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q-fin.TR2024★ 2 cited
ESG driven pairs algorithm for sustainable trading: Analysis from the Indian market
Eeshaan Dutta, Sarthak Diwan, Siddhartha P. Chakrabarty
This paper proposes an algorithmic trading framework integrating Environmental, Social, and Governance (ESG) ratings with a pairs trading strategy. It addresses the demand for soci…
q-fin.TR2020
Modeling the commodity prices of base metals in Indian commodity market using a Higher Order Markovian Approach
Suryadeepto Nag, Sankarshan Basu, Siddhartha P. Chakrabarty
A Higher Order Markovian (HOM) model to capture the dynamics of commodity prices is proposed as an alternative to a Markovian model. In particular, the order of the former model, i…