paper
ESG driven pairs algorithm for sustainable trading: Analysis from the Indian market
Eeshaan Dutta, Sarthak Diwan, Siddhartha P. Chakrabarty
ESG driven pairs algorithm for sustainable trading: Analysis from the Indian market
Eeshaan Dutta, Sarthak Diwan, Siddhartha P. Chakrabarty
paper2024-01-26English
algorithmic tradingarxiv
Description
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. E...
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