Cross-sectional and time-series momentum in equity and futures markets : trading strategies and the role of correlation risk
The purpose of the thesis is to investigate momentum trading strategies in equity and futures markets and to explore the links between momentum profitability and the equity market correlation of the economy. The first topic focuses on cross-sectional equity momentum patterns by modeling a stock’s pr...
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Imperial College London
2011
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.543362 |