ESG driven pairs algorithm for sustainable trading: Analysis from the Indian market
A 2024 paper by Dutta, Diwan and Chakrabarty on pairs trading and statistical arbitrage in equities: the abstract mentions profits and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“This allows selecting profitable pairs adhering to ESG principles.”
AssetEquities
StrategyPairs trading
GeographyIndia
ClaimProfit
Also stated: Price and volume
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPairs trading and statistical arbitrage by year
FamilyPairs trading and statistical arbitrage93Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 909
AssetEquities51
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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