Momentum Strategies: From Novel Estimation Techniques to Financial Applications

Autor:	Tung-Lam Dao
Rok vydání:	2011
Předmět:	Trend following Support vector machine Finance Engineering Signal processing White paper business.industry Estimator Kalman filter Volatility (finance) business
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.2358988
Popis:	The objectives of this report are two-fold. We first studied some novel techniques in statistics and signal processing fields such as trend filtering, daily and high frequency volatility estimator or support vector machine. We employed these techniques to extract interesting financial signals. These signals are used to implement the momentum strategies which will be described in detail in every chapter of this report. The second objective concerns the study of the performance of momentum strategies based on the risk-return analysis framework (see B. Bruder and N. Gaussel 7th White Paper, Lyxor).
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::17f296df1fcdf7cba0f74c6ca6bbed0b https://doi.org/10.2139/ssrn.2358988 Zobrazit plný text záznamu