DR. SHAILESH RASOTGI

Title:Multifractal Analysis of Time-Varying Market Efficiency: Implications for Adaptive Market HypothesisYear: 2020
Authors: Ashok Chanabasangouda Patil, Dr. Shailesh Rastogi Journal: TEST Engineering & Management Publication date: 2020 May/June Publisher: TEST Engineering & Management URL: click here Abstract This paper investigates the implications of the Adaptive Market Hypothesis (AMH) by studying the nature of cross-correlation between price and volume and assesses whether the price-volume relationship has a long memory. The MultifractalDetrended Fluctuation Analysis (MF-DFA) is used to capture the behavior of price and volume series whereas the MultifractalDetrended Cross-correlation Analysis (MF-DCCA) is used to capture the behavior of price-volume cross correlation. The findings of this paper assert that the Indian Stock Market is not eﬃcient and provide opportunities for arbitrage from time-to-time. The small fluctuations in price are most likely to be followed by another small increment or vice versa, whereas large (small) fluctuations are followed by small (large) fluctuations. Similarly, a large (small) increment in volume is most likely followed by a small (large) increment in volume. A large (small) increment in volume is most likely to be followed by a large (small) increment in price. These findings have practical implications for traders and investors.

Title:Multifractal Analysis of Time-Varying Market Efficiency: Implications for Adaptive Market HypothesisYear: 2020

Authors: Ashok Chanabasangouda Patil, Dr. Shailesh Rastogi
Journal: TEST Engineering & Management
Publication date: 2020 May/June
Publisher: TEST Engineering & Management
URL: click here

Abstract

This paper investigates the implications of the Adaptive Market Hypothesis (AMH) by studying the nature of cross-correlation between price and volume and assesses whether the price-volume relationship has a long memory. The MultifractalDetrended Fluctuation Analysis (MF-DFA) is used to capture the behavior of price and volume series whereas the MultifractalDetrended Cross-correlation Analysis (MF-DCCA) is used to capture the behavior of price-volume cross correlation.
The findings of this paper assert that the Indian Stock Market is not eﬃcient and provide opportunities for arbitrage from time-to-time. The small fluctuations in price are most likely to be followed by another small increment or vice versa, whereas large (small) fluctuations are followed by small (large) fluctuations. Similarly, a large (small) increment in volume is most likely followed by a small (large) increment in volume. A large (small) increment in volume is most likely to be followed by a large (small) increment in price. These findings have practical implications for traders and investors.

Name	Designation
Mr. Anand Singh	Administrative Officer
Ms. Jagriti Partho Goswami	Office Superintendent
Mr. Prasanna Pendke	Sr. Supervisor
Mr. Amit Marathe	Sr. Supervisor
Mr. Prakash D Karkar	Supervisor
Mr. Amit Shinde	Supervisor
Ms. Supriya Rahalkar	Supervisor
Ms. Poorva Zende	Sr. Coordinator
Mr. Yogesh S. Mane	Sr. Coordinator
Ms. Rucha Desai	Sr. Coordinator
Ms. Roma Kale	Sr. Coordinator
Ms. Deepti Gokhale	Sr. Coordinator
Mr. Gautam S. Mane	Coordinator
Ms. Margaret Dsouza	Coordinator
Mr. Prasad Bonde	Coordinator
Ms. Anuja Joshi	Coordinator
Mr. Pradeep Chaveria	Coordinator
Mr. Rohit Rane	Assistant Coordinator
Ms. Shilpa Ravalallu	P.A.to Director
Mr. Abhishek Kudale	Office Assistant
Mr. Rajesh Bagewadi	Network Engineer
Ms. Saee H. Gokhale	Sr .Lab Instructor
Mr. Nilesh S Kadam	Sr. Lab Assistant
Ms. Shital Balkawade	Accounts Assistant
Mr. Sumit Bhoinkar	Accountant
Mr. Avadhoot Joshi	Accountant
Mr. Ankush Kolhe	Office Attendant
Mr. Mukesh Thopate	Office Attendant
Mr. Ashok Mankar	Office Attendant
Mr. Puran Walmiki	Sr. Office Attendant
Mr. Kailash Shinde	Sr. Office Attendant
Mr. Vasant Shitole	Sr. Office Attendant
Mr. Yogesh Nevrekar	Sr. Office Attendant
Mr. Sanjay Takle	Sr. Office Attendant
Mr. Vishal Kadam	Driver cum Office Attendant