Janav Shah

derivatives pricing · market microstructure · systematic execution 2026 · India
focus stochastic volatility · order flow analysis · NSE derivatives · portfolio construction
Work
markets & quant
01
Limit Order Book
private

Five-layer quant research pipeline built incrementally from raw tick data to a market-making backtest. Connects to Bybit's L2 WebSocket feed, validates sequence numbers on every delta, and buffers snapshots to Parquet partitioned by instrument and UTC date.

Feature layer extracts bid-ask imbalance, queue pressure, and signed trade flow at each snapshot. A direction predictor trained on rolling windows feeds an Avellaneda-Stoikov-style backtest with configurable spread and inventory limits.

RECORD REPLAY FEATURES PREDICT BACKTEST
Python WebSockets Parquet Bybit API asyncio ML
private
02
Heston Model
private

European option pricing under stochastic volatility via the characteristic function. Implements Heston-FFT and the Lewis (2001) contour-integral method. Calibrates (κ, θ, σ, ρ, v₀) against implied vol surfaces using differential evolution, fixing κ and θ to reduce dimensionality.

Python NumPy SciPy FFT
private
03
Options Backtester
private

Systematic backtest of options strategies on NSE via DhanHQ. Fetches historical chain data, simulates entries and exits with real strike selection and expiry logic, and generates per-year P&L attribution from 2021 through 2026.

Python DhanHQ pandas NSE
private
04
Derivatives Strategies
private

Rule-based strategy selector on NSE weekly derivatives. Classifies market regime from prior-expiry data, then selects from bull spreads, straddles, strangles, butterfly, condor, box spread, and synthetics. Black-Scholes pricing for out-of-sample entry.

Python NSE Black-Scholes
private
05
Portfolio Optimization
private

Rolling mean-variance optimizer. A neural network predicts forward returns on a 504-day window; Ledoit-Wolf shrinkage estimates Σ̂. MVO solves for weights with risk-aversion parameter λ and 40% position cap. 21-day rebalance with proportional transaction costs.

Python PyTorch scikit-learn NumPy
private
personal infrastructure
Trellis
live · trellis.janavshah.com

Ingests Spotify plays, GitHub commits, weather, movies, gym sessions, dreams, calendar, F1 results, and more into a SQLite database. Surfaces all of it in a bento-grid dashboard — ten-plus pages, each one a different slice of the same life.

NoteRAG: a local vector search layer over the full log history. Ask it anything about your own data. Answers privately, never leaves the machine.

Python Flask Svelte SQLite ChromaDB Cloudflare launchd
→ live
College Betting
live · betting.janavshah.com

Tracks bets on college sports. Log a bet, see the outcome, know where you actually stand.

Python Flask SQLite
→ live
ChatStats
in progress

Drop in a WhatsApp export. Get back a report: who responds faster, vocabulary divergence, how sentiment shifts over months.

Python
in progress
Hotkey
planned

Ctrl+Space, from anywhere on the desktop. A popup with a tool registry — AI that can reach into apps, files, and clipboard. No browser tab required.

PySide6 Claude API
planned
client & applied ml
Ferite Steel
private · client

Business management system for a steel trading company. Role-based access (sales, manager, admin), user approval workflow, quotations, product catalogue. Running in production.

Django PostgreSQL Bootstrap
private
Sign Language Interpreter
private

Real-time sign language recognition from webcam feed. MediaPipe hand tracking, trained classifier, live interpretation overlay.

Python OpenCV MediaPipe
private
Insurance Fraud Detection
private

Flask app around a fraud classifier. Enter claim details, get a risk level: low, medium, or high.

Python Flask scikit-learn
private
About
Markets are data-generating processes. I build the infrastructure to capture them and the models to understand them.

Most of what I build starts with a question about how markets work. The Heston implementation came from wanting to understand stochastic volatility at the level of the math, not just the formula. The orderbook pipeline came from wanting real tick data to work with. The derivatives backtester came from wanting to know what actually holds out-of-sample on NSE weekly expiries.

The infrastructure work — the self-hosted dashboard, the schedulers, the data pipelines — is the same precision in a different domain. I'm interested in problems where model assumptions matter: pricing under incomplete markets, microstructure effects on execution quality, what's actually in the risk premium. Based in India.

Contact