Technical paper/Autocorrelation

Investments

Optimal turnover, liquidity and autocorrelation

A novel optimal execution approach via continuous-time stochastic processes is introduced

26 May 2022

Original research

The value-at-risk of time-series momentum and contrarian trading strategies

04 Oct 2021

Investments

Stay ahead of the fixing lag

25 Nov 2019

Original research

A test for the equality of multiple Sharpe ratios

30 Apr 2014

Exchange-traded products

Exchange-traded fund pair-trading strategies using autocorrelation-based mean reversion

ETF pair-trading strategies using autocorrelation-based mean reversion

17 Oct 2013

Operational risk

Using a time series approach to correct serial correlation in operational risk capital calculation

30 Sep 2013

Structured products

Momentum trading: ’skews me

Momentum trading: ’skews me

26 Jul 2012

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

.

Alternatively you can request an individual account here