Ranjan R. Chakravarty

School of Business Management, NMIMS

V. L. Mehta Road,

Vile Parle (W),

Mumbai, 400 056

India

SCHOLARLY PAPERS

5

DOWNLOADS

207

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.
Downloads 84 (421,650)
Citation 1

Non-Microstructure Noise

Number of pages: 43 Posted: 16 Aug 2018 Last Revised: 24 Oct 2020
Ranjan R. Chakravarty and Sudhanshu Sekhar Pani
School of Business Management, NMIMS and School of Business Management, NMIMS
Downloads 55 (534,896)
Citation 1

Abstract:

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Robustification, Ultra High Frequency, Data Handling, Microstructure Noise, Non-Microtructure Noise, Data Cleaning, Empirical Estimation, Limit Order Book, Bid Ask Spread, Trades and Quotes, Information Content

A Data Paradigm to Operationalise Expanded Filtration: Realized Volatilities and Kernels from Non-Synchronous NASDAQ Quotes and Trades

Number of pages: 45 Posted: 26 Oct 2020
Ranjan R. Chakravarty and Sudhanshu Sekhar Pani
School of Business Management, NMIMS and School of Business Management, NMIMS
Downloads 29 (684,332)

Abstract:

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Robustification, Data Handling, Limit Order Book, Model Fit, Estimation, Filtration expansion, Ultra High Frequency

2.

Liquidity, Durations and Bid-Ask Spread in Limit Order Markets

Number of pages: 33 Posted: 02 Jan 2019
Ranjan R. Chakravarty and Sudhanshu Sekhar Pani
School of Business Management, NMIMS and School of Business Management, NMIMS
Downloads 72 (460,087)

Abstract:

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Liquidity, Durations, Pair Copula Construction, Spread, Limit Order Market

3.

Broken Exchanges: An Analysis of Market Quality in NSE (India) and Welfare Concerns

Number of pages: 17 Posted: 24 Feb 2019 Last Revised: 27 Mar 2019
Ranjan R. Chakravarty and Sudhanshu Sekhar Pani
School of Business Management, NMIMS and School of Business Management, NMIMS
Downloads 38 (609,847)

Abstract:

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Capital Markets Regulation , Market Quality, Welfare, Market microstructure, Invariance, Competition among exchanges,

4.

Are Asian exchanges outliers? A market quality criterion

Ranjan R. Chakravarty and Sudhanshu Pani (2021). Are Asian exchanges outliers? A market quality criterion. Investment Management and Financial Innovations, 18(2), 64-78. doi:10.21511/imfi.18(2).2021.06
Number of pages: 16 Posted: 06 May 2021
Ranjan R. Chakravarty and Sudhanshu Sekhar Pani
School of Business Management, NMIMS and School of Business Management, NMIMS
Downloads 13 (799,059)

Abstract:

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global asset allocation, international diversification, country risk, trading venues, market quality of stock exchanges, market microstructure

5.

Investigating Intertrade Durations Using Copulas: An Experiment with NASDAQ Data

Algorithmic Finance, Vol. 9, No. 3-4, Pp. 81-102, 2022
Posted: 26 Aug 2022
Ranjan R. Chakravarty and Sudhanshu Sekhar Pani
School of Business Management, NMIMS and School of Business Management, NMIMS

Abstract:

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High Resolution, Limit Order Markets, Durations, Liquidity, Bid-Ask Spread, Algorithmic Trading, Pair Copula Construction