Sudhanshu Sekhar Pani

School of Business Management, NMIMS

V. L. Mehta Road,

Vile Parle (W),

Mumbai, 400 056

India

SCHOLARLY PAPERS

9

DOWNLOADS

304

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (9)

1.

Household Food Budget Inflation as an Aid to Policy Formulation

Number of pages: 8 Posted: 11 Dec 2011 Last Revised: 20 Apr 2015
Jasaswini Mishra and Sudhanshu Sekhar Pani
SUJAS CONSULTING and School of Business Management, NMIMS
Downloads 71 (416,689)

Abstract:

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food inflation, household budget, monetary policy, Inflation targetting, WPI, CPI, Wholesale price index, Consumer price index, food price rise, inflation

2.
Downloads 65 (436,594)
Citation 1

Non-Microstructure Noise

Number of pages: 43 Posted: 16 Aug 2018 Last Revised: 24 Oct 2020
Ranjan R. Chakravarty and Sudhanshu Sekhar Pani
School of Business Management, NMIMS and School of Business Management, NMIMS
Downloads 45 (525,318)
Citation 1

Abstract:

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Robustification, Ultra High Frequency, Data Handling, Microstructure Noise, Non-Microtructure Noise, Data Cleaning, Empirical Estimation, Limit Order Book, Bid Ask Spread, Trades and Quotes, Information Content

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

Number of pages: 45 Posted: 26 Oct 2020
Ranjan R. Chakravarty and Sudhanshu Sekhar Pani
School of Business Management, NMIMS and School of Business Management, NMIMS
Downloads 20 (681,136)

Abstract:

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Robustification, Data Handling, Limit Order Book, Model Fit, Estimation, Filtration expansion, Ultra High Frequency

3.

Liquidity, Durations and Bid-Ask Spread in Limit Order Markets

Number of pages: 33 Posted: 02 Jan 2019
Ranjan R. Chakravarty and Sudhanshu Sekhar Pani
School of Business Management, NMIMS and School of Business Management, NMIMS
Downloads 58 (461,695)

Abstract:

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Liquidity, Durations, Pair Copula Construction, Spread, Limit Order Market

4.

The Information Content of Quotes in High Frequency Order Driven Markets

Number of pages: 32 Posted: 02 Apr 2019
Sudhanshu Sekhar Pani
School of Business Management, NMIMS
Downloads 34 (569,971)
Citation 1

Abstract:

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Information Content of Quotes, Information Aggregation, Continuous Double Auctions, High Frequency, Order Driven Markets

5.

Broken Exchanges: An Analysis of Market Quality in NSE (India) and Welfare Concerns

Number of pages: 17 Posted: 24 Feb 2019 Last Revised: 27 Mar 2019
Ranjan R. Chakravarty and Sudhanshu Sekhar Pani
School of Business Management, NMIMS and School of Business Management, NMIMS
Downloads 32 (580,847)

Abstract:

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Capital Markets Regulation , Market Quality, Welfare, Market microstructure, Invariance, Competition among exchanges,

6.

Liquidity in High Resolution in Limit Order Markets

Number of pages: 30 Posted: 26 Oct 2020 Last Revised: 10 Nov 2020
Sudhanshu Sekhar Pani
School of Business Management, NMIMS
Downloads 20 (659,390)

Abstract:

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High resolution, Liquidity, Vine copula regression, Bayesian hierarchial models, Limit order markets, Market Microstructure

7.

Are Asian exchanges outliers? A market quality criterion

Ranjan R. Chakravarty and Sudhanshu Pani (2021). Are Asian exchanges outliers? A market quality criterion. Investment Management and Financial Innovations, 18(2), 64-78. doi:10.21511/imfi.18(2).2021.06
Number of pages: 16 Posted: 06 May 2021
Ranjan R. Chakravarty and Sudhanshu Sekhar Pani
School of Business Management, NMIMS and School of Business Management, NMIMS
Downloads 12 (719,944)

Abstract:

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global asset allocation, international diversification, country risk, trading venues, market quality of stock exchanges, market microstructure

8.

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

Number of pages: 45 Posted: 26 Oct 2020 Last Revised: 16 Mar 2021
Sudhanshu Sekhar Pani
School of Business Management, NMIMS
Downloads 12 (719,944)

Abstract:

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Market Microstructure; Search; Limit Order Markets; Continuous Auctions; High Resolution; Zero Intelligence

9.

Information Aggregation in High Frequency Continuous Double Auctions

Posted: 10 Nov 2018
Sudhanshu Sekhar Pani
School of Business Management, NMIMS

Abstract:

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Information Aggregation, Continuous Auctions, High Frequency, Private Information, Information Content of Quotes