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.

详细内容请点击下载观看

扫描上面二维码，微信咨询

落户上海咨询热线：13671738356

公司地址： 上海市徐汇区虹桥路777号