Gautam Mitra

Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications

John Crank Building

Brunel University

Uxbridge , UB8 3PH

United Kingdom

SCHOLARLY PAPERS

11

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4

Scholarly Papers (11)

1.

Equity Portfolio Risk (Volatility) Estimation Using Market Information and Sentiment

Number of pages: 15 Posted: 26 Jun 2009 Last Revised: 05 Feb 2010
Leela R. Mitra, Gautam Mitra and Dan di Bartolomeo
CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Northfield Information Services
Downloads 481 (57,021)
Citation 1

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2.

Long-Short Portfolio Optimisation in the Presence of Discrete Asset Choice Constraints and Two Risk Measures

Number of pages: 36 Posted: 12 Mar 2008
Ritesh Kumar, Gautam Mitra and Diana Roman
Indian Institute of Management (IIM), Calcutta, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London - School of Information Systems, Computing and Mathematics
Downloads 449 (62,244)
Citation 1

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investment, portfolio, risk, short-selling

3.

Pricing and Evaluating a Bond Portfolio Using a Regime Switching Markov Model

Number of pages: 43 Posted: 11 Feb 2008
Leela R. Mitra, Gautam Mitra and Rogemar Mamon
CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Department of Statistical & Actuarial Sciences, University of Western Ontario
Downloads 356 (81,706)

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Credit risk, Markov model, regime switching, risk measures, Value at Risk (VaR), Conditional Value at Risk (CVaR)

4.

Robust Optimisation and Portfolio Selection: The Cost of Robustness

Number of pages: 32 Posted: 16 Aug 2008
CARISMA, Brunel University, Brunel University and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Downloads 344 (85,048)

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robust optimization, portfolio selection

5.

Mixture Distribution Scenarios for Investment Decisions with Downside Risk

Number of pages: 31 Posted: 29 Aug 2008 Last Revised: 16 Jul 2009
CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, HSBC Global Asset Management, Brunel University London - School of Information Systems, Computing and Mathematics, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Downloads 278 (107,328)
Citation 1

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Scenario generation, downside risk, investment choice

6.

An Impact Measure for News: Its Use in Daily Trading Strategies

Number of pages: 25 Posted: 12 Dec 2015
OptiRisk Systems, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, OptiRisk Systems and Advanced Logic Analytics
Downloads 250 (119,930)

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news sentiment, news impact, efficient market hypothesis daily trading, predictive analytics, asset returns, volatility of assets, liquidity of assets, GARCH model, bid-ask spread, news metadata, market data, volatility pumping, Kelly strategy

7.

Automated Analysis of News to Compute Market Sentiment: Its Impact on Liquidity and Trading

Number of pages: 48 Posted: 17 May 2015
Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Northfield Information Services, Indian Institute of Management Calcutta and OptiRisk Systems
Downloads 229 (130,976)

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Computer trading, Automated Trading, Market Sentiment, News Sentiment Analysis, News Impact, Liquidity measures, Market microstructure

8.

Nonparametric Multivariate Conditional Distribution and Quantile Regression

Number of pages: 27 Posted: 10 Sep 2008
Keming Yu, Xiaochen (Michael) Sun and Gautam Mitra
Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, HSBC Global Asset Management and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Downloads 185 (160,008)
Citation 1

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Conditional distribution, Conditional quantiles, Copula, High-dimension, Local quadratic regression, nonparametric estimation, Partial derivative, Semiparametric estimation

9.

Impact of News on Asset Behaviour: Return, Volatility and Liquidity in an Intra-Day Setting

Number of pages: 33 Posted: 23 Jul 2013 Last Revised: 19 Nov 2013
Xiang Yu, Gautam Mitra and Keming Yu
OptiRisk Systems, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Downloads 156 (185,661)

Abstract:

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News sentiment, high frequency data, return, volatility, liquidity, predictive analysis

10.

Enhanced Indexation Based on Second-Order Stochastic Dominance

Number of pages: 19 Posted: 07 Mar 2011
Diana Roman, Gautam Mitra and Victor Zviarovich
Brunel University London - School of Information Systems, Computing and Mathematics, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London
Downloads 119 (230,232)

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index tracking, enhanced indexation, stochastic dominance, backtesting

11.

Kernel Conditional Quantile Estimation for Stationary Processes with Application to Conditional Value-at-Risk

Journal of Financial Econometrics, Vol. 6, Issue 2, pp. 253-270, 2008
Posted: 10 Jul 2008
Wei Biao Wu, Keming Yu and Gautam Mitra
University of Chicago, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications

Abstract:

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asymptotic expansion, Bahadur representation, causal process, central limit theorem, kernel estimation, long-range dependence, quantile estimation, short-range dependence, value-at-risk