Trend following with momentum versus moving averages: a tale of differences

DOI10.1080/14697688.2020.1716057zbMath1454.91271OpenAlexW2920306588MaRDI QIDQ5139209

Javier Giner, Valeriy Zakamulin

Publication date: 7 December 2020

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1716057

zbMATH Keywords

momentummoving averagetechnical analysisreturn predictabilitytrend following

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites Work

• Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
• Forecasting trends with asset prices
• Time series momentum trading strategy and autocorrelation amplification
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