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Wettbewerbsvorteile in Kapitalmärkten durch softwaregestützte Handelsstrategien
Himmelreich, Andreas - 2006
Persistent link: https://www.econbiz.de/10003320529
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Risk aversion impact on investment strategy performance : a multi agent-based analysis
Brandouy, Olivier; Mathieu, Philippe; Veryzhenko, Iryna - In: Managing market complexity : the approach of artificial …, (pp. 91-102). 2012
Persistent link: https://www.econbiz.de/10009580029
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - 2013
premium attached to the option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of … each momentum strategy's mean and variance generates an unconditional Sharpe ratio approximately double that of the static … momentum strategy. Further, we show that momentum returns in panic states are correlated with, but not explained by, volatility …
Persistent link: https://www.econbiz.de/10010257503
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Essays on reversal and momentum patterns in stock markets : evidence from the U.S. and Europe
Hühn, Hannah Lea - 2015
Persistent link: https://www.econbiz.de/10011442858
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - 2014
Persistent link: https://www.econbiz.de/10010413176
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Classical and agent-based evolutionary algorithms for investment strategies generation
Drezewski, Rafal; Sepielak, Jan; Siwik, Leszek - In: Natural computing in computational finance : volume 2 ; …, (pp. 181-205). 2009
Persistent link: https://www.econbiz.de/10009515154
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Einfluss von Saisonalität auf den Momentumeffekt : eine empirische Untersuchung des deutschen Aktienmarktes
Holtfort, Thomas - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003816979
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The use of momentum, contrarian and buy-&-hold strategies : survey evidence from fund managers
Brozynski, Torsten (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001838228
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Investor overconfidence and market outcomes : empirical and experimental evidence
Glaser, Markus - 2003
Persistent link: https://www.econbiz.de/10001790774
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Momentum Crashes
Daniel, Kent D. - 2011
Momentum strategies have produced high returns and Sharpe ratios, and strong positive alphas relative to market models and other standard factors models. However, the returns to momentum strategies are highly skewed; they experience infrequent but strong and persistent strings of negative returns....
Persistent link: https://www.econbiz.de/10013121260