Jan 20, 2012

algo/systematic trading in India

People in India are aggressively getting into system based trading with algo trading driving about 40% to 50% of the trading volume on the NSE. From order-book data and changing performance of different strategies over the last five years, I think the following quant strategies have big money running on them in India -

  • Momentum and Reversion portfolios based on ranking alpha factors - this is still in its earlier stages with simpler factors being used
  • Pairs trading using Bollinger Bands and 2 sigma test. Many players have started to use co-integration instead of correlation
  • Some basic use of ARCH/GARCH models in the options space
  • Volatility arbitrage.. with poor gamma management
  • Order-book balancing 
  • Automated standard technical trading systems
  • All manner of arbitrage strategies
This isn't a comprehensive list. 

1 comment:

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