Mayank Goel

Assistant Professor
Department of Mathematics
Birla Institute of Technology and Science, Pilani
K K Birla Goa Campus,
Zuarinagar-403726, Goa, India.
Email:
mgoelin@yahoo.com
Phone: +91 832-2580225 (O), +91 9604070507

OBJECTIVE AND SUMMARY

My interest is in working with research problems across quantitative finance for the purpose of trading
and investment, fund management and trade execution algorithms. Main idea of the research is to
reduce a gap between theory and practice. I Possess knowledge and experience in building and testing
quantitative models: At Buy-Side; for proprietary trading, fund rebalancing strategies/portfolio
optimization, financial indicator(technical analysis). At Sell-Side (execution side); trade execution
algorithms, trading cost/execution cost analysis, slippage analysis, market impact models.

PROFESSIONAL EXPERIENCE
Nov -Present: Assistant Professor
- Visiting Faculty
Birla Institute of Science and Technology (BITS)- Goa Campus (India)

Role and Responsibilities: Working as Assistant Professor in Department of Mathematics of BITS

PILANI-KK Birla Goa Campus. Responsibilities involve teaching B. Tech. and M.Sc. students, and
participation in research.

March'09-Present: Deep Value Technology Pvt. Ltd. (India) Quant-Analyst

Role and Responsibilities: worked as Quant-Analyst with Deep Value Technology Pvt Ltd Chennai
(India) as a part of research team to develop and beck test trade execution algorithms for US equity
markets.
Research and development for execution algorithms like VWAP, TWAP, Participation of Volumes
(POV), Implementation Shortfall (IS), All or None Sweep, Beat the Close. Putting efforts for
trade performance analysis. Pre launch algorithm performance analysis (back testing), and
intraday clients issue handling.
Research on Slippage, transaction cost analysis, level2 book study and large trade market
impact analysis.
Developed a graphical interface and back testing system using R-Project to avail automated
back testing and intraday algorithm performance analysis.

: Credit Suisse Services (India) Pvt. Ltd. Quant-Analyst

Role and Responsibilities: worked as a Quant Analyst contributing to the output of the Tokyo based
equity proprietary trading desk assisting traders in formulating trading strategies with primary focus
on quant/stat models. Responsibilities are carried out on a project basis. Some of these projects are:
 Research and development for Mathematical trading models and financial/technical indicators to
generate some alpha for Nikkei 225 listed stocks. e.g. MACD, MACDR1, MACDR2, RSI,
Correlation models, Binary approximation based trading strategies etc.
General model back-testing framework -
based back-testing platform enabling performance evaluation and analysis of various equity
quantitative trading strategies.

Research Analyst
BA Continuum Solutions Pvt. Ltd., Mumbai (A Non-Bank Subsidiary of Bank of America)

Role and Responsibilities: worked as Research-analysts with the goal to deliver portfolio/wealth
management strategies to senior fund managers.
Optimal rebalancing in equity portfolios: Development of quantitative fund rebalancing
strategies for investment portfolios to outperform a stochastic benchmark. Primary use of these
algorithms was to rebalance investment portfolio/mutual fund to generate excess return (alpha)
over S&P 500 for a minimum risk and improve information ratio.
Algorithms to identify market regimes, Markov mixture models, portfolio optimization models
implementation.

EDUCATION & CREDENTIALS

Ph.D., Department of Mathematics, 2000-06
Indian Institute of Technology (IIT), Mumbai

Dissertation: Portfolio Optimization with Risk-Sensitive Criterion.

M.Sc. Applied Mathematics, IIT Roorkee. 1997-99

B.Sc. (Mathematics, Physics, Chemistry)-Garhwal University, Uttaranchal. 1994-97

Secured all India rank 64 in Graduate Aptitude Test in Engineering (GATE-2000)

Awarded Research Associate Fellowship by IIT Bombay in August-2006.

Awarded "Post Doctorate Fellowship" by National Board of Higher Mathematics (NBHM) in December-
2006.

