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Academics

Academic Background:

M.Sc.(Statistics), Ph.D.(Fellow of IIMC)

Courses Taught:

Corporate Finance, Fixed Income Markets, Investment Analysis and Portfolio Management, Derivatives

Consulting Interests:

Risk Management for BFSI Institutions, Regulation around Equity and Fixed Income Products.

Current Projects:

HFT, Opportunities for Market Makers 
Market Sentiments and Trading Dynamics of Institutional Investors 

 

Past Projects:

• “A Tripartite analysis into volatility-efficiency-integration of spot and futures market for stocks and index”, with Prof. Kumar, Ankit, Department of Economic Affairs (DEA), MoF, GoI.
• Earnings Management and Underpricing in IPOs 
• Intraday Periodicity and Volatility Forecasting: Evidence from Indian Crude Oil Futures Market. 
  Impact of Crude Oil Price on Firm Returns. 

Experience

Work Experience:

December 2017 to March 2023, Associate Professor (Finance & Control) at IIM Calcutta (India) 
April 2015 to November 2017, Assistant Professor (Finance & Control) at IIM Calcutta (India) 
April 2012 to March 2015, Assistant Professor (Finance & Accounting) at IIM Lucknow (India) 
May 1999 to March 2008, Economic and Statistical Officer at Directorate of Economics and Statistics, Planning Department, Government of Uttar Pradesh (India)

Research

Journal Publications:

• "What’s hidden behind bulk deals? A study on Indian stock market " (2022), with Paul, S. Managerial Finance 48(4), pp. 557-576.
• “Portfolio Insurance and Leverage based Strategies” (2020) with Choudhary V., TEST Engineering and Management, 83(1).
•  "Intraday Periodicity and Volatility Forecasting: Evidence from Indian Crude Oil Futures Market" (2017), with Chakrabarti, B. B, Journal of Emerging Market Finance, 16(1), pp. 1-28 . 
• “Performance of Range and Return Based Volatility Estimators: Evidence from Indian Crude Oil Futures Market,” (2015). Global Economy and Finance Journal, 8(1), pp. 46-66.
•  “Intraday Trading Activity and Volatility: Evidence from Energy and Metal Futures,” (2014), IUP Journal of Applied Finance, 20(2), pp. 57-74. 
• “Determinants of Return Volatility: Evidence from Indian Commodity Futures Market,” (2013), with Chakrabarti, B. B., Journal of International Finance & Economics, 13(1), pp. 91-108.

Conferences:

• “Gold in the Digital Age: Exploring the Significance of Sovereign Gold Bonds” (2025) With Rajvanshi, R., IFABS 2025 Conference held at Saïd Business School, University of Oxford, U.K. from 15-17 April 2025.
• The Impact of Commodity Futures Market Expansion on Market Quality, with Bansal, A., and Gouri, S. S.,  RSFE, 2024 held from June 12-14, 2024 (Received Best Paper Award in Finance Track).
• Herding Behavior of Institutional Investors: Evidence from an Emerging Market, (With Gouri Sankar Sahoo, and Prof. Sudhakara R.) accepted for presentation at the JAAF Symposium – 2024 held at IIM Kozhikode. 
• Earnings Management and Ownership dilution in Small and Medium Enterprises: Evidence from Indian IPOs, (With Tayade K.) accepted for presentation at the 62nd Annual Southwestern Finance Association (SWFA) Conference held at Houston, during March 8-11, 2023.
• Rajvanshi, V., “Copycat Strategies around Bulk Deals: Evidence from an Emerging Market “accepted for presentation at the meeting of the World Finance & Banking Symposium – held at Miami, USA from  16th -17th December 2022.
• Distributional Properties and Volatility Forecasting: Evidence from Indian Crude Oil Futures Market, Presented at 9th Asia-Pacific Business Research Conference, held at Singapore from 5 to 6th November 2015.
•  Determinants of Volatility: Evidence from intraday Trading in Indian Metal and Energy Futures (with Chakrabarti, B. B. and Dey, M.K.) Presented at 20th Global Finance Conference held at Monterey Bay, CA, USA from 20-23rd May 2013. 
•  Volatility Dynamics in Indian Futures Trading (with Chakrabarti, B. B. and Dey, M.K.) Presented at 50th annual meeting of the South Western Finance Association 2011, held at Houston, Texas from 9th March 2011 to 12th March 2011.

Research Interests:

• Trading Strategies, HFT, Volatility Modeling, and Market Microstructure.

Articles/Cases:

• New Pension Scheme— Is It a Right Alternate of Old Pension Scheme? IIMC Case Research Center, IIMCCRC-2023-03 (with Menaka Rao).
• Gold Monetization Scheme: An Investment Opportunity, Artha, March 2016, Volume 3, Issue 4
• Merger of Two Regulators (with Mr. Kshitij Sharma), Artha, November 2015, Volume 3, Issue 2
• Risk Management in Commodity Market, Artha, September 2015, Volume 3, Issue 1
• Commodity Futures Market in India, Artha , July 2015, Volume 2, Issue 12