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Paper detail

Design and analysis of momentum trading strategies

We give a complete description of the third-moment (skewness) characteristics of both linear and nonlinear momentum trading strategies, the latter being understood as transformations of a normalised moving-average filter (EMA). We explain in detail why the skewness is generally positive and has a term structure. This paper is a synthesis of two papers published by the author in RISK in 2012, with some updates and comments.

preprint2023arXivOpen access
Richard J. Martin
q-fin.GNq-fin.ST
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Richard J. Martin

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