Ritabrata Bhattacharyya

WorldQuant University

Place St Charles

201 St Charles Ave #2500

New Orleans, LA 70170

United States

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 2,573

SSRN RANKINGS

Top 2,573

in Total Papers Downloads

24,086

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (20)

1.

Momentum, Market Regime and Stocks & Options Trading Strategies

Number of pages: 19 Posted: 10 Jan 2019 Last Revised: 02 Apr 2021
Oluwaseyi (Tony) Awoga CPA PRM and Ritabrata Bhattacharyya
Independent and WorldQuant University
Downloads 5,151 (3,285)

Abstract:

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Momentum, Trading Strategies, Trend-Following, Options, Regime-Shift, Black-Scholes, VIX Index, Hidden Markov Model, Average True Range, Moving Averages, Straddle, Dynamic Hedging

2.

Short Term Trading Models – Mean Reversion Trading Strategies and the Black Swan Events

Number of pages: 32 Posted: 11 Mar 2020 Last Revised: 18 Nov 2021
Mark Babayev, Folakemi Lotun, Goodwill Tatenda Mumvenge and Ritabrata Bhattacharyya
WorldQuant University, WorldQuant University, WorldQuant University and WorldQuant University
Downloads 4,872 (3,613)

Abstract:

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Mean-Reverse, Black Swans, Grey Swans, White Swans, Jarque Bera test, IsolationForest, outliers, Bollinger Bands, buy-and-hold, stop-loss

3.

Evaluating the Building Blocks of a Dynamically Adaptive Systematic Trading Strategy

Number of pages: 21 Posted: 20 Mar 2018 Last Revised: 23 Feb 2020
Sonam Srivastava and Ritabrata Bhattacharyya
Wright Research and WorldQuant University
Downloads 2,756 (9,174)
Citation 2

Abstract:

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Markov Switching Auto Regression, Regime Switching Model, Systematic Strategy, Technical Analysis, Alpha Generation, Markov Model, Asset Allocation

4.

Short Term Trading Models Using Hurst Exponent and Machine Learning

Number of pages: 16 Posted: 12 Apr 2021
WorldQuant LLC - WorldQuant University, WorldQuant LLC - WorldQuant University, WorldQuant LLC - WorldQuant University and WorldQuant University
Downloads 1,686 (19,985)
Citation 1

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Short term trading models, Hurst Exponent, Technical Analysis, S&P500, Machine learning for finance, Financial time series, buy-and-hold, stop-loss, cryptocurrencies, Bitcoin, BTC-USD

5.

Expected Shortfall – An Alternative Risk Measure to Value-at-Risk

Number of pages: 14 Posted: 27 Jan 2020 Last Revised: 20 Feb 2020
Shiu-Wah Chu and Ritabrata Bhattacharyya
WorldQuant University and WorldQuant University
Downloads 1,584 (21,963)

Abstract:

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Value-at-Risk, Expected Shortfall, Python, S&P 500, technology stocks, banking stocks, Financial Crisis

6.

Nifty Index Options: Open Interest Analysis of Options Chain

Number of pages: 34 Posted: 11 Oct 2021 Last Revised: 19 Oct 2021
Srikanth Udupi Srinivas and Ritabrata Bhattacharyya
WorldQuant University and WorldQuant University
Downloads 1,313 (29,145)

Abstract:

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Nifty, Open Interest, Index Options, Index Options Chain, Index Change in Open Interest

7.

Using Principal Component Analysis on Crypto Correlations to Build a Diversified Portfolio

Number of pages: 28 Posted: 10 Sep 2021
María Guinda and Ritabrata Bhattacharyya
WorldQuant University and WorldQuant University
Downloads 1,010 (42,467)
Citation 1

Abstract:

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crypto market, Bitcoin, correlation, principal component analysis, portfolio construction, portfolio optimization

8.

The Use of Deep Reinforcement Learning in Tactical Asset Allocation

Number of pages: 18 Posted: 29 Mar 2021 Last Revised: 30 Mar 2021
Musonda Katongo and Ritabrata Bhattacharyya
Worldquant University and WorldQuant University
Downloads 984 (44,096)

Abstract:

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Tactical Asset Allocation, Reinforcement Learning, Neural Networks, Markov Decision Process, Asset Portfolio

9.

Short Term Trading Model for Asian Equity Index Futures – Using Hurst Exponent

Number of pages: 40 Posted: 23 Mar 2020 Last Revised: 02 Apr 2021
Ashwin Dudia, Vivek Kumar and Ritabrata Bhattacharyya
WorldQuant LLC - WorldQuant University, WorldQuant LLC - WorldQuant University and WorldQuant University
Downloads 961 (45,594)

Abstract:

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Equity Index Future Trading, Short Term Trading Models, Moving Hurst Exponent, Mean-Reversion Half-Life, Momentum Regime, Mean-Reversion Regime.

10.

