PURNENDU NATH MA MSc FIA PhD CFA
PROFESSIONAL & ACADEMIC QUALIFICATIONS
CFA Institute - Charter holder CFA - 2006
London Business School
Doctor of Philosophy (Finance)
Thesis: “Microstructural Investigation of Trading in Equity and Bond Markets” PhD - 2004
Institute of Actuaries, England:
Fellowship speciality – Investment and Asset Management Fellowship FIA - 2000
Cass Business School, London
Master of Science (Mathematical Trading & Finance) : Distinction MSc - 1998
University of Cambridge, England
Master of Arts (Engineering & Management Studies) :Class I BA, MA - 1993/97
EXPERIENCE
3/07 – 6/08 Portfolio Manager (Hedge Fund), Hong Kong
5/06 – 11/06 Credit Suisse, Proprietary Trading, London
8/05 – 1/06 Amplitude Capital LLP (Hedge Fund), London
1/05 – 8/05 Quantitative Trading Research (Proprietary), London & Mumbai
4/03 – 12/04 KBC Alternative Investment Management (Hedge Fund), London
6/02 – 11/03 Proprietary Quantitative Trader, London
3/02 – 5/02 Hedge Fund Research Centre, London Business School
7/01 – 8/01 Independent Consultant to DTZ Corporate Finance, London
1/98 – 7/98 HSBC Midland, London
1/96 – 1/98 Sedgwick Noble Lowndes Investment Strategy, London
6/92 – 9/90 National Physical Laboratory (Dept of Quantum Metrology), London
RESEARCH
Publications:
• The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury, Review of Finance (2005)
• Are Price Limits Always Bad?, Journal of Emerging Market Finance (2005)
• Estimates of the Continuous Time Cox-Ingersoll-Ross Term Structure Model: Further Results for the UK Gilt-Edged Market, Applied Economic Letters (Feb 2001)
• How Your Mind Affects Your Wallet, Management Next (July 2005)
Completed papers:
• “High Frequency Pairs Trading with US Treasury Securities – Risks and Rewards for Hedge Funds”
• “Do Price Limits Behave like Magnets?”
• “Interdealer Trading in the UK Government Bond Market”
• “Mean Reversion in Inventory Risk Management: Evidence from the Trading Behavior of UK Government Bond Dealers”
