Improving Time-Series Momentum Strategies : The Role of Trading Signals and Volatility Estimators

@inproceedings{Obert2013ImprovingTM,
  title={Improving Time-Series Momentum Strategies : The Role of Trading Signals and Volatility Estimators},
  author={Obert and OSOWSKI},
  year={2013}
}
  • Obert, OSOWSKI
  • Published 2013
Constructing a time-series momentum strategy involves the volatility-adjusted aggregation of univariate strategies and therefore relies heavily on the efficiency of the volatility estimator and on the quality of the momentum trading signal. Using a dataset with intra-day quotes of 12 futures contracts from November 1999 to October 2009, we investigate these dependencies and their relation to time-series momentum profitability and reach a number of novel findings. Momentum trading signals… CONTINUE READING

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