Rohan Iyer
- Role
- Quantitative Strategist at Goldman Sachs
- Location
- New York, NY, US
- LinkedIn followers
- 500 followers
About Rohan Iyer
Equity Options Quant
Experience
Quantitative Strategist
Jun 2023 — Present
Algorithmic Trading & Market Making (SMM Commodities; Equity Flow Vol) Introduced a Scala trading algorithm and backtester, decreasing Hedge Costs by 10% using mean-reversion markout analysis in delta and vol (delta neutral) space. Developed signals using 10 intraday and end-of-day markouts incorporating gross delta, shortfall, edge per vega, etc. Developed a volume forecasting model for the close (WTI & Brent). Incorporated price movement (hedge gamma risk) and intraday volume change as features in boosted regressors and ensembled using Bayesian optimization. Introduced an analytics dashboard to help traders visualize metrics like PNL and Volume for different asset classes and strategies of the SMM business. End to End implementation from SQL to Python to HTML/CSS
Education
Caltech
Bachelor of Science - BS, Computer Science
2020 — 2024
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