A reversal pattern in the time series context from 12 to 24 months after the formation of trend following signals is observed in a universe of 55 liquid futures instruments. We find that instruments with sell signals in the trend following portfolio (i.e. "losers") contribute to this type of...

A two step forecasting approach for long memory time series is introduced. In the first step we estimate the fractional exponent and, applying the fractional differencing operator, we obtain the underlying weakly dependent series. In the second step, we perform the multi-step ahead forecasts for...

A new type of momentum based on the signs of past returns is introduced. This momentum is driven primarily by sign dependence, which is positively related to average return and negatively related to return volatility. An empirical application using a universe of commodity and financial futures...

We propose a novel way to assess information processing in a complex environment of market fragmentation. We take a different angle from the price discovery literature, and investigate information processing in the stochastic process driving stock's volatility (volatility discovery). We show...

A modified version of, perhaps, the most widely used technical trading strategy – moving averages – is discussed in this article. The suggested approach combines cross-over "buy" signals and a dynamic threshold value which acts as a trailing stop. The trading behaviour and performance...