Vibhav Bukkapatanam

About Me

I am a fourth year Ph.D. student in the Economics and Finance group of the department of Management Science & Engineering at Stanford University. I completed my undergraduate studies at the Indian Institute of Technology Madras, majoring in Computer Science.

My current research focus is on general state space regime switching models in automated market making. I am also interested in derivatives trading and have spent summers at Morgan Stanley, J.P. Morgan, Nomura and Lehman Brothers. I am a recipient of the B. C. and E. J. Eaves Stanford Graduate Fellowship.

Contact Information

Huang Engineering Center, Suite 141O
475 Via Ortega
Stanford, CA, 94305, USA

vibhav AT stanford DOT edu

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Vibhav Bukkapatanam



Education

  • Stanford University Ph.D. Management Science and Engineering, 2009-13
  • Stanford University Ph.D. Minor Statistics, 2009-12
  • Stanford University M.S. Financial Mathematics, 2009-11
  • Indian Institute of Technology, Madras, India B.Tech. Computer Science, 2004-08

Work Experience

  • Tower Research Capital FX High Frequency Trading, NYC, Summer 2012
  • Morgan Stanley Equity Derivatives, NYC, Summer 2011
  • J.P.Morgan Fixed Income Strategy, NYC, Summer 2010
  • Lehman Brothers (Nomura) Emerging Markets FX/Rates, Singapore, 2008-09
  • Lehman Brothers Commodities, Singapore, Summer 2007

Research Interests

High Frequency Econometrics, State Space Models, Derivatives Pricing

Publications

2012

Bukkapatanam, V., & Lai, T. Z. Regime Switching Modeling using Bayesian Nonparametric Hidden Markov Models in High Frequency Market Making. Working Paper, Stanford University, 2012
Bukkapatanam, V., & Lai, T. Z. Sequential Monte Carlo Methods for Cross Asset Spot Variance and Covariance Estimation for High Frequency Data. Working Paper, Stanford University, 2012
Bukkapatanam, V., & Giesecke, K. Transform Approximations for Event Timing Models. Working Paper, Stanford University, 2012 [pdf]

2011

Franklin, A., Bukkapatanam V., & Murthy, C. S. R. On the end-to-end flow allocation and channel assignment in multi-channel multi-radio wireless mesh networks with partially overlapped channels. Computer Communications 34(15): 1858-1869 (2011) [doi]

2008

Bukkapatanam V., Franklin, A., & Murthy, C. S. R. Impact of multiple channels and radios on the performance of a TDMA based wireless mesh network. Computer Networks 53(12): 2208-2224 (2008) [doi]
Bukkapatanam, V. Impact of Multiple Channels and Radios on the Capacity, Channel Assignment, and Flow Allocation in Wireless Mesh Networks. Undergraduate Thesis, IIT Madras, 2008 [pdf]

The following are some interesting articles on derivatives and algorithmic trading

Forex Derivatives

The vanna-volga method for implied volatilities Risk, 2007 [pdf]
Pros and Cons of the Vanna-Volga Method [pdf]

Rates Derivatives

Interest Rate Parity, Money Market Basis Swaps, and Cross-Currency Basis Swaps (Lehman Brothers) [pdf]
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence (Longstaff and Schwarz) [pdf]

Volatility Modeling

The Skew Risk Premium in Index Option Prices (Kozhan and Neuberger '11) [link]
DB Guide to Risk Reversals (Deutsche Bank '06) [link]
Realized Skewness (Neuberger '11) [pdf]

Algorithmic Trading

Optimal Trading Strategy and Supply/Demand Dynamics [pdf]
High Frequency Trading and the New-Market Makers [link]
Optimal High Frequency Trading with limit and market orders [link]
When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions [doi]
High-frequency trading in the foreign exchange market [link]
Electronic Market Making: Potential Profits and Research Opportunities [pdf]

Cars

I love Japanese sports cars! My current ride is a track oriented R3 version Mazda RX-8. With a redline of 9K RPM, and a short stick shift (of course), it is configured with a Mazdaspeed exhaust, BHR Midpipe/Coils/Flywheel, low profile 19''-Bridgestone Potenzas on Bilstein shocks, Recaro bucket seats, GReddy Strut Tower Bars, and a GReddy street turbo kit.

For track days, I visit the Infineon Raceway which is about an hour's drive from Stanford. On most weekends, I am either off to Skyline Boulevard or to the La Honda-Pescadero loop (which incidentally is one of Porsche's public testing tracks). Both places have twisty mountain roads which makes for a fun driving experience.

Everything else

I am a senior Tier 4 (the top tier) player in QuakeLive. When I'm not busy improving my railgun accuracy, I'm either sharpening my micro in the diamond league of Starcraft 2, or honing my hard carry skills in Dota 2. I am also currently training for my FAA Private Pilot License (single engine land, VFR).

Links

Interactive Brokers - My options/futures trading broker
R Graph Gallery - Examples of data visualization with R
Marginal Revolution - An interesting economics blog
NearlyFreeSpeech - My web host
Zero Hedge - Put on your cynical hat
Deal Breaker - I'll just leave this here
Collaborators and Friends: Gustavo, Justin, Chaitanya, Shyam, Abhay
Foucault's Pendulum - An amazing read. The following is an excerpt

'Listen, Jacopo, I thought of a good one: Urban Planning for Gypsies.'
'Great,' Belbo said admiringly. 'I have one, too: Aztec Equitation.'
'Excellent. But would that go with Potio-section or the Anynata?'
'We'll have to see.' Belbo said. He rummaged in his drawer and took out some sheets of paper. 'Potio-section...' He looked at me, saw my bewilderment. 'Potio-section, as everybody knows, is the art of slicing soup.
No, no,' he said to Diotallevi. 'It's not a department, it's a subject, like Mechanical Avunculogratulation or Pylocatabasis. They all fall under the heading of Tetrapyloctomy.'
'What's tetra...?'
'The art of splitting a hair four ways. Mechanical Avunculogratulation, for example, is how to build machines for greeting uncles.

-- Binah (12), Sub umbra alarum tuarum