Sudhanshu Sekhar Pani

School of Business Management, NMIMS

V. L. Mehta Road,

Vile Parle (W),

Mumbai, 400 056

India

SCHOLARLY PAPERS

11

DOWNLOADS

1,320

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (11)

1.

Buy Now, Pay Later

Number of pages: 25 Posted: 29 Apr 2022
Sudhanshu Sekhar Pani
School of Business Management, NMIMS
Downloads 921 (38,863)

Abstract:

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POS financing, BNPL, Regulatory arbitrage, BNPL Model, Financial modelling, Simulation, Fintech

2.
Downloads 96 (403,314)
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 60 (533,817)
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 36 (663,730)

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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 79 (454,303)

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

4.

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 77 (461,097)

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

5.

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 47 (585,960)
Citation 1

Abstract:

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

6.

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 41 (618,231)

Abstract:

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

7.

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 28 (701,103)

Abstract:

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High resolution, Liquidity, Vine copula regression, Bayesian hierarchial models, Limit order markets, 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 18 (781,615)

Abstract:

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

9.

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 13 (827,584)

Abstract:

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

10.

Investigating Intertrade Durations Using Copulas: An Experiment with NASDAQ Data

Algorithmic Finance, Vol. 9, No. 3-4, Pp. 81-102, 2022
Posted: 26 Aug 2022
Ranjan R. Chakravarty and Sudhanshu Sekhar Pani
School of Business Management, NMIMS and School of Business Management, NMIMS

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High Resolution, Limit Order Markets, Durations, Liquidity, Bid-Ask Spread, Algorithmic Trading, Pair Copula Construction

11.

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