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V. L. Raju Chinthalapati
University of Greenwich
Trading strategyEconometricsEconomicsFinancial marketComputer science
13Publications
3H-index
31Citations
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Publications 13
Newest
#1Frank McGroarty (University of Southampton)H-Index: 11
#2Ash Booth (University of Southampton)H-Index: 3
Last. V. L. Raju Chinthalapati (University of Greenwich)H-Index: 3
view all 4 authors...
Given recent requirements for ensuring the robustness of algorithmic trading strategies laid out in the Markets in Financial Instruments Directive II, this paper proposes a novel agent-based simulation for exploring algorithmic trading strategies. Five different types of agents are present in the market. The statistical properties of the simulated market are compared with equity market depth data from the Chi-X exchange and found to be significantly similar. The model is able to reproduce a numb...
6 CitationsSource
#1Sovan Mitra (University of Liverpool)H-Index: 5
#2V. L. Raju Chinthalapati (University of Southampton)H-Index: 3
Last. Frank McGroarty (University of Southampton)H-Index: 11
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Abstract This paper is the first to highlight that the stock-ADR arbitrage pair trading found by Alsayed and McGroarty (2012) is directly influenced by the market microstructure of ADRs. In Alsayed and McGroarty (2012) they are the first to demonstrate that arbitrage opportunities exist between stocks and their ADRs, through convergence pairs trading. Given that such arbitrage opportunities exist, we pose the question as to why such pair trades occur, rather than be eliminated by the law of one ...
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We obtain closed-form expressions for the value of the joint Laplace transform of the running maximum and minimum of a diffusion-type process stopped at the first time at which the associated drawdown or drawup process hits a constant level before an independent exponential random time. It is assumed that the coefficients of the diffusion-type process are regular functions of the current values of its running maximum and minimum. The proof is based on the solution to the equivalent inhomogeneous...
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#1Amer Bakhach (University of Essex)H-Index: 3
#2Edward Tsang (University of Essex)H-Index: 32
Last. V. L. Raju Chinthalapati (University of Greenwich)H-Index: 3
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Directional Change (DC) is a technique to summarize price movements in a financial market. According to the DC concept, data is sampled only when the magnitude of price change is significant according to the investor. In this paper, we develop a contrarian trading strategy named TSFDC. TSFDC is based on a forecasting model which aims to predict the change of the direction of market's trend under the DC context. We examine the profitability, risk and risk‐adjusted return of TSFDC in the FX market...
4 CitationsSource
#1Antoaneta Sergueiva (UCL: University College London)H-Index: 1
#2V. L. Raju Chinthalapati (University of Greenwich)H-Index: 3
Last. Louisa Chen (University of Sussex)H-Index: 1
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To date, existing studies that use multilayer networks, in their multiplex form, to analyse the structure of financial systems, have (i) considered the structure as a non-interconnected multiplex network, (ii) no mechanism of multichannel contagion has been modelled and empirically evaluated and (iii) no multichannel stabilisation strategies for pre-emptive contagion containment have been designed. This paper formulates an interconnected multiplex structure, and a contagion mechanism among finan...
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Dec 1, 2017 in Big Data (International Conference on Big Data)
#1Ailun Ye (University of Greenwich)
#2V. L. Raju Chinthalapati (University of Greenwich)H-Index: 3
Last. Edward Tsang (University of Essex)H-Index: 32
view all 4 authors...
Market prices are traditionally recorded in fixed time intervals. Directional Change is an alternative approach to summarize price movements in financial markets that is consistent with across all time scales. Unlike time series, directional change summarizes the big data in finance by focusing on the intrinsic time of the data. This captures deeper intrinsic data qualities and thus trading strategies based on directional change are more sustainable and less disruptive. In this paper, we propose...
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#1Cesario Mateus (University of Greenwich)H-Index: 9
#2V. L. Raju Chinthalapati (University of Greenwich)H-Index: 3
Last. Irina Bezhentseva Mateus (University of Greenwich)H-Index: 4
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This paper investigates the existence of financial contagion between the US and 10 European stock markets. Using intraday minute per minute data of a large set of 374 equities from three different industries over the period from January to June 2011 we investigate the impact of increased volatility in the US on the cross-country industry level spillover effect. Self-built industry indices are used which allow implementing the same index methodology across different markets. We first show that sp...
3 CitationsSource
#1Amer Bakhach (University of Essex)H-Index: 3
#2Edward Tsang (University of Essex)H-Index: 32
Last. V. L. Raju Chinthalapati (University of Greenwich)H-Index: 3
view all 4 authors...
Directional Change (DC) is a technique to summarize price movements in a financial market. According to the DC concept, data is sampled only when the magnitude of price change is significant according to the investor. Unlike with time series, DC samples data at irregular time intervals. In this paper, we propose a contrarian trading strategy that is based on the DC concept. We examine the profitability of our trading strategy using three currency pairs: EUR/CHF, GBP/CHF and EUR/USD. The results ...
12 CitationsSource
#1Pradeep Ghosh (University of Greenwich)H-Index: 1
#2V. L. Raju Chinthalapati (University of Greenwich)H-Index: 3
We investigate the application of machine learning Agent Based Modelling (ABM) techniques to model and forecast various financial markets including Foreign Exchange and Equities, especially models that could reproduce the time-series properties of the financial variables. We model the economy by considering non-equilibrium economics. We adopt the features that are required for modelling non-equilibrium economics using ABMs and replicate the non-equilibrium nature of the financial markets by cons...
3 CitationsSource
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