Time series momentum trading strategy and autocorrelation amplification

DOI10.1080/14697688.2014.1000951zbMath1398.62303OpenAlexW2160371366MaRDI QIDQ4683079

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Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe1322.pdf

zbMATH Keywords

momentumautocorrelationmoving average trading strategy

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (2)

Trend following with momentum versus moving averages: a tale of differences ⋮ Agricultural commodity futures trading based on cross-country rolling quantile return signals

Cites Work

• A dynamic analysis of moving average rules
• A theoretical analysis of trading rules: an application to the moving average case with Markovian returns
• Predicting stock price movements from past returns: the role of consistency and tax-loss selling

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