Autocorrelation
Podcast: Alexei Kondratyev on quantum computing
Imperial College London professor updates expectations for future tech
Optimal turnover, liquidity and autocorrelation
A novel optimal execution approach via continuous-time stochastic processes is introduced
The value-at-risk of time-series momentum and contrarian trading strategies
This paper not only provides a theoretical model for the value-at-risk of active and passive trading strategies but also discusses the substantial implications relevant to risk management.
Stay ahead of the fixing lag
The price of fund-linked derivatives depends on the fixing lag of the underlying funds
Exchange-traded fund pair-trading strategies using autocorrelation-based mean reversion
ETF pair-trading strategies using autocorrelation-based mean reversion
Momentum trading: ’skews me
Momentum trading: ’skews me