Journal article
Slow momentum with fast reversion: a trading strategy using deep learning and changepoint detection
- Abstract:
-
Momentum strategies are an important part of alternative investments and are at the heart of the work of commodity trading advisors. These strategies have, however, been found to have difficulties adjusting to rapid changes in market conditions, such as during the 2020 market crash. In particular, immediately after momentum turning points, when a trend reverses from an uptrend (downtrend) to a downtrend (uptrend), time-series momentum strategies are prone to making bad bets. To improve the re...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Authors
Funding
Bibliographic Details
- Publisher:
- Portfolio Management Research Publisher's website
- Journal:
- The Journal of Financial Data Science Journal website
- Volume:
- 4
- Issue:
- 1
- Pages:
- 111-129
- Publication date:
- 2022-12-09
- Acceptance date:
- 2022-12-01
- DOI:
- EISSN:
-
2640-3951
- ISSN:
-
2640-3943
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
1251189
- Local pid:
- pubs:1251189
- Deposit date:
- 2023-01-20
Terms of use
- Copyright holder:
- Pageant Media
- Copyright date:
- 2021
- Rights statement:
- © 2021 Pageant Media Ltd
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