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. This project seeks to address the Tactical...

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 the direction of classic financial time series...

In this exercise, we attempt to develop an institutional quality investment cum trading strategy with small and retail investor in mind. Apart from lack of professional expertise and smaller investible amounts, individual investors also face limitations in their ability to taking short...

Our work aims to develop a stand-alone trading system to construct portfolios that show the benefits of value and momentum style integration and presents the effectiveness of alternative integration methods for long-only absolute return funds, which seeks absolute returns that are not highly...

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 exponent of the price series. This paper...

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 of multiple strategies against two...