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Blog Post number 4
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This is a sample blog post. Lorem ipsum I can’t remember the rest of lorem ipsum and don’t have an internet connection right now. Testing testing testing this blog post. Blog posts are cool.
Blog Post number 3
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Blog Post number 2
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Blog Post number 1
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portfolio
Portfolio item number 1
Short description of portfolio item number 1
Portfolio item number 2
Short description of portfolio item number 2
publications
Electrochemically Controllable Conjugation of Proteins on Surfaces
Published in Bioconjugate Chemistry, 2007
Electrochemically Controllable Conjugation of Proteins on Surfaces
Recommended citation: 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.
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Spatially Controlled Assembly of Nanomaterials at the Nanoscale
Published in Journal of Nanoscience and Nanotechnoloy, 2008
Spatially Controlled Assembly of Nanomaterials at the Nanoscale
Recommended citation: 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.
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Inventory risk management by dealers in the single-name credit default swap market
Published in SEC Trading & Markets Public Memos, 2014
Inventory risk management by dealers in the single-name credit default swap market
Recommended citation: Inventory risk management by dealers in the single-name credit default swap market, Division of Trading and Markets, US SEC,Washington D.C.
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Equity Market Volatility on August 24, 2015
Published in SEC Trading & Markets Public Memos, 2015
Equity Market Volatility on August 24th, 2015
Recommended citation: Equity Market Volatility on August 24, 2015 Division of Trading and Markets, US SEC,Washington D.C.
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Almost Exact Risk Budgeting With Return Forecasts For Portfolio Allocation
Published in Operations Research Letters, 2023
We revisit the portfolio allocation problem with designated risk-budget. We generalize the problem of arbitrary risk budgets with unequal correlations to one that includes return forecasts and transaction costs while keeping the no-shorting constraint. We offer a convex second order cone formulation that scales well with the number of assets and explore solutions to problem variants- on equity-bond asset allocation problems as well as formulating portfolios using index constituents from the NASDAQ100 index, illustrating the benefits of this approach.
Recommended citation: 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.
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Factor Based Forecasts in Universal Portfolios via Dirichlet Weights
Published in Arxiv, 2023
We revisit the problem of online portfolio allocation first introduced by Cover. We propose factor weigh ing of the dirichlet sampling to construct universal portfolios that out-perform those using uniform dirichlet sampling. When the returns follow a factor model, we establish a lower bound on the average portfolio growth rate. We analytically establish that the wealth generated by the factor weighted dirichlet sampled portfolios dominate the wealth generated by the uniformly sampled Dirichlet portfolios. We corroborate our analytical results with empirical studies on equity markets that are known to be driven by factors.
Recommended citation: Parthasarathy, Purushottam, Avinash Bhardwaj, and Manjesh K. Hanawal. "Online Universal Dirichlet Factor Portfolios." arXiv preprint arXiv:2308.07763 (2023).
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Eurex Block Trading During Rolls
Published in Quantitative Brokers Research Whitepaper Series, 2023
Block trades are privately negotiated transactions typically larger than their exchange-traded counterparts. Much has been written about block trades and their impact on microstructure. Academic papers such as Seppi[seppi1992block] 1 and 2 are a few to cite. Our current research focuses on block trades in Eurex futures interest rate (IR) product calendar spreads. Our focus on the rate calendar spread is motivated by the pattern observed in the enhanced trading activity of the blocks during the start of the calendar spread roll periods in the Eurex IR products. The analysis is based on the historical sample received from the Eurex A7 platform. The specific focus of this research is futures on Euro-Bund, Euro-Schatz, Euro-Bobl, Euro-OAT, Euro-Buxl, Euro-BONO, and Long and Short-Term Euro-BTP and we look at the period between November 2016 and March 2023. This article summarizes block trading on the spread contract on a few actively traded interest-rate futures on Eurex. The report also analyses the price impact of the block trades for the spread contract
Recommended citation: Block Trades Against QB Algos: Evidence From EUREX Interest Rate Calendar Spreads, S. Narayanan, Puru P. Sarathy, QB Whitepapers, Nov. 2023
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CME Rates Calendar Spread Cointegration
Published in Quantitative Brokers Research Whitepaper Series, 2024
We recently improved our algo performance in rolls by fine-tuning our aggressive cross signal and improving our accuracy in tracking our queue position. Inthe June roll, our passive fills improved by almost 30% across all the CME IR spreads, and our arrival price slippage declined by more than 20%. Ourforthcoming changes include another signal, cointegration, which will further enhance our arrival price performance. We also plan to extend these improvements to rolls on other exchanges.
Recommended citation: CME Rates Calendar Spread Cointegration And Other Roll Improvements, Puru P. Sarathy, S. Narayanan, QB Whitepapers, Aug. 2024
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Cash Treasury Smart Order Router(SOR) for Aggressive Crosses
Published in Quantitative Brokers Research Whitepaper Series, 2024
We implement a new logic for the cash treasury smart order router (SOR) for aggressive crosses, which allocates quantities across venues based on a ranking algorithm that uses the venues’ market impact and fill ratio. Simulation results using market data are shown for illustration, demonstrating a value-add of around 1/4𝑡ℎ of the BTEC minimum price increment ($39.0625) compared to the naive or random venue selection approach, specifically for aggressive crosses only
Recommended citation: Cash Treasury Smart Order Router(SOR) for Aggressive Crosses, Jiuyue Zhou, Puru P. Sarathy, S. Narayanan, QB Whitepapers, Nov. 2024
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Basis Trading: Maximizing Our Hit Rates Across Cash and Treasury
Published in Quantitative Brokers Research Whitepaper Series, 2025
This whitepaper examines the optimal wait time for executing basis trades in U.S. treasuries cash and futures markets. Due to network latency (∼8ms) between New York (cash) and Chicago (futures), acting too quickly on an opportunity can reduce trade success. We analyze two key metrics: Opportunity Rate – The proportion of target opportunities that remain available after waiting a specified time period from when the opportunity first arose. Hit Rate – The probability of executing at or better than the target price. Using historical data, we find optimal wait times for different product pairs, finding 20–25 milliseconds as ideal.
Recommended citation: Basis Trading: Maximizing Our Hit Rates Across Cash and Treasury, Puru P. Sarathy, QB Whitepapers, Apr. 2025
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talks
R For Data Science
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A short introduction to using R for financial data science, with special focus on high frequency market data.
Ph.D. Seminar
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This was an annual progress seminar where I discussed the problems I was working on.
teaching
Operations Management
TA, UCLA Anderson School of Business, 2010
Many years ago, I was given the opportunity to TA for Prof. Uday Karmarkar at UCLA Anderson.