ESG driven pairs algorithm for sustainable trading: Analysis from the Indian market
This paper proposes an algorithmic trading framework integrating Environmental, Social, and Governance (ESG) ratings with a pairs trading strategy. It addresses the demand for socially responsible investment solutions by developing a unique algorithm blending ESG data with methods for identifying co-integrated stocks. This allows selecting profitable pairs adhering to ESG principles. Further, it incorporates technical indicators for optimal trade execution within this sustainability framework. Extensive back-testing provides evidence of the model's effectiveness, consistently generating positive returns exceeding conventional pairs trading strategies, while upholding ESG principles. This paves the way for a transformative approach to algorithmic trading, offering insights for investors, policymakers, and academics.
Code (0)
등록된 구현이 없습니다.
Tasks
Algorithmic TradingSimilar Papers 제목 키워드 기반
A General Framework for Pairs Trading with a Control-Theoretic Point of View
Pairs trading is a market-neutral strategy that exploits historical correlation between stocks to achieve statistical arbitrage. Existing pairs-trading algorithms in the literature require rather restrictive assumptions …
Neural Augmented Kalman Filtering with Bollinger Bands for Pairs Trading
Pairs trading is a family of trading techniques that determine their policies based on monitoring the relationships between pairs of assets. A common pairs trading approach relies on describing the pair-wise relationship…
Detecting data-driven robust statistical arbitrage strategies with deep neural networks
We present an approach, based on deep neural networks, that allows identifying robust statistical arbitrage strategies in financial markets. Robust statistical arbitrage strategies refer to trading strategies that enable…
Large-scale empirical study on pairs trading for all possible pairs of stocks listed on the first section of the Tokyo Stock Exchange
We carry out a large-scale empirical data analysis to examine the efficiency of the so-called pairs trading. On the basis of relevant three thresholds, namely, starting, profit-taking, and stop-loss for the `first-passag…
AllAsset ManagementManagementIdentifying drivers and mitigators for congestion and redispatch in the German electric power system with explainable AI
The transition to a sustainable energy supply challenges the operation of electric power systems in manifold ways. Transmission grid loads increase as wind and solar power are often installed far away from the consumers.…