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Paper Details
Paper Title
Decoding Black Swan
Authors
  Dr. Jay Desai,  Nisarg A Joshi
Abstract
In this paper we examine unanticipated outliers of stock market. Weather these outliers are truly Black
Swans that cannot be anticipated or they are avoidable? Also we try to evolve a quantitative strategy to earn
superior returns. The simple strategy not only removes outliers from portfolio but also increases average daily
returns from 0.05% to 0.35%. To test the risk return proposition we have used Sharpe ratio. We are also able to
conclude that the daily Sharpe ratio shoots up 15 times in the results. We found increase in volatility in a declining
market as Standard Deviation increases in declining market. We also conclude that returns are generated only
during up trend in the market.
Keywords- Black Swan, Stock Investing, Outliers, Tactical, Technical Analysis, Seasonality, Quantitative, EMH, Market Timing.
Publication Details
Unique Identification Number - IJEDR1504115Page Number(s) - 674-681Pubished in - Volume 3 | Issue 4 | December 2015DOI (Digital Object Identifier) -    Publisher - IJEDR (ISSN - 2321-9939)
Cite this Article
  Dr. Jay Desai,  Nisarg A Joshi,   "Decoding Black Swan", International Journal of Engineering Development and Research (IJEDR), ISSN:2321-9939, Volume.3, Issue 4, pp.674-681, December 2015, Available at :http://www.ijedr.org/papers/IJEDR1504115.pdf
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