A Value Investment Strategy that Combines Security Selection and Market Timing Signals

Number of pages: 16 Posted: 17 Sep 2019 Last Revised: 23 Feb 2020
Neelkanth Mehta, Varun Kumar Pothula and Ritabrata Bhattacharyya
WorldQuant University, WorldQuant LLC, WorldQuant University, Students and WorldQuant University
Downloads 909 (49,186)
Citation 3

Abstract:

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Piotroski, F-Score, FS-Score, Relative Strength Index, Money Flow Index, Average Directional Index, Market Timing, Stock Picking, Fundamental Analysis, Technical Indicators, Quantopian

11.

Cryptocurrency Trading-Pair Forecasting, Using Machine Learning and Deep Learning Technique

Number of pages: 37 Posted: 18 Jun 2020
Ernest Osifo and Ritabrata Bhattacharyya
WorldQuant University and WorldQuant University
Downloads 734 (65,694)

Abstract:

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Crypto-currency, Long Short-Term Memory (LSTM), Autoregressive integrated moving average (ARIMA), Moving Average (MA), Artificial Neural Networks (ANN), Mean Percentage Error (MPE), Percentage Error (MAPE), Mean Square Error (RMSE) standard deviation and Sharpe ratio.

12.

Efficient Market Hypothesis Empirical Test to Debunk the Weak Form Using Selected Stocks

Number of pages: 23 Posted: 08 Feb 2021
Worldquant Universityaffiliation not provided to SSRN, WorldQuant University, WorldQuant University and WorldQuant University
Downloads 647 (77,150)

Abstract:

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EMH, hypothesis, stocks trends, normality, weak form

13.

Comprehensive study on the impact of theta decay and delta fluctuations on pricing of Indian index options

Number of pages: 91 Posted: 23 Jan 2024
Aseem Singhal and Ritabrata Bhattacharyya
WorldQuant University and WorldQuant University
Downloads 336 (167,550)

Abstract:

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Theta decay, Greeks, Expiry, At the money, Call, Put, Delta

14.

Optimizing Order Types in Indian Futures Market

Number of pages: 14 Posted: 13 Apr 2022
Varun Divakar and Ritabrata Bhattacharyya
World Quant University and WorldQuant University
Downloads 267 (212,893)

Abstract:

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Optimization, Order book, Futures, Indian, Bid-Ask, Spread, Limit Order Book, Slippage, XGBoost, Snapshot, Volatility, Precision

15.

Decentralized Non-Custodial Algorithmic Trading & Fund Management

Number of pages: 17 Posted: 10 Jan 2022
Arunabha Sarkar, Ritabrata Bhattacharyya and Thomas Tiveron
Econteric Private Limited, WorldQuant University and WorldQuant University
Downloads 231 (245,371)

Abstract:

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algorithmic trading, blockchain fund, cryptocurrency, decentralized, on-chain asset management

16.

Modeling Options Prices Considering Mandelbrotian Movement of Prices

WorldQuant University, 2020
Number of pages: 46 Posted: 25 Mar 2020
Ugochukwu Nnalue, Jeremie Sabban, Kalyana Miriyala and Ritabrata Bhattacharyya
WorldQuant University, WorldQuant University, WorldQuant University and WorldQuant University
Downloads 196 (285,853)

Abstract:

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Mandelbrotian Fractal, Hurst Parameter, Calibration, Fractional Heston Model, Numerical Solution

17.

Dynamic Regime Strategy for Stress Testing and Optimizing Institutional Investor Portfolios

Number of pages: 36 Posted: 20 Aug 2019 Last Revised: 18 Feb 2020
Trevor Mooney, Ravindra Rapaka, Tawanda Vera and Ritabrata Bhattacharyya
Independent, Independent, WorldQuant University and WorldQuant University
Downloads 185 (301,024)

Abstract:

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CRISP-DM; Alternative Risk Premia; Absolute Long Returns; Pairs of Pairs Futures Trading; Portfolio Construction

18.

Pricing Options with the Multifractal Model of Asset Returns

Number of pages: 23 Posted: 27 Jan 2024
Ko Wai Mei, Sahaj Tiwari and Ritabrata Bhattacharyya
WorldQuant University, WorldQuant University and WorldQuant University
Downloads 119 (431,274)

Abstract:

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Fractional Brownian Motion, Hurst Exponent, Log-Normal Distribution, Multifractal model, Multiplicative Cascade, Parameter estimation, Price Simulation, Option Pricing, Fractal Analysis

19.

Pricing of Shares Using Neural Networks Under Indian Capital Markets

Number of pages: 14 Posted: 20 Jul 2023
Sujith Gopinathan, Surbhi Gupta and Ritabrata Bhattacharyya
WorldQuant University, WorldQuant University and WorldQuant University
Downloads 77 (575,047)

Abstract:

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Neural Networks, Pricing, Shares, Non-linearity, Hidden layers

20.

Options Selling Using Machine Learning

Number of pages: 16 Posted: 15 Apr 2024
Atharva Joshi, Balaji Venkateswaran and Ritabrata Bhattacharyya
WorldQuant LLC, WorldQuant University, WorldQuant LLC - WorldQuant University and WorldQuant University
Downloads 68 (625,318)

Abstract:

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Options selling, trading strategies, machine learning, technical indicators, option Greeks, call, put, strangle strategy