Gautam Mitra

OptiRisk Systems

The Atrium, Suites 536 & 537

1 Harefield Road

Uxbridge, UB8 1EX

United Kingdom

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

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1.

Market Regime Identification Using Hidden Markov Models

Number of pages: 23 Posted: 03 Jul 2019
Yuan Yuan and Gautam Mitra
OptiRisk Systems and OptiRisk Systems
Downloads 876 (32,140)
Citation 1

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Hidden Markov model, Parameter estimation

2.

Using Social Media and News Sentiment Data to Construct a Momentum Strategy

Number of pages: 20 Posted: 03 Jul 2019
Yuke Shi, Gautam Mitra, Cristiano Arbex-Valle and Xiang Yu
OptiRisk Systems, OptiRisk Systems, OptiRisk Systems and OptiRisk Systems
Downloads 196 (184,276)
Citation 2

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Momentum Strategy, News Sentiment, News impact scores, Social Media, StockTwits, Relative Strength Indicator

3.

Improved Volatility Prediction and Trading Using StockTwits Sentiment Data

Number of pages: 18 Posted: 29 Feb 2020
Shradha Berry, Gautam Mitra and Zryan Sadik
OptiRisk Systems, OptiRisk Systems and OptiRisk Systems
Downloads 116 (282,700)

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Volatility prediction, GARCH, NA-GARCH, Sentiment, Micro-blog, StockTwits

4.

Forecasting Calendar Futures Spreads of Crude Oil Using Kalman Filter

Number of pages: 30 Posted: 03 Jul 2019 Last Revised: 18 Jun 2020
Xu Ren, Gautam Mitra and Zryan Sadik
Independent, OptiRisk Systems and OptiRisk Systems
Downloads 107 (299,228)

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Kalman filter; Maximum Likelihood Estimate; Crude Oil; calendar futures spreads; mean-reverting process

5.

Volatility Forecast Using GARCH, News Sentiment and Implied Volatility

Number of pages: 26 Posted: 03 Jul 2019
Jamie Atkinson, Gautam Mitra and Xiang Yu
OptiRisk Systems, OptiRisk Systems and OptiRisk Systems
Downloads 69 (390,725)

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Asymmetric Distribution, GARCH, Implied Volatility, News Sentiment, News Impact Score, Prediction, Volatility

6.

Volatility Forecast with GARCH Model and News Analytics

Number of pages: 26 Posted: 03 Jul 2019
Andrea Cantamessa, Gautam Mitra and Xiang Yu
Independent, OptiRisk Systems and OptiRisk Systems
Downloads 65 (403,163)

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Generalized Autoregressive Conditional Heteroskedasticity, Volatility, News Sentiment, News Impact, News Volume, Scheduled/Unscheduled News

7.

Asset Allocation Strategies: Enhanced by News

Number of pages: 32 Posted: 27 May 2020
Zryan Sadik, Gautam Mitra and Ziwen Tan
OptiRisk Systems, OptiRisk Systems and OptiRisk Systems
Downloads 50 (456,039)

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Trading Strategy, Sentiment Analysis, News Meta Data, Asset Filter

8.

Enhanced Corporate Bond Yield Modelling Incorporating Macroeconomic News Sentiment

Number of pages: 33 Posted: 03 Jul 2019
Zhixin Cai, Gautam Mitra and Christina Erlwein-Sayer
Independent, OptiRisk Systems and Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM)
Downloads 44 (480,737)

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Macroeconomic News Sentiment, Firm-specific News Sentiment, Autoregressive–moving-average model with exogenous inputs model (ARIMAX)

9.

An Impact Measure for News: It's Use in (Daily) Trading Strategies

The Handbook of Sentiment Analysis in Finance (2016), Chapter 13.
Number of pages: 27 Posted: 30 Nov 2020
Xiang Yu, Gautam Mitra, Cristiano Arbex-Valle and Tilman Sayer
OptiRisk Systems, OptiRisk Systems, OptiRisk Systems and Advanced Logic Analytics
Downloads 38 (507,585)

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news sentiment, news impact score, trading strategies, volatility, liquidity

10.

Asset Allocation Strategies: Enhanced by Micro-Blog

Number of pages: 26 Posted: 26 Feb 2020
Zryan Sadik, Gautam Mitra and Shradha Berry
OptiRisk Systems, OptiRisk Systems and OptiRisk Systems
Downloads 36 (517,038)

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Trading Strategy, Sentiment Analysis, Micro Blog Data, Asset Filter

11.

Construction of Asset Filter Based on Analyst Recommendations

OptiRisk Systems, White Paper Series 2019
Number of pages: 22 Posted: 01 Jul 2019
Yulu Qiu, Gautam Mitra and Zryan Sadik
OptiRisk Systems, OptiRisk Systems and OptiRisk Systems
Downloads 35 (522,011)

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Analyst Recommendations, Filters, NIFTY50 Index