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【经济金融系讲座】北爱尔兰Queen's University Belfast在读博士论文交流

发表时间:2022-12-29

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时间:1月6日10:00-11:30

  

地点:文荟楼201室

  

主讲:北爱尔兰Queen'sUniversityBelfast在读博士刘嘉栋

  

摘要:

  

Anewtypeofmomentumbasedontheprobabilityofreturnsignsisintroduced.Positionsignalsaregeneratedwhentheaverageofpastreturnssignsisabove(long)orbelow(short)acertainthreshold.Weconsiderfixedandtime-varyingvaluesforthisthreshold.Wecreateaportfoliowhichinvestsin55oftheworld'smostliquidcommodityandfinancialfutures.Investmentstrategiesusingreturnssignalmomentumresultofteninhigherreturns,higherSharperatioandlowerdrawdownwhencomparedtothenaive1/N,simplepricemovingaverageandtimeseriesmomentumstrategies.Returnssignalmomentumcan,hence,beconsideredasaneffectivestrategyforspeculationandhedgingbymarketparticipants.

  

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