Design and analysis of momentum trading strategies
General Finance
2023-01-19 v2 Statistical Finance
Abstract
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.
Cite
@article{arxiv.2101.01006,
title = {Design and analysis of momentum trading strategies},
author = {Richard J. Martin},
journal= {arXiv preprint arXiv:2101.01006},
year = {2023}
}
Comments
v2: Expanded the Appendix