NIFTY Quant Stack
Probabilistic expiry and volume models for NIFTY derivatives — validated with Brier score and MSE, scaled to ₹440+ crore in total volume.
A Derivatives Quant Stack Built on Measured Models
₹440+ crore in total trading volume, compounding at a 124% CAGR — growth that discretion alone could not have sustained. This NIFTY derivatives stack runs on probabilistic expiry and volume models instead, each statistically validated before it drove a trade.
Challenge
Scaling systematic derivatives trading on NIFTY beyond what discretionary decision-making could sustain. Sustained volume growth needed models whose predictive quality could be measured and compared — not intuition.
Approach
Developed probabilistic expiry and volume models for NIFTY derivatives, and validated each one with Brier score and MSE before deployment — so only models with demonstrated predictive quality made it into the stack.
Outcome
Trading volume compounded at a 124% CAGR, reaching ₹440+ crore in total.
Stack & Methods
- Probabilistic expiry models
- Probabilistic volume models
- Brier score validation
- MSE validation
- NIFTY derivatives
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