About
Sankha finished his doctoral thesis applying machine learning to non-linear dynamical systems from MIT. He finished his finance degree from the Sloan School of Management at MIT.
During his PhD he focussed on using supercomputing facilities available to MIT researchers, for the first time to simulate a three-dimensional flag and derive its analytical constraints on stability . During his PhD, Sankha published 10 peer review journals in the field of Turbulence incorporating computer graphics and invariant theory influencing multiple references from NASA.
Major papers: https://mit.academia.edu/SankhaBanerjee.
Current passion is in designing event driven Systems for high-frequency market making. Sankha operates an inhouse event-driven liquidity-providing trading strategy at ultra-low latency while maintaining a relatively neutral position on the top crypto-exchanges and a major DEX. The plan is to release the whitepaper, and open-source the system for community development from like minded researchers and traders. Currently the code is used with some researchers from MIT and Harvard to investigate the effect of cancellations on market quality and the agent's profitability on crypto-exchanges.
First few years at Castleton Commodities International developing and implementing algorithms on electricity, commodity, forex, and interest-rate-derivative markets on NYSE/CME. Work in cryptocurrency started in 2014; focused on implementing a machine learning based real-estate valuation and buying of assets on Algorand blockchain . Spent 3 years working as a fully systematic quant/trader at family offices, Blue Ridge Investments and EastMore Group building a global macro book operating at 2.0 sharpe and 3% drawdown.
In 2017, moved to crypto full-time and spent a year building/executing the market-making algorithms for BITMEX/BINANCE on perp markets, becoming one of the top market makers with a $1 billion weekly volume. In 2020, was appointed the CEO of Credence Limited, given a 4 million dollar portfolio to invest in early stage L1 protocols focused on DeFi. The approach for portfolio construction was based on heavy infrastructure, codebase diligence, with specific focus on the Cosmos Blockchain .
Sankha contributed to the initial design of the arbitrage framework between the BEP20 RUNE and the Binance, leading him to become the lead investor of Thorchain. Sankha has been focused on helping with the growth of DeFi the Cosmos ecosystem, with projects namely Thorchain, Band, Kava, and Akash as seed investors from 2018. Currently, he is the protocol architect of NIBIRU (decentralized perpetual trading platform with its stablecoin and DEX) on Cosmos.