Ritabrata Bhattacharyya

WorldQuant University

Place St Charles

201 St Charles Ave #2500

New Orleans, LA 70170

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 31,092

SSRN RANKINGS

Top 31,092

in Total Papers Downloads

1,598

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (7)

1.

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 800 (32,415)
Citation 2

Abstract:

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

2.

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

Number of pages: 32 Posted: 11 Mar 2020
Mark Babayev, Folakemi Lotun, Goodwill Tatenda Mumvenge and Ritabrata Bhattacharyya
WorldQuant University, WorldQuant University, WorldQuant University and WorldQuant University
Downloads 418 (74,644)

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.

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 209 (156,568)

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

4.

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 96 (291,717)

Abstract:

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

5.

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 55 (397,888)

Abstract:

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

6.

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 20 (557,737)

Abstract:

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

7.

Cryptocurrency trading-pair forecasting, using machine learning and deep learning Technique

Number of pages: 37
Ernest Osifo and Ritabrata Bhattacharyya
WorldQuant University and WorldQuant University
Downloads 0

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.