Intraday Momentum in the Indian Equity Market

Momentum in the Indian Equity Markets: Positive Convexity and Positive Alpha

AuthorsGaurav Chakravorty; Sonam Srivastava; Mansi Singhal

Paper linkhttps://ssrn.com/abstract=3345280

Trades Nifty 50 futures using a 3-day lookback and 60-minute rebalancing, going long on positive momentum and short on negative momentum. Risk budgets are proportional to indicator strength, with total risk capped at 15% annually.

Intraday momentum exploits behavioral biases like herding and underreaction, capturing short-term price trends. Frequent rebalancing enhances returns but requires balancing against trading costs for sustainable performance.