Estrategias de trading con Time Series Momentum
Constructing a time-series momentum strategy involves the volatility-adjusted aggregation of univariate strategies and therefore relies heavily on the e ciency of the volatility estimator and on the quality of the momentum trading signal. Using a dataset with intra-day quotes of 18 assets from May 2...
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| Formato: | Tesis de maestría (Master Thesis) |
| Lenguaje: | Español (Spanish) |
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Universidad del Rosario
2019
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| Acceso en línea: | http://repository.urosario.edu.co/handle/10336/19986 |