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1

Reversal strategies

In this research note we investigate whether short-horizon, statistical arbitrage style alpha factors perform differently in different environments. In particular it is often said that stat arb strategies are “long vol” in the sense that they profit when market level volatility measures are higher

54

Advanced trading strategies

Exponentials of squared returns in Gaussian densities, with their consequently thin tails, are replaced by the absolute return to form Laplacian and exponentially tilted Laplacian densities at unit time. Scaling provides densities at other maturities. Stochastic processes with these marginals are

24

Quantitative Neural Network Models

Trading activities are based on technical analysis , market sentiment (asymmetric information, rumours, noise trading) and imitative behavoiur. This leads to unjustified biasness in decision making. To remove such subjectivity, this paper suggests a neural network model for the investors to decide

25

Technical Analysis for Financial Market - oscillators

This research paper aim to examine the profitability of various kinds of oscillator used in technical analysis on market index of NSE (National Stock Exchange) S&P CNX NIFTY 50 during 2004-2014. We have selected the most commonly used three oscillators i.e., Stochastic oscillator, RSI Oscillator and