An Intraday Trend-Following Trading Strategy on Equity Derivatives in India

2019 ◽  
Author(s):  
Nishit Bhandari ◽  
Gaurav Chakravorty
2003 ◽  
Author(s):  
Tony Rumble ◽  
Mohammed Amin ◽  
Edward D Kleinbard

2020 ◽  
Vol 38 (3) ◽  
Author(s):  
Ainhoa Fernández-Pérez ◽  
María de las Nieves López-García ◽  
José Pedro Ramos Requena

In this paper we present a non-conventional statistical arbitrage technique based in varying the number of standard deviations used to carry the trading strategy. We will show how values of 1 and 1,2 in the standard deviation provide better results that the classic strategy of Gatev et al (2006). An empirical application is performance using data of the FST100 index during the period 2010 to June 2019.


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