Kalyan Roy

About Kalyan Roy

Modeling Order Flows in an Electronic Limit Order Book, Reinforcement Learning Research for Market Microstructure based Optimal High Frequency Trading in a Pure Order-Driven Market, applying Quantum Fully Homomorphic Encryption, Secure Multi-Party Quantum Computation and Quantum Functional Encryption to market data shared in the cloud and Variational Quantum Circuits to Deep Reinforcement Learning on such market data for Quantum Cloud Computing with Differential Privacy to facilitate such trading with a demonstrated history of developing Quantum Algorithms for Privacy-Preserving Machine Learning and Privacy-Enhancing Cryptography in the Electronic Trading industry

Experience

1. Machine Learning Researcher

   Nomura

   Nov 2013 — Present · Mumbai, IN

   Reinforcement Learning Research for Optimal High Frequency Portfolio Liquidation with hidden limit orders and Optimal High Frequency Market Making in a Pure Order-Driven Market, Optimal High Frequency Option Market Making with all the underlying securities in such a market and Optimal High Frequency Trading with no hidden limit order in such a market to extract quantitative edge from the imbalance of market depth

Education

• Indiana University Bloomington

  Mathematics

  1988 — 1997

• Indian Statistical Institute, Kolkata

  Mathematics

  1982 — 1988

Skills

• Statistical Arbitrage
• Computational Complexity
• Stochastic Calculus
• Game Theory
• Stochastic Simulation
• Hidden Markov Models
• Option Pricing Models
• Stochastic Differential Equations
• Convex Optimization
• Deep Learning
• Statistical Signal Processing
• Graphical Models
• Stochastic Control
• Reinforcement Learning
• Dynamical Systems
• Statistical Finance