Dr. Ranjan Chakravarty

Professor of Practice - Finance

Email: ranjan.c@greatlakes.edu.in

A scholar-practitioner with an extensive background of trading practice and market microstructure research spanning the US, Singapore and India. Published in journals including Journal of Banking and Finance, Ciencia Ergo Sum and Algorithmic Finance.

Research Interests

• Market Microstructure, Financial Economics, Applied Econometrics.

Peer-Reviewed Journal Articles

• Chakravarty, R.R., and Pani, S.S., “Investigating Intertrade Durations using Vine Copulas: An Experiment with NASDAQ Data”, Algorithmic Finance (IOS Press). Algorithmic Finance, vol. 9, no. 3-4, 2022, pp. 81-102.
• Chakravarty, R.R., and Pani, S.S., “A Data Paradigm to Operationalize Expanded Filtration: Realized Volatilities and Kernels from Non-Synchronous NASDAQ Quotes and Trades”, Journal of Quantitative Economics (Springer), vol. 19, No.4, 2021, pp 617-652.
• Chakravarty, R.R., and Pani, S.S., “Are Asian Exchanges Outliers? A Market Quality Criterion” Investment Management and Financial Innovations (Business Perspectives), vol 18, No.2, 2021, pp 64-78.
• Chakravarty, R. R., and D.G. Praveen, “Exchange traded currency derivatives markets in India: the road ahead”, Macroeconomics and Finance in Emerging Market Economies (Routledge), Vol. 3, no. 1, 2010, pp, 139-146. Selected Citation: International Journal of Research in Finance and Marketing, Vol. 5, No.1, 2015 (by A. Srivastava and M. Singh).
• F. Huq, Z. Huq, R. R. Chakravarty, M. Z. Shariff, “The demand for public goods in India: an empirical test of Wagner's Law.” Ciencia Ergo Sum (Universidad Autónoma del Estado de México), vol 3, no. 1, 1996, pp. 19-24.
• F.H.B. Harris, T.H. McInish and R.R. Chakravarty, “Bids and Asks in Disequilibrium Market Microstructure”, Journal of Banking and Finance (Elsevier), 1995, Vol 19, no. 2, pp 323-345.

Selected Citations

• Journal of Finance, 1998 (by M.J. Aitken, A. Frino, M.S. McCorry, P.L. Swan).
• Journal of Financial and Quantitative Analysis, 2000 (by T. J. Finucane).
• International Economic Review, 2002 (by M. Sattinger).
• Journal of Banking & Finance, 2004 (by J.W. Cooney, R.W. Sias).
• Journal of Financial Research, 2005 (by F. Heflin, K.W. Shaw).
• Computational Statistics & Data Analysis, Elsevier, 2006 (by B. Frijns, P.C. Schotman).
• Pacific-Basin Finance Journal, Elsevier, 2009 (by H.N. Duong, P.S. Kalev, C. Krishnamurti). 8. International Journal of Economics and Finance, 2009 (by Y. Xu).

Conferences and Workshops

• Chakravarty, R. R., and Pani, S.S., “A Data Paradigm to Operationalize Expanded Filtration: Realized Volatilities and Kernels from Non-Synchronous NASDAQ Quotes”, presented at World Finance Conference, Session 104 -Market Microstructure, World Finance Conference, Kristiansand, Norway, August 2021.
• Lead Discussant of Leonidas Barbopoulos, Rui Dai, Talis Putnins and Anthony Saunders, “Market Efficiency in the Age of Machine Learning”, Session 32, Market Efficiency, Integration and Anomalies, World Finance Conference, Kristiansand, Norway, August 2021.
• Chakravarty, R. R., and Pani, S.S., “A Data Paradigm for Robustification of Parametric Estimation: Realized Volatilities and Kernels from Non-Synchronous NASDAQ Quotes”, presented at FRG-IIM Udaipur-IGIDR Market Microstructure Field Workshop, IGIDR Mumbai, India, Feb 2020.
• Delegate, NSE-NYU Conference on Indian Financial Markets, National Stock Exchange, Mumbai, India, Dec 2019. 5) Delegate, Emerging Markets Finance conference, IGIDR, Mumbai, Dec 2019.

Books and Books chapters

• Chakravarty, R. R., and D.G. Praveen, “Exchange traded currency derivatives markets in India: the road ahead”, in Goyal, A., ed., Macroeconomics and Markets in India: Good Luck or Good Policy?” Routledge, New York, 2012, Chapter 9, pp 110-117.
• Chakravarty, R.R., and A. Kumar, “Alternative Investment Market: An Indian Exchange Perspective”, FICCI Banking and Finance Digest, Federation of Indian Chambers of Commerce and Industry, Issue No. 5, Jan 2011, Chapter 3, pp.7-11.

Monographs

• Chakravarty, R.R., “Benefits of Trading in Exchange Traded Futures”, MCX Stock Exchange, Mumbai, India, January 2011.
• Chakravarty, R.R., et al, “Indian Equity Investor Survey 2010”, with A. C. Nielsen Company, MCX Stock Exchange, Mumbai, India, October 2010.

Media Appearances

• Bloomberg UTV, 2010 along with Jim Rogers, Rasesh Shah and Shankar Sharma during Jim Rogers’ first visit to India. Jim Rogers founded the Quantum Fund with George Soros, Rasesh Shah founded Edelweiss and Shankar Sharma founded First Global.

Media Articles

Selected Domestic Press Articles

• Ranjan Chakravarty. “Operation Twist worked where rate cuts failed,” Economic Times, Dec 30, 2019.
• Ranjan Chakravarty, “What is required next to kick off the growth cycle in the economy,” Economic Times, Oct 8, 2019.
• Ranjan Chakravarty. “What to make of the rupee’s growing strength? Don’t take it at face value,” Economic Times, March 30, 2019.

Selected International Press Articles

• Chakravarty, R.R., and J.C. Cherian, “Infrastructure finance: the case for Singapore,” The EDGE Business Weekly, Singapore, Jan 2017.
• Chakravarty, R.R., and J.C. Cherian, “The state of the asset management industry in Asia; seeking relevance in a shrinking sandbox II”, Asia Asset Management, Hong Kong, Oct 2016.

Working Papers

• Chakravarty, R.R. and Pani, S.S., “Disequilibrium Market Microstructure: Price Formation within a Continuous Double Auction” NMIMS, June 2018.
• Chakravarty, R.R. and Pani, S.S., “A Data Paradigm to Operationalise Expanded Filtration: Realized Volatilities and Kernels from Non-Synchronous NASDAQ Quotes and Trades” NMIMS, May 2020. SSRN: https://ssrn.com/abstract=3691669 or http://dx.doi.org/10.2139/ssrn.3691669.
• Chakravarty R.R. and Pani, S.S., “Broken Exchanges: An Analysis of Market Quality in NSE and Welfare Concerns,” November 2019. http://ssrn.com/abstract=3330989.
• Chakravarty RR. and Pani, S.S., Liquidity, Durations and Bid-ask Spread in Limit Order Markets”. August 2018. https://ssrn.com/abstract=3296798.
• Chakravarty, R.R. and Pani, S.S., “Non-Microstructure Noise” July 2018. SSRN 3222147, 2018.
• Chakravarty, R.R., and J.C. Cherian, “Rudiments of Infrastructure Finance Series No. 1”, September 2015. Centre for Asset Management Research and Investments (CAMRI) Research Paper, National University of Singapore (NUS) Business School, Singapore.