IITB-Citadel Securities

Doctoral (Ph.D.) Programme in Financial Markets with Fellowship IIT Bombay-Citadel Securities Quantitative Research Lab

IIT Bombay

IIT Bombay, established in 1958, is a world class institution in Science, Engineering, Management, Economics, Design, Humanities, and other disciplines. The alumni of the institute include entrepreneurs, industry leaders, technology leaders among others. The Institute is known for various academic programmes to meet the rapidly growing needs of the Organizations.

Shailesh J. Mehta School of Management

The School of Management was established in 1995 to offer post graduate programme (MBA), Doctoral (Ph.D.) Programme, and Executive Masters Programme (EMBA) for working executives (jointly with Olin Business School of Washington University). We also offer short duration and long duration management development programmes (MDPs) which include company specific training programmes.

Opportunities to pursue Research in Financial Markets with Funding

The Fellowship offers the prospective doctoral (Ph.D.) students a unique opportunity to delve into the complexities of financial markets, supported by a prestigious fellowship.

IITB-Citadel Securities Quantitative Research Lab

In a significant stride towards advancing financial markets research and innovation, IIT Bombay and Citadel Securities have joined hands in a transformative collaboration. This partnership resulted in the establishment of the ‘IITB-Citadel Securities Quantitative Research Lab’ thanks to the generous CSR grant from Citadel Securities. The state-of-the-art laboratory is poised to redefine the landscape of financial markets and algorithmic trading. The collaboration underscores a shared commitment to foster research excellence and drive significant improvements and innovations in India’s financial ecosystem. The Director of IIT Bombay expressed his gratitude towards Citadel Securities for their visionary support, stating, “In an era marked by rapid economic expansion, the need for research excellence in financial markets has never been more pressing. This collaboration epitomizes our commitment to harnessing the power of research and innovation to shape India’s financial landscape”.

The “IITB-Citadel Securities Quantitative Research Lab” will serve as a hub for pioneering research covering all areas of financial markets. From leveraging mathematical and statistical techniques in investment management to exploring disruptive technologies in banking and financial markets, the lab’s mandate encompasses a rich tapestry of research pursuits. The lab will also be instrumental in crafting sophisticated models for pricing derivatives, and offering cutting-edge platform for exploration and discovery. By fostering a collaborative ecosystem, the lab aims to empower stakeholders with insights and innovations that drive sustainable growth and resilience in the financial markets. The lab will also collaborate with banks and financial services companies to offer training programmes to address industry-specific needs. Together, IIT Bombay and Citadel Securities hope to drive innovation, develop expertise, and shape the future of financial markets both in India and abroad. As India charts its path towards economic prosperity, the partnership between IIT Bombay and Citadel Securities stands as a testament to the transformative potential of collaboration. Together, they are poised to redefine the contours of financial markets research and innovation, laying the groundwork for a resilient and dynamic financial system.

Why Pursue a Ph.D. in Financial Markets at SJMSOM?

  • Cutting-Edge Research: Engage with pioneering research in algorithmic tradings, market microstructure, and other areas in financial markets.
  • Expert Faculty: Learn from leading scholars and practitioners in algorithmic trading and financial markets, with extensive industry experience.
  • State-of-the-Art Facilities: Access to multiple sources of data, advanced analytical tools, and high-performance computing resources.
  • Interdisciplinary Approach: Benefit from a collaborative environment that includes expertise and resources in finance, economics, mathematics, statistics, operations research, data science, and computer science.

Exclusive Fellowship Opportunity

  • Full Funding: The fellowship covers tuition, research related expenses, and living costs.
  • Research Grants: Additional funding available for research projects and conference travel.
  • Professional Development: Access to specialized workshops, seminars, and networking events with industry leaders.
  • Mentorship: Guidance from experienced faculty mentors and industry professionals.

Curriculum and Research

  • Core Courses: Solid foundation in finance theory, quantitative methods, and trading strategies.
  • Research Thesis: Conduct original research in any area of financial markets.
  • Industry Collaboration: Opportunities for collaboration with investment banks and other financial institutions.
  • Research Seminars: Participate in advanced research seminars in areas such as algorithmic trading, risk management, financial innovation, regulation, etc.

