Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Ritabrata Bhattacharyya"'
Autor:
Varun Divakar, Ritabrata Bhattacharyya
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8648b84a084e058709eb28bf20f86b59
https://doi.org/10.2139/ssrn.4072374
https://doi.org/10.2139/ssrn.4072374
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::acd0726a25e32f8e14492ae408f5b302
https://doi.org/10.2139/ssrn.4002557
https://doi.org/10.2139/ssrn.4002557
Publikováno v:
SSRN Electronic Journal.
The Tactical Asset Allocation (TAA) problem is a problem to accurately capture short to medium term market trends and anomalies in order to allocate the assets in a portfolio so as to optimize its performance by increasing the risk adjusted returns.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fc749ae9e2ac4d8301675bdbe8f452e8
https://doi.org/10.2139/ssrn.3812609
https://doi.org/10.2139/ssrn.3812609
Publikováno v:
SSRN Electronic Journal.
Predicting the direction of Stock Indices has always been an appealing topic which has motivated researchers over the years to develop better predictive models. Recently, Machine learning (ML) based models have been frequently deployed to forecast th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cbc6279bd4b98211700cec173c2f7d57
https://doi.org/10.2139/ssrn.3824032
https://doi.org/10.2139/ssrn.3824032
Autor:
Ritabrata Bhattacharyya, Shuang Song
Publikováno v:
SSRN Electronic Journal.
This paper studies the impact of major U.S. macroeconomic news releases on price movements of selected instruments in asset classes including equity, foreign exchange, and fixed income over different time spans within a day. The results show that U.S
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4280f96de8990e230e0b113e29402a30
https://doi.org/10.2139/ssrn.3798844
https://doi.org/10.2139/ssrn.3798844
Publikováno v:
SSRN Electronic Journal.
Classical Black Scholes model, however still widely used in the financial circles, is known for its inability to generate volatility satisfying the market observations. Besides the assumption of the normal distribution of the underlying assets and pe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7b97421e4d8e2ccf4f8a72dcabd5651a
https://doi.org/10.2139/ssrn.3542764
https://doi.org/10.2139/ssrn.3542764
Publikováno v:
SSRN Electronic Journal.
The three-broad behaviour of market prices: trending, mean-reversion and random walk can be studied using the Hurst exponent. The goal of this paper is to develop a comprehensive trading strategy for Asian Equity Index Futures by making use of Hurst
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ca3e76d9952e84e999808a508da5012c
https://doi.org/10.2139/ssrn.3543079
https://doi.org/10.2139/ssrn.3543079
Publikováno v:
SSRN Electronic Journal.
This research analyzed the effectiveness of Black Swan strategies for the Short-Term Mean-Reversion systems, the risks and rewards profiles of such betting systems based on the S&P500 index. In determining the Black Swan events, the research made use
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4bc01454f9f3aa18dd61901918ad3764
https://doi.org/10.2139/ssrn.3538891
https://doi.org/10.2139/ssrn.3538891
Autor:
Ritabrata Bhattacharyya, Ernest Osifo
Publikováno v:
SSRN Electronic Journal.
With the volume of activities associated with trading, it has become a very tedious task. The advent of the algorithmic trading has brought with it some positive change such as reduced latency and increase in liquidity in the Financial Market. The Al
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::89aeef3565fbe351b9a3df2121401017
https://doi.org/10.2139/ssrn.3610340
https://doi.org/10.2139/ssrn.3610340
Publikováno v:
SSRN Electronic Journal.
Myths associated with the Efficient Market Hypothesis (EMH) do not necessarily reflect the reality in the performance of investments on the market. Several myths are associated with the EMH which ought to be tested empirically using various mathemati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ed57c7676d8ec1aabf8a628654642bb2
https://doi.org/10.2139/ssrn.3686552
https://doi.org/10.2139/ssrn.3686552