Research papers
Every study on this site, with the question it asks, what it found, the data behind it and its current version.
- Working papers
- Studies with a PDF. Published here, not peer reviewed.
- Web notes
- Shorter studies with no separate paper.
- Versions
- Each study page lists what changed and when.
- Corrections
- [email protected]
Systematic investingIndices and portfolios
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Nifty broke its 200-week average. What happened the last five times?
- Question
- What happened to Nifty after the five earlier times it first closed a week below its 200-week average?
- Finding
- In four of the five earlier breaks since 1995 Nifty fell another 14% to 26% within a year; from a random week that happened about 3 times in 10. Big rebounds followed only the two crash breaks, 2008 and 2020. This time mid and small caps sit 15% to 18% above their own averages.
- Data
- NSE Indices daily price-index data, 1995 to 1 October 2026; Nifty 50 TRI for the opening SIP example; 1 October closes from Definedge quotes after market hours.
Market structureHow prices are made
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CAS Games and Algo Trading
- Question
- How was the Sensex closing price pushed on the 13 August 2026 expiry, and what does one such print do to indicators the next morning?
- Finding
- SEBI's interim order describes two players moving the Sensex closing-auction price. On one-minute data, that one print moved the next day's Camarilla pivots by 218 points and changed the ATR, Supertrend and Renko readings built on it.
- Data
- SEBI ex-parte interim order of 19 August 2026; one-minute index data, August 2026.
Read the explanation · Web note only, no paper
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The Overnight Drift
- Question
- Over eleven years, did Nifty and Bank Nifty make their gains during market hours or overnight?
- Finding
- Almost all of the gain came overnight. The overnight gap was positive in every complete year from 2015 to 2025 on both indices. The market-hours part was negative in ten of eleven years on Nifty and nine of eleven on Bank Nifty.
- Data
- One-minute Nifty and Bank Nifty index data, 9 January 2015 to 17 August 2026 (2,856 sessions), cross-checked against Investing.com daily data, June 2016 to May 2026.
Read the explanation · Web note only, no paper
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The Phantom Close
- Question
- What happens to India's index charts during the closing auction, while futures and options keep trading?
- Finding
- For about fourteen minutes a day the index chart stops updating while futures and options keep trading, then jumps to catch up at the close.
- Data
- One-minute index, futures and options data and order-book depth recorded in NoiselessOS, 3 to 14 August 2026.
Read the explanation · Web note only, no paper
Investor riskWhat can go wrong for an investor
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131 funds froze in Turkey. What can an Indian investor learn from it?
- Question
- How did 131 Turkish funds grow so fast before they froze, and what can an Indian fund investor check?
- Finding
- The funds grew 74 times in three years: 57% of that from rising unit prices, 43% from new money. Their money-market funds paid a median 52.6% in the year to August 2026, against 46.4% for bank-owned peers. Accounts rose 3.5-fold after the Finance Minister's public warning.
- Data
- TEFAS (Takasbank) daily data for every Turkish fund, to 2 October 2026; SPK rules and announcements; daily exchange rates.