Research Areas

  • Algorithmic Finance – Algorithmic trading, AI/ML, optimal trading strategies
  • Continuous Time Finance (CTF) – Applications of Deep Learning to CTF
  • Market Microstructure – Intra-day market modelling, impact of algorithmic trading on market stability and liquidity
  • Financial Stability and Systemic Risk – network models, contagion in financial markets.
  • Computational Finance – Monte-Carlo Methods, Martingale Methods, Portfolio Optimization, Order Book Modelling
  • Effect of HFT on stability of financial markets and long-term investors’ behaviour
  • Innovation versus Regulation in Financial Markets
  • Disruptive Technologies in Financial Markets, and the Lessons for Regulation
  • Regulation of HFT given the concentration of trading on NSE – Alternate models in USA and Europe

Eligibility and Application Process
At least one of the following criteria must be met.

  1. Four year Bachelor degree in any discipline with 60% marks/6.5 CPI (55% marks/6.0 CPI for SC/ST) and at least two years of relevant work experience.
  2. Masters degree in any discipline (MBA/M.Tech./M.S./M.Sc./M.A./M.Com./MCA/LLM/M.Pharm./M.Phil.,etc.) or 2 year PG Diploma in Management from institutions / universities incorporated by an act of parliament or state legislature in India or other institutions declared to be deemed as University under Section 3 of the UGC Act, 1956, or possess an equivalent qualification recognized by the Ministry of Education, Government of India or AICTE or AIU or reputed foreign university with 60% marks/6.5 CPI (55% marks/ 6.0 CPI for SC/ST).
  3. Executive MBA of at least one year duration from IITs/IIMs or institutions / universities incorporated by an act of parliament or state legislature in India or other institutions declared to be deemed as University under Section 3 of the UGC Act, 1956, or possess an equivalent qualification recognized by the Ministry of Education, Government of India or AICTE or AIU or reputed foreign university with 60% marks/6.5 CPI (55% marks/ 6.0 CPI for SC/ST).
  4. CA/CS with 60% marks/ 6.5 CPI (55% marks/ 6.0 CPI for SC/ST) in the preceding degree/Bachelor Degree (B.Sc./ B.Com./ BA / BS, etc.).

Research Interest: A demonstrated interest or experience in quantitative finance, or related areas is desirable.

Research Proposal: A detailed research proposal covering introduction, literature review, research gaps, research objectives/questions/hypotheses, research design (variables, data, period, methodology, etc.) should be submitted along with the application.

Core Faculty
Prof. S.V.D. Nageswara Rao (Former Chairman of the Board of Metropolitan Stock Exchange of India, Mumbai) Professor and Head, Shailesh J. Mehta School of Management, IIT Bombay. Professor-in-Charge, IIT Bombay-Citadel Securities Quantitative Research Lab. Prof. Nageswara Rao is a Fellow of Indian Institute of Management, Ahmedabad. He received the “Industrial Finance Corporation of India (IFCI) Best Thesis Proposal Award”, and the “FPM Alumni Research Grant. He was a Consultant to ICRA Ltd., Ashok Leyland Ltd., Larsen and Toubro Ltd., MERC, Traco Cables Company Ltd., Hindustan Power Exchange Limited, Central Bureau of Investigation (CBI), L&T Defence, Power Exchange India Ltd., and other companies. He has guided 21 doctoral (Ph.D.) students and currently guiding 6 students in the areas of Corporate Finance, Investment Banking, Capital Markets, Mutual Funds, Corporate Governance, Financial Engineering, ESG Investing, and Corporate Social Responsibility. He has published in reputed journals and presented at reputed conferences. He has conducted about 50 short and long duration Management Development Programmes (MDPs) for executives from different companies, and senior government officials, and guided more than 40 Masters dissertations in the areas of Finance and Economics

Contact
IITB-Citadel Securities Quantitative Research Lab Shailesh J. Mehta School of Management, IIT Bombay Powai, Mumbai – 400076.

Email: PI.citadel[at]iitb.ac.in, sonti[at]iitb.ac.in, office.citadel[at]iitb.ac.in

Phone: +91-22-2576 7780, 7789 (Office), 9869239040 (Mobile) SJMSOM Office: +91-22-2576 7782

Last Date for Submission of Application (Online)
The last date for submission of application and supporting documents online (https://portal.iitb.ac.in/phdapp/phdAdmissionLinks.jsp) is Friday, April 11, 2025 without fine, and the last date with fine is Monday, April 14, 2025, 5 PM. The Doctoral (Ph.D.) Programme details are available at https://www.som.iitb.ac.in/doctoral-programme. The candidates who submitted the application under other category may opt for the fellowship if they plan to pursue the thesis in the areas of interest to the Lab. They may indicate their interest in the fellowship at the time of admission interview if they are shortlisted.