Time series momentum trading strategy and autocorrelation amplification

DOI10.1080/14697688.2014.1000951MaRDI QIDQ4683079zbMATH OpenOpenAlexFDO

Authors

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

autocorrelationmomentummoving 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)

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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

Cited in

(8)

• Another explanation for the bias observed in the filter rule test
• Statistical inference and modelling of momentum in stock prices
• Detailed study of a moving average trading rule
• Decomposing the predictive performance of the moving average trading rule of technical analysis: the contribution of linear and non-linear dependencies in stock returns
• Trend following with momentum versus moving averages: a tale of differences
• Agricultural commodity futures trading based on cross-country rolling quantile return signals
• Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion
• A dynamic analysis of moving average rules

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