Design and analysis of momentum trading strategies

Richard J. Martin

Papers from arXiv.org

Abstract: We give a complete description of the third-moment (skewness) characteristics of both linear and nonlinear momentum trading strategies, the latter being understood as transformations of a normalised moving-average filter (EMA). We explain in detail why the skewness is generally positive and has a term structure. This paper is a synthesis of two papers published by the author in RISK in 2012, with some updates and comments.

Date: 2021-01, Revised 2023-01
New Economics Papers: this item is included in nep-cwa
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Citations: View citations in EconPapers (2)

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