I would like to know if anyone has experience in starting a consulting company in the financial services or capital markets space.Then please guide me regarding the same?

My first piece of advice is it is not easy, but if that's what you want, stay focused. I started a financial and marketing consulting firm two years ago and have helped two clients thus far, one involved a capital raise and the other a marketing campaign. I have just started a third project in June which I anticipate will last for some time as it involves the complete restructuring of a software development company, including a new product launch. The obvious pros are you are working for yourself, although that can be a con if you lack the right level of motivation. A con is it is generally not easy to get off the ground. In fact, for the first year, I had to find other "normal" jobs while consulting nights / weekends.

In addition I  can suggest you a model that has been very effective for me as well. You start your company in the US and partner with a KPO in India to outsource all your research & analytics needs to that company. This model helps you focus on marketing and broadening of your firms clientele list and the real execution is being done in a very cost effective manner.