The LOB work brought rigour I had not seen outside top-tier academic research. Derivations are clean; intuition is sharper.
Independent microstructure advisory
Work on limit-order-book dynamics, execution quality, and how information becomes price — documented in writing, not slideware.
LOB diagnostics, adverse selection and informed-trading proxies, and price-impact modelling for trading and portfolio teams.
Schedule design and implementation notes grounded in Almgren–Chriss, Kyle-type information friction, and your real constraints.
SABR / eSSVI pipelines, arbitrage checks, and Greeks consistency for options and vol desks.
Co-authorship and research assistance on working papers in microstructure, asset pricing, and econometrics.
Structured sessions for PhD applicants, charter candidates, and early-career quants building book-grounded intuition.
Benchmark selection, slippage attribution, and venue- or algo-level reviews without vendor lock-in.
Shunya was founded on the conviction that rigorous theory and real-world market practice are not in tension — they are complementary. We work where order books form, where information becomes price, and where execution quality determines performance.
Aryan Ayyar
Founder · Fellow-in-Residence, MAHE Bengaluru
Researcher in market microstructure and quantitative finance. Work spans limit order book dynamics, optimal execution theory, and the pedagogy of quantitative methods — deployed across trading and academic institutions in India.
The LOB work brought rigour I had not seen outside top-tier academic research. Derivations are clean; intuition is sharper.
The execution memo was what we needed: assumptions explicit, numbers reproducible — no vendor fairy dust.
Shunya takes a limited number of engagements. If your problem involves market structure, execution quality, volatility modelling, or quantitative research — write with a short problem statement.
Typical response · Within 48 hours for qualified enquiries.