TECHNICAL SKILLS
Scientific Languages: R (Statistical language R), Matlab, Excel.
Working experience with quant tools like R-Bloomberg: A tool in R to connect the live data from
Bloomberg, Experience with quantmod: A tool in R for quantitative analysis, Experience with
ggplot: A tool for plotting.
Functional Expertise: Trading models, Assets allocation/Rebalancing models, Portfolio
Optimization, Trade execution models, Stochastic calculus, Stochastic Differential Equations.

PAPERS COMMUNICATED/PUBLISHED
Mayank Goel, K. Suresh Kumar, -Sensitive Portfolio Optimization Problem with Fixed
Income Securities ization Theory and Applications, Vol. 142, No 1, 67-84
(2009).
In this paper, we study a general portfolio optimization model where the investor wants to
maximize his return while minimizing the risk associated with the return. The securities can
incorporate the stocks and the rolling horizon bonds for the infinite horizon problem. Also for
the finite horizon problem the securities can incorporate stocks and bonds with the maturity
less then the planning horizon. Dynamics of the securities and the economic factors are given
by the general nonlinear diffusion process and the securities prices are explicitly being affected
by the economic factors. The set of factors may include dividend yields, price earning ratios,
the rate of inflation, short term interest rates. We proved the existence of optimal investment
strategies for the finite and infinite horizon problems.
 -Sensitive Portfolio Optimization Problems with General
Nonnegative Facto Differential Equations and Dynamical Systems, An International
Journal for Theory, Applications and Computer Simulations, Vol. 15, No 1-2, 1-26(2007).

In this paper, we studied a portfolio optimization problem with the risk-sensitive criterion. In
this market, dynamics of the securities and the economic factors are given by the general
nonlinear diffusion process and the securities prices are explicitly being affected by the
economic factors. The set of factors may include dividend yields, price earning ratios, short
term interest rates, and the rate of inflation. Also, in our model we consider the fact that the
economic factors are nonnegative. By using the stochastic control theory we proved the
existence of optimal investment strategies for the both; i.e. finite and infinite horizon problems.

-Sensitive Portfolio Optimization Problem with Stochastic

Interest R -282 (2006).

This work prove the existence of optimal investment strategies and gives the explicit form
of the optimal investment strategies for a market model consisting of stocks and a saving
account with the stochastic interest rate . Stochastic interest rate can include the models like
Vasicek, Ho-Lee, Exponential Vasicek, Dodhan interest rate models.

-Critic Algorithm for Finite Horizon

Risk-Sensitive Portfolio Optimization Problem with Nonnegative Fac
preparation).

In this work, we developed an actor-critic algorithm for the finite horizon portfolio management
problems that is intended to reduce the computational difficulties associated with nonlinear models
as well as bypass the estimation of parameters and thereby, reduce the gap between theory and
practice.

IMPORTANT PRESENTATION
Presented a paper at the International Conference of Asia Pacific Association of Derivatives
(APAD) on Financial Derivatives, July 28-30, 2005 at the Indian Institute of Management
Bangalore, Bangalore, India.

Title: A Risk-Sensitive Portfolio Optimization Problem with Stochastic Interest Rate.

PERSONAL DETAILS
Marital Status : Married
Nationality : Indian
Communication : English, Hindi
Permanent Address : C-893, I. D. P. L. Colony, Virbhadra - 249202
Dehradun (Uttaranchal) India.

REFERENCES
1. Prof. K. Suresh Kumar

Industrial Mathematics Group,

Department of Mathematics, IIT Bombay,
Mumbai-400 076, India .
E-mail: suresh@math.iitb.ac.in
2. Prof. A. K. Pani

Department of Mathematics, IIT Bombay,

Mumbai-400 076, India.
E-mail: akp@math.iitb.ac.in

3. Harish Devarajan, CEO,

Deep Value, Inc.

10S, Riverside Plaza Suite 1800
Chicago IL 60606
E-Mail: harish@deepvalue.net
4. Dr. Arun Rajgopalan, Vice President (Research)

Deep Value Tech. India Pvt Ltd

N0 152, Luz Church Road,
Ganesh Tower, Mylapore. Chennai.