Published Research

House price dynamics under lower leverage: the case of metropolitan cities in India

Explores spatial heterogeneity in house price dynamics, using data for 35 Indian cities with a million-plus population. Robust fundamentals observed for Indian housing markets.

A Theory of 'Auction as a Search' in Speculative Markets

A Data Paradigm to Operationalise Expanded Filtration: Realized Volatilities and Kernels from Non‑Synchronous NASDAQ Quotes and Trades

Important data paradigm for Ultra high frequency research. Updates the tool kit comprising Brownlees & Galo (2006) and Barndorf-Nielsen et al. (2009) to modern markets.

Are Asian exchanges outliers? A market quality criterion

Investigating Intertrade Durations using Copulas: An Experiment with NASDAQ Data

Liquidity in high resolution in limit order markets

The Right Cocktail: Asset Allocation and Wealth Management in India