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Bond intraday momentum

Zhang, Wei; Wang, Pengfei; Li, Yi - In: Journal of behavioral and experimental finance 31 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012815421

Pairs trading : does volatility timing matter?

Huck, Nicolas - In: Applied economics 47 (2015) 55/57, pp. 6239-6256

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Understanding intraday momentum strategies

Rosa, Carlo - In: The journal of futures markets 42 (2022) 12, pp. 2218-2234

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Essays in financial economics

Savor, Pavel - 2006

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Beyond the random walk : a guide to stock market anomalies and low risk investing

Singal, Vijay - 2004

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High-Frequency ETF Pairs Trading

Simonson, Jack - 2018

In this paper we examine the effectiveness of modeling a paris-traded ETF portfolio as an Ornstein-Uhlenbeck process. Using ETF pairs that have similar references indexes, we apply maximum likelihood estimation to historical data in order to optimize trading signals for two strategies. Using...

Persistent link: https://www.econbiz.de/10012931447